Search results

The first exit was a fixed 6-point ($120) target. The second was a 10-minute time stop. The program has some other exits too, which were not used yesterday- initial stop (which shouldn't be hit much), and +0.5 point stop once the unrealized gain gets to +2.25 pts. I can put in more stop moves...

Very pleased with how the program handled the two shorts today. Had I been doing this manually, I'm sure I would have lost $100-$200. Sorry about the graphics... an automatic, good-looking daily report with plot is on the to-do list.

I understand markets through prices, support, and resistance. I found I could develop profitable trading techniques using only these classic ideas. My own personal desire of always wanting to be in a trade has always kept me from being successful in many different ways. Finally, I developed...

You should start with something more general than autocorrelation, as absence of autocorrelation does not imply an independent time series. Sherry talks about this in his book. Also, if you have not already, compare your correlation coefficients to those you get with random, independent time...

The chi^2 in my digram box (lower right hand corner) is 472 for 3 degrees of freedom. That's as statistically meaningful as they come. If you see anything wrong with what I've done (the dates the data come from are at the top of the chart) by all means, let's hear it.

Looks nice.. do you have any examples of dependency analysis using Eviews?

How is that relevant to searching for dependencies in price changes? Don't you have to fit to a distribution to get skew and kurtosis? edit: Answered my own question. No, we can compute skew and kurtosis without fitting: http://www.itl.nist.gov/div898/handbook/eda/section3/eda35b.htm...

Here is an example from the S&P 500 (e-mini futures) last fall, using some of the techniques from Sherry's book. The graph across the top is the price. Histogram "N" is the 5 minute prices changes (histogram of first differences To the right of that is the differential spectrum test...

Great question. Check out "The Mathematics of Technical Analysis" by the late Cliff Sherry. It's somewhat of a disaster in terms of organization, but it has the information you want. There are a great many different kinds of tests for different kinds of dependencies. My favorite is to...

A friend of mine has been a professional portfolio manager for some time and just took the CMT exam. I asked him why, and he said for professional recognition in the field, as there are less than 1,000 with the designation; plus, it will help him with promotion in his own company. It...

You are asking the right questions. Get any of Bulkowski's books on trading chart patterns.

I am going through Taleb's book, Dynamic Hedging, to try and apply some quantitative power to straddle trading. After some time struggling with the content (difficult in places), the obnoxious, blinding book cover (had to throw it away), and re-gluing the binding (probably my fault, leaving it...

AltTrader: You should test your implicit supposition that "two time series that look similar were generated by the same underlying probability distributions". You should also learn to test for serial dependency in a time series, which is a problem for many because they only know autocorrelation.

trade summary: Date SLV Calls Price Puts Price Value UPnL Entry 40.20 5 4.65 5 4.50 $4,575.00 7/27/2011 39.28 5 4.15 5 4.92 $4,537.50 $(37.50) 7/28/2011 38.74 5 3.85 5 5.10 $4,475.00 $(100.00) 7/29/2011 38.76 5 3.91 5 5.17 $4,540.00 $(35.00)...

Out, got 9.90 (3.65 for the C, 6.25 for the P)

UPnL doubled over the past few days, presumably due to an increase in volatility. Wife has commanded a 10% profit exit. Will look to unwind this position in the AM. I hadn't considered profiting this way when I opened the trade, but it seems like a good idea since it appeared seemingly out of...

Looks like a broadening pattern could be forming. This would be helpful in identifying a good place to close the trade, since Bulkowski has already worked out the statistics. http://thepatternsite.com/broadb.html

Date SLV Calls Price Puts Price Value UPnL ------------------------------------------------------------------------------------ Entry 40.20 5 4.65 5 4.50 $4,575.00 7/27/2011 39.28 5 4.15 5 4.92 $4,537.50 $(37.50) 7/28/2011 38.74 5 3.85 5 5.10 $4,475.00...

Yes, and since you have some time on your hands, check out the TWS API Excel interface. You could probably modify their example program to suit your needs. Link to TWS API download

Glad to hear you got everything worked out with your wife, Joe. I almost dare not utter these word on EliteTrader, but if you are looking for long term investments, an excellent complimentary activity would be the fundamental analysis of stocks or commodities. The key is to pick a market or...