Search results

I would characterize it as an "overbought/oversold" strategy, not mean reversion.

Back in the day, they consider a spread a complex order. The electronic trading platforms had not advanced to support spreads and multi-leg orders so the pit traders handled these. Modern brokerage platforms have changed all that.

Kirsten Powers wrote a book on this topic called "The Silencing".

If you are on the losing side of an argument (any issue, left or right), you can't have free-wheeling discussions or you get quickly exposed and sometimes humiliated. It's always instructive to notice who has abandoned their position and starts complaining about the venue.

Which market would you spread VIX against?

Understood, I got that. But it's the overnight margin that can be crushing. If I were interviewing brokers for spread trading, that would be a top-of-list question. I suspect that's what he meant to say, but we'll see.

Bone, you said intraday in your last post. Did you mean to say overnight? Recent posts have focused on modeling in longer time frames and delayed data which aligns with overnight swing trading. Not sure if that was just a typo, or if you're advocating daytrading spreads.

You would expect gold options to have a positive vol skew, but the skew is not consistently skewed one way or another. It just depends on sentiment at any point in time. The relative volatility (realized) of the miners vs gold depends on which trading instrument you are using for gold. If...

Whatever you do, keep a hedge in place because gold will skyrocket if some geo-political crisis occurs in an instant.

I'm sure you'll get many responses to your question. But keep in mind that classic TA which is based on price and volume was developed decades before HFT. In recent years, much of the volume is HFT scalping which does not convey any information about longer-term (more than a minute) trader...

I was going to reply with some thoughtful counterpoints to your post until I just read the background thread on you from 2011. Well it is now obvious you are a nutjob. Not worth my time.

I successfully upgraded my HD last weekend. My current drive is about four years old and gets daily use, so it's just getting to that age where it could fail. I wanted to replace it with a fresh one, and I got a larger one (250GB => 500GB) while I was at it. The whole process was inexpensive...

You're welcome. I enjoyed the dialogue.

I don't read the P&R forum. The only reason I am aware of this topic is because the complaint was posted outside of that forum and popped up on my Recent Posts list. So I don't know the posters involved. But my life experience tells me that people who complain about labels and offensive...

The "N" word is out of bounds. I'm not clear if equivalents to the "N" word really exist. If we have to look up a term in a dictionary to figure out what it means, then it's too obscure to equate it with a commonly recognized term. And of course you can label groups of people to make your...

The Terms of service say you cannot post content that "victimizes, harasses, degrades, or intimidates an individual or group of individuals on the basis of religion, gender, sexual orientation, race, ethnicity, age, or disability." So the question is, does the use of those labels degrade a...

Other terms commonly used for stat arb trading are "pair trading" and "pairs trading".

One person's troll is another person's useful perspective, sometimes.

My suggestion is to start by thinking about the purpose of applying a ratio in the first place. The basic ratio techniques for stock are share-neutral, volatility-neutral, and dollar-neutral. Each approach has its own rationale grounded in concepts. What you are currently doing is...

I think the article is referring to profitable and unprofitable phases of a trading system's equity curve. This works for a system that has a regular tendency to trade profitably, then go negative, then go positive again. So you are timing the equity curve. You could apply an indicator (e.g...