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Not sure I agree that the usual discussion about the merits of automation vs discretionary trading belongs in a journal about a specific trading system. If we were talking about how to code it up or what the specific rules were then we would be more on point. But since we are just shooting...

If experienced humans (read traders) made more money than IB's wouldn't dump them to automate. :) I don't really want to take the thread off-topic. I'll agree to disagree with you on this one and if you feel like adding a last post on it that's OK by me.

I just disagree. Trading is not an art but a science. That's why they hire quants and not artists to run trading desks these days. :) Program trading accounts for 40% of NYSE volume. You think it's done that way because they lose money doing it? Institutions are also downsizing their...

Are you seeing much slippage from the opening price? $100K/position can be a bit much to load right at the open on some of those picks.

I started to code this one in WLD but the trading rules weren't complete. I have to say that I agree with the thrust of MechTrader's points. This type of trading is a statistical game and it would be foolish to risk real money without even testing to see if your idea had some grounding in past...

I seem to remember reading an article which indicated that most of the block orders are pre-negotiated with IB's -- i.e. the IB's have already accumulated the stock they are going to roll to the index funds. There may not be as much action as you might think as a consequence.

I don't see that at all. People are adjusting by selling the long end as another rate increase becomes clear -- duration, convexity, etc... In fact, any pre-meeting steepening -- which I haven't checked -- would mean that expectations were moving towards more rate hikes rather than a halt...

The market discovered that 5% in May is a lock and 5.25% in June is likely. Managers are adjusting their positions to match. You also have the speculators who were hoping for an end of cycle rally exiting. I doubt there is much more to it than that.

OK here...

As a side note, there are plenty of studies of CTA's and their longevity, and of course, more recently some have been done on hedge funds. You might find comparing your statistics to those a useful benchmark -- or at least the source of something more to pad a presentation with. :)

An evil mind would be looking for a SET about 6.5 pts lower give or take a smidge...:p

PDA: Had a change in control last Monday and did a stock split. It also only trades 15K shares a day on average. I sincerely doubt bird flu had anything to do with this short term move and if you think so... That's not to say I completely disagree with your general thesis -- timeframe of...

Please post your position in cattle. I look forward to seeing it. :)

No sense of humor here today... Anyway, just to take a trip down memory lane. The British had to destroy their herds to stop Mad Cow and many country's in Asia are destroying hundreds of thousands of chickens. It's not a question of a leap from animal to human. It's a question of public...

Last time the market locked limit down in the front months and the options turned out to be a lousy hedge...

Long tofu short MCD anyone? :D More seriously, a confluence of these two could really hit the food supply in the US.

The Q futures are 1/40 the size of the NQ contract. I'd bet the additional slippage/commissions more than offsets the tick size there -- OEX/SPX dilemma. Having said that, for day traders I really think it is both granularity -- tick size -- and volatility -- daily range -- that makes a...

Sounds right. I didn't think about the commision/volume aspect until after I posted. If they really want to push it they should go to .1 tick size though. Heck, why not $.01 to match the QQQQ's and the index itself. :)

Probably won't shift range but liquidity for each price point should decline a bit. They might as well have gone for .1 increments and created a higher volume Russell 2K future. :D Since the value per point didn't change I don't see why margin would move.

Ah... I was looking at the March series. Back to some basic questions if you've got the time and inclination. I just modelled this position as a 1:1 straddle on the Hoadley spreadsheet. I see the vols but I don't quite see the delta. I show something like 13d for the straddle. What am I missing?