Kudos to MMs
- Thread starter nitro
- Start date
OFV = 1222.01 Buy SPX at 1219.86 to close short and go long at same price. + 5.43 on one unit.
Since this back and forth long and short might go on quite a few times today, I will update the table only after all trades have happened. I suspect there will be lots of back and forth here since OFV and SPX are dancing around each other. Note that these "little trades" are not what this model is about, but sometimes the action forces a bunch of trades when SPX and OFV/POFVF are very near each other.
Note that I am still keying off OFV for longs. POFVF says I shouldn't be touching longs. I would rather go short at this point. I understand the model and feel that keying long is not wrong in the very short time frame.
Since this back and forth long and short might go on quite a few times today, I will update the table only after all trades have happened. I suspect there will be lots of back and forth here since OFV and SPX are dancing around each other. Note that these "little trades" are not what this model is about, but sometimes the action forces a bunch of trades when SPX and OFV/POFVF are very near each other.
Note that I am still keying off OFV for longs. POFVF says I shouldn't be touching longs. I would rather go short at this point. I understand the model and feel that keying long is not wrong in the very short time frame.
More little trades:
12/15/2011 11:32:15 OFV = 1221.13 Sell SPX at 1221.23
12/15/2011 11:37:22 OFV = 1221.21 Buy SPX at 1220.52
Note these trades flip the current position and are 1 unit, so they always go from long to short and back to long etc...Currently, as we can see, the model is long from SPX 1220.52.
12/15/2011 11:32:15 OFV = 1221.13 Sell SPX at 1221.23
12/15/2011 11:37:22 OFV = 1221.21 Buy SPX at 1220.52
Note these trades flip the current position and are 1 unit, so they always go from long to short and back to long etc...Currently, as we can see, the model is long from SPX 1220.52.
SPX, 1215.75. FV, 1092.11. OFV, 1181.99. POFVF, 1096.00.
Overnight session, out "SPX" 1219.75. ESZ1 and SPX are essentially 1:1 since the Dec contract expires tomorrow, so it is not innacurate to use "SPX".
I don't like where either OFV or POFVF went out and decided that the model should go flat. In fact I am restraining from going short only because I want to be able to sleep tonight instead of baby sitting a position.
These back and forth trades showed a small profit, but they are inconsequential.
Overnight session, out "SPX" 1219.75. ESZ1 and SPX are essentially 1:1 since the Dec contract expires tomorrow, so it is not innacurate to use "SPX".
I don't like where either OFV or POFVF went out and decided that the model should go flat. In fact I am restraining from going short only because I want to be able to sleep tonight instead of baby sitting a position.
These back and forth trades showed a small profit, but they are inconsequential.
The rest of the year I think I am going to take a break from posting on this thread until the new year. Imo, there is a great deal of randomness in the market these two weeks, and quantitative methods, at least on the time scale that FV operates on, don't have much if any edge during these two weeks.