Need more info on Pair & Opening Strategies
- Thread starter jnkbox
- Start date
jnkbox, besides the crabel book for the opening range breakout pattern, there is an academic paper that may be of interest for pairs trading
Pairs Trading: Performance of a Relative Value Arbitrage Rule
by EVAN G. GATEV, WILLIAM N. GOETZMANN and K. GEERT ROUWENHORST
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=141615
Pairs Trading: Performance of a Relative Value Arbitrage Rule
by EVAN G. GATEV, WILLIAM N. GOETZMANN and K. GEERT ROUWENHORST
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=141615
We have read most of the mentioned papers, including the Harvard study...and they are of interest, except for one small thing....they don't have anything to do with pair trading methodology and how to implement profitable strategies. (Lest you think I am selling my training course, here are a couple of direct points) :::
Most of the money is made using the crutch trading method where you can lean on the bid or offer of the other stock.
You must envelope (and constantly modify) your bids and offers based on current price movements.
Most of your trades will be single sided, which reduces commissions (heart breaking as it is ...), and gives the trader more income.
Use historical data for selection, but not for trading basis....trade past the "zero" delta postition every couple of days, actually add to expanding trades, and reduce narrowing trades.
There is a lot more, but this should give you something to think about..
Heading for NYC (New York City!!!)....
Bye for now!!
Most of the money is made using the crutch trading method where you can lean on the bid or offer of the other stock.
You must envelope (and constantly modify) your bids and offers based on current price movements.
Most of your trades will be single sided, which reduces commissions (heart breaking as it is ...), and gives the trader more income.
Use historical data for selection, but not for trading basis....trade past the "zero" delta postition every couple of days, actually add to expanding trades, and reduce narrowing trades.
There is a lot more, but this should give you something to think about..
Heading for NYC (New York City!!!)....
Bye for now!!
GEEEZ! jnkbox, buzzy2, etal.......
Why is this guy Bright and a few other
trading pros (proprietary & retail) in
these forums always pooping on the seemingly sublime
by forcing the serious student/trader to ACTUALLY
examine, question and think through newly
discovered/presented old or new theories & practices?
C'mon, surely they aren't doing it just for some
altruistic reason - like wanting those who consistently
challenge themselves to find a way to become successful...
Are theirs some premeditated methods to make the gullible
as disciplined and equipped as necessary to stand up to
the demands of the market day in and day out....? Hey,
that can be demanding and exasperating work!
There must be some conspiracy somewhere in all of this...
Right..?...
Why is this guy Bright and a few other
trading pros (proprietary & retail) in
these forums always pooping on the seemingly sublime
by forcing the serious student/trader to ACTUALLY
examine, question and think through newly
discovered/presented old or new theories & practices?
C'mon, surely they aren't doing it just for some
altruistic reason - like wanting those who consistently
challenge themselves to find a way to become successful...
Are theirs some premeditated methods to make the gullible
as disciplined and equipped as necessary to stand up to
the demands of the market day in and day out....? Hey,
that can be demanding and exasperating work!
There must be some conspiracy somewhere in all of this...
Right..?...
I have been experimenting with a opening strategy using following logic . Will someone comment on it.Is this the right direction.
For determining opening strategy
1 A list of stock in S&P
2 daily range
3 Calculate projected daily high and low using pivot technique or DeMark's projected range
4 S&P future morning reading
5 Determine market direction
6 Based on market direction calculate opening price
7 Add 0.06 to 0.08 and set as (probable) opening price
8 Put a pre market order using this price on a basket of stocks
9 Get filled on some of them
10 Based on Pivot price calculation set sell price at resistance price if filled.
For calculation of high and low I am using formulas given in Perry Kaufman's book Trading Systems and Methods
For determining opening strategy
1 A list of stock in S&P
2 daily range
3 Calculate projected daily high and low using pivot technique or DeMark's projected range
4 S&P future morning reading
5 Determine market direction
6 Based on market direction calculate opening price
7 Add 0.06 to 0.08 and set as (probable) opening price
8 Put a pre market order using this price on a basket of stocks
9 Get filled on some of them
10 Based on Pivot price calculation set sell price at resistance price if filled.
For calculation of high and low I am using formulas given in Perry Kaufman's book Trading Systems and Methods
Sorry, but you are way, way, over-complicating it. Forget about pivot or DeMark, forget about direction, NEVER use market orders......and stop reading those silly books!!
Put in Limit buys and sells based on projected opening price from FV and beta for each stock....then close as you read the tape for each stock....follow some ot the other thread about Openings.....
"Trading is as simple as you'll let it be, or as complicated as you want to make it" (since I'm a simple guy, you know where I come from)
Old style pivots and other such simplistic calculations that are in a lot of books are so old that they'll usually not work as you're expecting. The large private firms ditched those old pre-PC formulas a decade or more ago (one reason these "secrets" are showing up in books now) and they use more advanced analytics and support/resistance projections.
Keep it as simple as possible - use software that can project the SRs as closely as possible (and more accurately than those old formulas will) so you can best understand the price action and then trade as much with the flow as possible. Be prepared to switch hit as the price action dictates - there are a lot of times you can take profits from both the long and short on the same day. If you trade securities that are fairly well correlated with one or more indices and/or futures, use charts of them with SRs as well to help guide your trading and position management.
Unless you're going the full blown MOMO route, there's a lot to be said for trading the same few select securities all the time -- it simplifies your life, you learn something about how they behave, and you can focus your trading methods more. It's also more feasible to work on a specific set of studies and signals for each security (don't expect a single set of studies and parameters to work for all securities) that you can use to aid your decision making.
Good luck.
Keep it as simple as possible - use software that can project the SRs as closely as possible (and more accurately than those old formulas will) so you can best understand the price action and then trade as much with the flow as possible. Be prepared to switch hit as the price action dictates - there are a lot of times you can take profits from both the long and short on the same day. If you trade securities that are fairly well correlated with one or more indices and/or futures, use charts of them with SRs as well to help guide your trading and position management.
Unless you're going the full blown MOMO route, there's a lot to be said for trading the same few select securities all the time -- it simplifies your life, you learn something about how they behave, and you can focus your trading methods more. It's also more feasible to work on a specific set of studies and signals for each security (don't expect a single set of studies and parameters to work for all securities) that you can use to aid your decision making.
Good luck.