Next Day Price Projections

[Dave at NextDay]

I'm interested in experimenting with providing next day high probability price targets for anyone who trades options. In addition, I run a separate algorithm based on valuations which anticipates strong price movements approximately 1 to 2 days ahead of time.

I've been a professional trader for 30+ years and am somewhat in the semi-retiring stage of life. I say semi in that I love the business and don't think I'll ever truly quit completely. I've developed several algorithms over the decades, one in particular that calculates the most probable price points to which any traded asset ought to reach for the next upcoming day. They're not price support/resistance levels, but high probability price targets to which that asset ought to reach or attain.

The combination of the price targets and valuation studies have been a great assistance to me over the years. I'm new to the elitetrader site, so I beg your indulgence ahead of time if I run into any glitches in communicating. Also, while I am a sponsor with elitetrader under educational resources with The Exchange, this is not a solicitation. This is for experimental purposes only, relating to options. I have also posted a similar thread for ETF's.

Dave at NextDay

Dave at NextDay

 

[nazzdack]

Quote from Dave at NextDay:
----I'm interested in experimenting with providing next day high probability price targets for anyone......

Please tell me what you have is more sophisticated than pivot points, prior high & low prices and an option's "sigma".

 

[iloveoptions]

Hi,

It's always refreshing to experiment and develop new ideas to accomplish such feat. I've been doing for 8 years myself. My question is, and without giving your algo away, if price projections aren't based on S/R, then what are you basing them on? Also, what is " price ought to" based on?

If you could, please provide projections for spy for today even though half of the day is already gone. Thanks.

 

[Dave at NextDay]

Quote from nazzdack:

Please tell me what you have is more sophisticated than pivot points, prior high & low prices and an option's "sigma".

Prior high/low price points are irrelevant. My numbers are created from statistical compilations of a proprietary valuation calc.

 

[Martinghoul]

Can you give us a general idea behind the methodology you use to arrive at these price targets? Specifically, are they implied by mkt prices or forecast outputs from some sort of a model?

 

[Dave at NextDay]

Quote from iloveoptions:

Hi,

It's always refreshing to experiment and develop new ideas to accomplish such feat. I've been doing for 8 years myself. My question is, and without giving your algo away, if price projections aren't based on S/R, then what are you basing them on? Also, what is " price ought to" based on?

If you could, please provide projections for spy for today even though half of the day is already gone. Thanks.

I calculate cash, so these/today's numbers are for the cash S&P, which are 1201.06 & 1204.30 for what I call my mid range numbers. The next up target is 1210.86 however I am doubtful it will reach it. The "ought to" refers to an internal strength calculation which I also developed a number of years ago which, once the market opens, analyzes each individual stock within the "portfolio", if you will, and assesses the speed and likelihood of reaching those predetermined price points.

They are not based on S/R but are the result of calculating the valuation of each stock within the portfolio, resulting in an aggregate valuation number. I constructed the algorithm to project one day ahead, without going into specifics.

Right now the internals are decent, not outstanding, and the fact that we had a pretty good run yesterday, makes the next up number less likely, but then again, we've got post lunch activity starting to rev up, so I'm not going to say we won't get there. If it does, it will probably finish the day very close to the projected 1210/1211 level. Let's see...it'll be interesting. If not, it will simply stall back to the previous numbers, so there's not much risk in the trade if you do try to go for it.

 

[Dave at NextDay]

Quote from Martinghoul:

Can you give us a general idea behind the methodology you use to arrive at these price targets? Specifically, are they implied by mkt prices or forecast outputs from some sort of a model?

It's a forecast output from an algorithm I developed back in the 90's. I'm basically what's categorized as a "quant". I like to compile standard deviations of data, specifically the underlying valuation of individual stocks. Of all the gobbledigook that's out there, I've found underlying valuations to be the most consistent and reliable number on which I've been able to rely over the years.

 

[Martinghoul]

Quote from Dave at NextDay:

It's a forecast output from an algorithm I developed back in the 90's. I'm basically what's categorized as a "quant". I like to compile standard deviations of data, specifically the underlying valuation of individual stocks. Of all the gobbledigook that's out there, I've found underlying valuations to be the most consistent and reliable number on which I've been able to rely over the years.

Cool... It's gonna be difficult to validate without more detail/data.

 

[Dave at NextDay]

Quote from Martinghoul:

Cool... It's gonna be difficult to validate without more detail/data.

I'm new to elitetrader and am just getting an understanding of the various forums. Someone in my office just informed me that I can post each day in the trade journal section where you'll be able to keep track. I'm going to have to assess the amount of time I'll have to be consistent in my journal postings, but I'll give it a try.

 

[iloveoptions]

Quote from Dave at NextDay:

It's a forecast output from an algorithm I developed back in the 90's. I'm basically what's categorized as a "quant". I like to compile standard deviations of data, specifically the underlying valuation of individual stocks. Of all the gobbledigook that's out there, I've found underlying valuations to be the most consistent and reliable number on which I've been able to rely over the years.

Very well. But how do you determine the valuations of every individual stock one day in advance? Is that based on fundamentals?