Other than Pairs Trading and Dispersion Trading, I am hoping to begin a "think tank" discussion on the feasibility of various high probability trade set-ups...
It's reported that Jim Simons, one of the best traders/fund mangers over the last 15+ years (based on his alleged performance - $3 billion in personal earnings last year - #1 ranking), has over 100 PhDs (primarily mathematicians) working for his Renaissance fund. He stated that he automates almost exclusively, taking advantage of rapid burst and repeatable price patterns. Basically, his staff has two primary functions: (1) R&D to discover high statistical probable events in price movements (i.e. Statistical Arbitrage); (2) Programming of high probability set-ups.
Some of the high statistical probabilities I've noticed are: (1) when the price reverses and moves strongly in one direction without any material retracements (i.e. trends 3x ATR without 1/2 ATR retracement), then a retracement or reversal of at least 1x ATR is more than 50% probable; (2) If price bounces off of support or resistance 3 consecutive times, then it's more than 50% likely to break through on the 4th thru 6th approaches; (3) if the market moves opposite to the opening, 2 days in a row, then it's likely to move in the direction of the opening on the 3rd or 4th consecutive day (i.e. the market opens at $30; by 10:00 AM Est it moves to $32; the market ends the day at $28... if this dynamic occurs 2 consecutive days, then on the 3rd or 4th day its probable to move in direction noted in the intial 30 minutes of the trading day); (4) if the price reverses and moves 10% of the ATR, then it's more than 50% likely to continue another 10% of the ATR
Perhaps we can get a good discussion going on HIGH PROBABILITY set-ups, whether it's frequent as 30 times per day or as rare as 2 times per month...
Walt
It's reported that Jim Simons, one of the best traders/fund mangers over the last 15+ years (based on his alleged performance - $3 billion in personal earnings last year - #1 ranking), has over 100 PhDs (primarily mathematicians) working for his Renaissance fund. He stated that he automates almost exclusively, taking advantage of rapid burst and repeatable price patterns. Basically, his staff has two primary functions: (1) R&D to discover high statistical probable events in price movements (i.e. Statistical Arbitrage); (2) Programming of high probability set-ups.
Some of the high statistical probabilities I've noticed are: (1) when the price reverses and moves strongly in one direction without any material retracements (i.e. trends 3x ATR without 1/2 ATR retracement), then a retracement or reversal of at least 1x ATR is more than 50% probable; (2) If price bounces off of support or resistance 3 consecutive times, then it's more than 50% likely to break through on the 4th thru 6th approaches; (3) if the market moves opposite to the opening, 2 days in a row, then it's likely to move in the direction of the opening on the 3rd or 4th consecutive day (i.e. the market opens at $30; by 10:00 AM Est it moves to $32; the market ends the day at $28... if this dynamic occurs 2 consecutive days, then on the 3rd or 4th day its probable to move in direction noted in the intial 30 minutes of the trading day); (4) if the price reverses and moves 10% of the ATR, then it's more than 50% likely to continue another 10% of the ATR
Perhaps we can get a good discussion going on HIGH PROBABILITY set-ups, whether it's frequent as 30 times per day or as rare as 2 times per month...
Walt
