QQQ traders...

D

Don Bright

(From another post)...

Now a question for you QQQ traders...We had two extremely successful offices trading nearly 100% QQQ's in 1999 and the beginning of 2000. The profits have faded considerably since we can no longer get easy arb's between the Amex and
Island...any new insights on what is working well these days?
 
I've been working on the QQQ's for a while and I'll offer up a few of my observations, fwiw

The arb btwn Island and the rest has doubtless faded due to increased competition to do the arb, fewer providers of 'arb-able' prices and increased transparency of prices- although they still appear from time to time.

I am a derivatives guy - I ran the NYC Global Derivatives desk for a large securities firm and because of the way our book was structured, we were primarily interested in trading gamma; another way of looking at intraday swings with respect to rebalancing frequency.

I created a number of quantitative models that were designed to 'look forward' to the next swing point. The models are adaptive to market conditions and are based on period return (not price). I don't use them in the 'conventional' way, however.

I'm now adapting them to trade the QQQ's and e-mini NQ contracts.

I've also done some research into time of day, time in trade and volume... there's some exploitable stuff in that data, imho.

Great idea for this thread, btw.

Regards,

Marc
 
dvega-
can you recommend some reading material on the models you mentioned? without of course, revealing too much of your research
thanks
uptick2000:D
 
A great place to start is with Doyne Farmer's paper "The price dynamics of common trading strategies". The math isn't complex and the bibliography is staggering - a goldmine of valuable information. The Engle, Huang, Chan and Brock / LeBaron papers are my favorites. Also any papers from Derman and Kani.

"Volatility in the Capital Markets" by Israel Nelken has a few good chapters - check your library...

Hope this helps,

Marc
 
Good info, and I thank you all for it. I will check out the sites and papers.

Other than the conventional basket arb's and group indicators (tech's etc.), has anyone come up with a reliable (very) short term indicator? The QQQ and eminis are basically running concurrently, and the lag time between the ECN's and the exchanges has dropped considerably...any ideas.?

The reason for my questions is that we are always encountering the "immediate gratification" trader who loves the quick action of trading indexes, but we have not been of much help in suggesting viable strategies. I tire of pointing them to other products (equities) at times, and want them to do well...but am at a loss as to what to tell them to look for.

:confused:
 
Don,

I think the obvious solution is to subscribe to Chartwiz's site...LOL. How's the much-anticipated contest going and who actually made it to the starting post?
 
Originally posted by AAAintheBeltway
Don,

I think the obvious solution is to subscribe to Chartwiz's site...LOL. How's the much-anticipated contest going and who actually made it to the starting post?
More...

We only ended up with 4 players total (who have submitted trades each day).

I have passed the task to one of my seasoned traders, and should have some results pretty soon.

I am kind of disappointed by the lack of enthusiasm from the sites. I am thinking about trying it again with the support of the magazine. (TASC)
 
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