QQQ traders...

vikana · Jan 11, 2002

Originally posted by dvegadvol
Sorry I forgot to add the url for Farmer's paper:
http://www.santafe.edu/~jdf
Marc

Great link - thank you. Just in case someone doesn't know. Farmer and Doyle's adventures into Chaos and finance is chronicled in "the predictors".

http://www.amazon.com/exec/obidos/A...86414/sr=8-1/ref=sr_8_3_1/103-0287526-2504637

I've enjoyed reading the book several times. Great characters and good story. The story also shows how difficult it is to beat the markets with advanced mathematics.

vikana · Jan 11, 2002

QQQ are tough in my opinion. If you take a typical 10 to 15 minute swing on 5 min bars, the ATR10 is only marginally larger (by visual inspection). That makes the noise almost as large as the move, which makes trading difficult.

I mostly use QQQ's counter-trend to even out my portfolio trades. e.g. if I'm long and the market looks weak, I might short QQQ's until my stops are hit in the portfolio (which is traded systematically)

qwiktrade · Jan 11, 2002

actually, i find the Q's easier to read than individual stocks.. they respond very well to technicals.. actually, i prefer to trade them from the nq chart as it is much cleaner.. i wish the dia and spy had tighter spreads..

-qwik

Pabst · Jan 11, 2002

Qwik: I share your methodology and sentiments.

AllenZ · Jan 13, 2002

Don,

I am trading exclusively the qqq and find that there are several setups that occur daily. The problem lately ( last 4-6 months ) is the the ranges have narrowed intraday and the qqq tends to move no more than .30-.50 before stalling or retracing. I have been successful in pulling some scalp profits out of the qqq with my technical analysis setups ( double tops/bottoms, reversals, breakouts, slimjim patterns ) but the big moves are tougher to attain. Currently I use about a .15-.20 stop loss and look for moves of .30-.50 and find I can make consistent money this way.

Allen Zuckerman

easyrider · Jan 13, 2002

Allen

Nice to see you here. Are you running a room now? It sounds like you are doing exactly what I am trying to do but probably doing it a lot better. Why did you decide to concentrate on the Q's"?

qwiktrade · Jan 13, 2002

easy..

Allen is over at realitytrader now.. and doing a fine job i might add.. =)

-qwik

AllenZ · Jan 13, 2002

I decided to focus on the qqq for several reasons:
1. smaller more controllable stops
2. focusing on one stock allows me to create a duplicatable and consistent system for extracting daily profits
3. my personal strength has always been determining market direction, qqq allows me to trade my strength
4. much more liquid and predictable than any stock I have ever traded
5. not effected by larger size trading 500 or 5000 shares little or no slippage

I have found the qqq to be a very consistent and reliable trading vehicle. Trading stocks intraday has become a very difficult proposition and my personal success in the qqq leads me to belive that index trading could be the future of daytrading, thus the reasoning for my change to focus on this instrument only. ( Also trading SPY and DIA )

Don Bright · Jan 14, 2002

Originally posted by AllenZ
Don,

I am trading exclusively the qqq and find that there are several setups that occur daily. The problem lately ( last 4-6 months ) is the the ranges have narrowed intraday and the qqq tends to move no more than .30-.50 before stalling or retracing. I have been successful in pulling some scalp profits out of the qqq with my technical analysis setups ( double tops/bottoms, reversals, breakouts, slimjim patterns ) but the big moves are tougher to attain. Currently I use about a .15-.20 stop loss and look for moves of .30-.50 and find I can make consistent money this way.

Allen Zuckerman

With the volatility down and the actual price down as well, I guess it is a bit tougher to pull out money as in years past. Where do you do most of your trading...Island? My guys have informed me that they are still getting "arbs" from the AMEX vs. ECN...I can't watch them all day, but wanted to check with some other traders.

dvegadvol · Jan 14, 2002

There are exploitable moves out there, but they are smaller.

I've done some analysis of the NDX and have found that (for the past six months) the average of the absolute value move has dropped to about 0.76% (~12.2 NDX points, ~0.30 in QQQ).

That's about half the value we saw in 1999 and 2000. The average time in trade was about 19 minutes, which is slightly smaller than average, but not dramatically so. I'm looking at intra-day movement with respect to time of day, time in trade and volatility...

Don's absolutely right, there has been a decrease in volatility as well as a decrease in the level of the index which translates to smaller price relatives, returns and p/l.

The arb between ECN's and AMEX / NYSE still exists, it's just easier for those weaned on Nintendo and Quake! I usually keep an Island BookViewer open next to Redi...

Cheers,

Marc