Statistics

optionbull · Mar 16, 2013

Anyone have any experience data mining SP 500 futures peak/trough cycles average pullbacks etc?

Reason: I would like to have some stop points for trades that I have on and ones that I formulate in the future in conjuction with simple money monagement techniques

optionbull · Mar 17, 2013

Quote from optionbull:

Anyone have any experience data mining SP 500 futures peak/trough cycles average pullbacks etc?

Reason: I would like to have some stop points for trades that I have on and ones that I formulate in the future in conjuction with simple money monagement techniques

Nothing out there ?

rwk · Mar 17, 2013

I didn't do a formal study, but I concluded from experience that the ES is so efficiently priced that no stop placement is any better than any other. Disclaimer: I have quit trading the ES (for now). I love the liquidity in ES, but I think there is easier money to be had.

optionbull · Mar 17, 2013

Quote from rwk:

I didn't do a formal study, but I concluded from experience that the ES is so efficiently priced that no stop placement is any better than any other. Disclaimer: I have quit trading the ES (for now). I love the liquidity in ES, but I think there is easier money to be had.

Thanks

You are talking day trading scalp ?

rwk · Mar 17, 2013

Quote from optionbull:
You are talking day trading scalp?

I spent a lot of time and effort trying to find a way to profitably day trade the ES, and always came up empty-handed. But unlike many ETers, I make no claim that it cannot be done. My policy is to gather the low-hanging fruit, and ES seems to be just out of my reach. My game these days is position trading options on futures.

optionbull · Mar 17, 2013

Quote from rwk:

I spent a lot of time and effort trying to find a way to profitably day trade the ES, and always came up empty-handed. But unlike many ETers, I make no claim that it cannot be done. My policy is to gather the low-hanging fruit, and ES seems to be just out of my reach. My game these days is position trading options on futures.

Excellent u look directional bias?

I want the ES stats longer term for instance what did vol pop up to during the 08' sell off, what was retrace net down...etc

rwk · Mar 17, 2013

Quote from optionbull:
Excellent u look directional bias?
I want the ES stats longer term for instance what did vol pop up to during the 08' sell off, what was retrace net down...etc

Quite the contrary. I am selling volatility market neutral. I tried options on ES and quit that after getting whacked last December. I am more concerned about quick anomalies (i.e. flash crash) than big moves like in 2008.

optionbull · Mar 17, 2013

Quote from rwk:

Quite the contrary. I am selling volatility market neutral. I tried options on ES and quit that after getting whacked last December. I am more concerned about quick anomalies (i.e. flash crash) than big moves like in 2008.

U look at commodities? Or individual equities? So you sell vol and trade delta and hope mean reversion?

Last December whacked u short a little vol?

rwk · Mar 17, 2013

Quote from optionbull:
U look at commodities? Or individual equities? So you sell vol and trade delta and hope mean reversion?
Last December whacked u short a little vol?

Yes, I currently trade options on futures. I think futures are easier than stocks, and I like the leverage and favorable tax treatment.

For the 12/21/2012 trade in ES, as I recall the market dropped after hours about 40 handles and recovered about 30 in a matter of seconds. That was expensive.

optionbull · Mar 17, 2013

Quote from rwk:

Yes, I currently trade options on futures. I think futures are easier than stocks, and I like the leverage and favorable tax treatment.

For the 12/21/2012 trade in ES, as I recall the market dropped after hours about 40 handles and recovered about 30 in a matter of seconds. That was expensive.

Ah, yes after hours BS .

I was looking at a method or way to enter the market via some longer dated pivot ranges using futures and instead of buying underlying buy an option, if you care I can share what I was working on... Not a big deal but a start think it has some components missing that could make it a decent set up trade