thanks destriero
- Thread starter Real Money
- Start date
Wow, I missed the reference entirely. RM was referring to my comments about delta1. Extrapolating VIX targets isn't going to work due to how it's weighted, so you could apply an ATM implied vol in lieu of using stat-vol. And yeah, you should have a stat-vol target on spot.
Just as there are setups that are worthwhile within a "key reversal" pattern (with other criteria) and the beauty of that setup is that the bar low(high) on the long(short) acts as a stop (negating the signal). Vol-based targets not being useful in that specific setup.
If you don't have a vol based target you will fail in D1. As a trader. ( without OPM etc. )
I recall you recommended even using an ATR with a 2.5 day lookback set to the duration you are planning to hold the trade as a target.
For D1 with leverage, I've not personally found it feasible to have hold times in excess of 30 mins or so for most setups. The game then seems to be filtering to find large enough moves to cover retail fee disadvantage and the losses from bad signals.
Volatility based targets would overcome the issue of taking profits too soon in this volatility which may turn my D1 trading -EV if my higher than average win rate reverts.
Learned a lot from your posts here under the other handles you mention, appreciate your efforts for those of us who wish to evolve from the primordial slime.
I recall you recommended even using an ATR with a 2.5 day lookback set to the duration you are planning to hold the trade as a target.
For D1 with leverage, I've not personally found it feasible to have hold times in excess of 30 mins or so for most setups. The game then seems to be filtering to find large enough moves to cover retail fee disadvantage and the losses from bad signals.
Volatility based targets would overcome the issue of taking profits too soon in this volatility which may turn my D1 trading -EV if my higher than average win rate reverts.
Learned a lot from your posts here under the other handles you mention, appreciate your efforts for those of us who wish to evolve from the primordial slime.
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I don't trade a lot of D1 beyond hedging, but work your lookback based upon your expected holding period. I was short on the # of stocks that were closing under their open (on an up day) and forecasting resolution within three days. Obviously you would have covered prematurely as the ATR reflected low-vol due to the lookback. And now, any D1 position with a vol-target is going to have wide parameters on TP and stops due prevailing high vol that played out late in the week.
The manipulation (by Son at SoftBank) of tech stocks and their vol-mkts forecast this vol, as the mkt tanked when the scheme went public. His actions and the resulting mark-up in vol predicated the move. It was self-fulfilling and is as good a reason as any to use (implied) vol-based targets. Use ATM implied vol, not the VIX abomination.
Okay, I'll test pulling the IV figure from the ATM options on each future I trade at the beginning of the session. And then calc a 15/30 minute volatility estimate from that - dirty (6.5 hours of RTH) approximation for NDX IV/ ((13*252)^2) = 30 mins vol is 1/57th annual, 15 mins is 1/81.
By the way, I took your short NDX on a touch of $505 AAPL hold for 100. That was generous of you to share, thanks.
By the way, I took your short NDX on a touch of $505 AAPL hold for 100. That was generous of you to share, thanks.
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For 30-minutes you can use ATR (essentially HV) or ATMIV. IV will price in event-risk.
Dest is a great tutor. Without him I would've never learned about how powerful the block button is.