There won't be an abnormal reaction in price to the event when it occurs. For example a stock runs up 10% a week going into earnings and then the company announces blowout earnings and the stock is barely up on the report or even lower.
The ACD Method
- Thread starter sbrowne126
- Start date
There won't be an abnormal reaction in price to the event when it occurs. For example a stock runs up 10% a week going into earnings and then the company announces blowout earnings and the stock is barely up on the report or even lower.
I agree with you kinggy "jim" has probably saved heck of a lot of cash implementing machines to trade but I do believe that his cash saving primarily come from the machines ability to learn and adapt to changing circumstances in which human counterpart's fail to recognise and leaves me to what Mav said previously if you know when you wrong your ahead of the competition. some other conclusion I've come to is (probably wrong) systematic trading methods usually have short life cycles intraday to week and if lucky couple months and need to be constantly changed, another thing I found interesting is when he discusses that he can't model human traders.
Mav quick question when traders suggest that the market has priced a news event or a event how do you truly know if its been priced in ?
He says that he ran into scale/size issues. Seeing that they were managing several billions I am guessing that it is more of an issue of opportunity than capital. Like many market makers I am guessing that they did better with high vol. They did well overall around the credit crisis.
yep their performance on overall basis is madness including the crisis. the RIE equities fund didn't perform so well in the crisis due the high volatility in equities i think they where down for that particular fund , their also building longer term fund i think it will be open to investors and will be able to hold more money than their sister funds (he did suggest that performance will probably not be that spectacular in comparison to other funds).
What did you make of todays price action? I was thoroughly convinced we were going to sell off after the rally last few days, with people worried bout another 30 point greek gap. I went all in short the sandp in retirement accounts via the SPXS, only to see that late day rally. Also tried playing the spread Long ES, Short NQ cause of the discrepancy and got grinded into dust on that as well........... Just to make sure i made a complete ass of myself, i also shorted GOOG at like 654 this morning for good measure, owned doesnt even begin to describe what happened to me today. 
I thought we might sell off as well being that GOOG was up 10% in AH yesterday and the spoos were unched. Also the strength in Bonds has been bearish. There definitely are some conflicting signals here. Small caps are breaking down but Nasdaq breaking out. Bonds are getting bid and the yield curve got smoked today. Vol is getting crushed but my macro risk indicator is getting more bullish. Add it up and you have Chop Suey. I think your best bet to short risk is to buy Bonds.
For the last couple months ive been trading on the assumption that the market cant put in a meaningful rally with how strong the dollar is, ive been shorting the highs every time the last couple months by going long the SPXS, im still trading under that philosophy, but the reversal today combined with the strength in the QQQ's looked awful bullish.
I dont necessarily think we are going to tank but i have just resigned myself to the fact that we are in a chop market, that isnt going to break out any time soon, not this summer anyways. IMO.
Ive made the mistake of getting overly bearish the last couple days cause of that sharp move down, where as i should just keep letting the market come to me and keep taking profits on all the bounces off the top.
I dont necessarily think we are going to tank but i have just resigned myself to the fact that we are in a chop market, that isnt going to break out any time soon, not this summer anyways. IMO.
Ive made the mistake of getting overly bearish the last couple days cause of that sharp move down, where as i should just keep letting the market come to me and keep taking profits on all the bounces off the top.
One of the patterns that has held up well the last 5 years or so is that selloffs on bad news don't follow through. Too many shorts pile in on the bad news thinking this is their time. I've always held the contention that the best selloffs come on good news and bullish data. I think we are starting to see the bullish data and Yellen agrees...rate hike on! I also like the blowout earnings reports from GOOG and NFLX. These all might lead to a nice selloff. Bonds re-set for me last week and as soon as they did the yield curve got smoked. I don't see how there will be much upside with a flattening yield curve and bonds making a run to the highs if that plays out. Keep in mind there are two ways for risk assets to correct. Through price or through time. We might get a time correction which means lots and lots of chop. I think Bonds can rally nicely in that environment.
Great point, in the last 6 months i gave up on trading gap downs altogether(Except the odd peurtorican bank like FBP. ) , i only trade gap ups, and either buy the breakout, or short the insanity depending how far it goes, and what the news was. But so many times i would pile into those gap down plays on bad news and get killed (Like LL after the 60 minutes piece on arsenic in the flooring on march 2nd), , and sometimes it would reward me so i kept doing it but when i really started breaking down my trading i figured out i wasnt even profitable on them. Id way rather short a stock thats up a ton on the day/week(for no justifiable reason) then one thats down. Especially with the SSR rules where the uptick rule kicks in once a stock makes a 10% move.
So many games get played with that up tick rule, check out OHRP, yesterday it drops just enough to trigger SSR and the uptick rule, then some jerkoff with size just starts walking it up cause no one can hit him if he sits on the bid. It goes to like 3.70 then goes all the way back to 4.30 only to eventually collapse when they cant prop it up anymore. Pretty predictable price action.
) , i only trade gap ups, and either buy the breakout, or short the insanity depending how far it goes, and what the news was. But so many times i would pile into those gap down plays on bad news and get killed (Like LL after the 60 minutes piece on arsenic in the flooring on march 2nd), , and sometimes it would reward me so i kept doing it but when i really started breaking down my trading i figured out i wasnt even profitable on them. Id way rather short a stock thats up a ton on the day/week(for no justifiable reason) then one thats down. Especially with the SSR rules where the uptick rule kicks in once a stock makes a 10% move.So many games get played with that up tick rule, check out OHRP, yesterday it drops just enough to trigger SSR and the uptick rule, then some jerkoff with size just starts walking it up cause no one can hit him if he sits on the bid. It goes to like 3.70 then goes all the way back to 4.30 only to eventually collapse when they cant prop it up anymore. Pretty predictable price action.
Last edited:
Hmm maybe derivative of numberline function? Discussion kinda made me think it could be valuable.Getting warm....