Trading Edge
- Thread starter dreamer
- Start date
good one.lol
I don't have a trading edge but a method of dealing with the market, it is not the same and I don't like the idea of "trading edge" that looks like the Casino gambler with his winning formula..
I have no problem to divulge it. It is already done in the thread:
Winning 20% yearly on a covered call portfolio .
So I took the first step.
And now, Dreamer what about you ?
I have no problem to divulge it. It is already done in the thread:
Winning 20% yearly on a covered call portfolio .
So I took the first step.
And now, Dreamer what about you ?
D, Perhaps I misread what you wrote. I thought it was inconsistent but if you meant the above then you are probably correct. I still feel it may be somewhat ironic but perspective is truly everything.
There is a good deal of valuable information on this site and I'm amused with the mix of perspectives and the witty cynicism. It would be nice to actually discuss trading more though.
My edge I can divulge? Portfolio analysis of system trading using both non-directional and directional systems.
Good trading.
I use 7 edges with each having it's own system. I'm not going to post them, but if you're looking for ideas....
Here's one I used in the SP futures market off of the put/call ratio. I haven't used it in years, so if you can use it or learn something from it...go for it.
Putcall Rules
Inputs:
SP or ND daily continuous futures data
OEX Put/Call Ratio - Pinnacle data file is oex-pc.csv
Long Rule
Go long tomorrow at open when the close of today's Put/Call ratio is less than 62% of the past 10 day average Put/Call ratio and one of the following is present:
1. Today's range (high-low) is less than yesterday's range.
2. The range of the (open - close) or (close - open) is 40% or less than the total range for today (high - low).
Short Rule
Go short tomorrow at open when the close of today's Put/Call ratio is more than 180% of the past 10 day average Put/Call ratio and one of the following is present:
1. Today's range (high - low) is more than yesterday's range.
2. The range of the (open - close) or (close - open) is more than 40% of the total range for today (high - low).
Exit Rule
Exit the position on the close of the day of entry
Here's a current profit summary for one contract :
Here's one I used in the SP futures market off of the put/call ratio. I haven't used it in years, so if you can use it or learn something from it...go for it.
Putcall Rules
Inputs:
SP or ND daily continuous futures data
OEX Put/Call Ratio - Pinnacle data file is oex-pc.csv
Long Rule
Go long tomorrow at open when the close of today's Put/Call ratio is less than 62% of the past 10 day average Put/Call ratio and one of the following is present:
1. Today's range (high-low) is less than yesterday's range.
2. The range of the (open - close) or (close - open) is 40% or less than the total range for today (high - low).
Short Rule
Go short tomorrow at open when the close of today's Put/Call ratio is more than 180% of the past 10 day average Put/Call ratio and one of the following is present:
1. Today's range (high - low) is more than yesterday's range.
2. The range of the (open - close) or (close - open) is more than 40% of the total range for today (high - low).
Exit Rule
Exit the position on the close of the day of entry
Here's a current profit summary for one contract :
Walther, I have a couple of daytrading systems that have been on the shelf awhile. I don't want to disclose the logic because I'm still using the underlying ideas.
Here's another free system that trades using VIX and the Put/Call Ratio. I call it the Kung Fu System because it's desgned to take money away from mutual funds when the market moves from value. The VIX may be dying as a indicator and this system didn't do well during the first Gulf War, so it should be used for research at least until after the Iraq mess is cleared up.
One thing of interest to options traders is when a trade is indicated, even if the direction is wrong, the volatility is systematically higher than would otherwise be indicated.
I checked it as a predictor of future volatility and it was superior to using the implied volatility from the VIX.
It's a self documenting spreadsheet of four combined trading systems. In the upper right is the year by year results along with year to date profit/loss. It's beaten the S&P by about 4X (up about 3300 SP points) and been profitable every year since the data started in 1989. It's got about 60% winners with about 600 trades listed. It's currently short the SP market since the Friday close.
It can be updated with data from the CBOE website in the first few columns and then just drag and drop down the columns from above to update the day. It's about 4MB, so be sure you want it.
http://home.neb.rr.com/futuresstuff/GIVE.XLS
Here's a snapshot of part of the summary to help you figure out if you want it:
Here's another free system that trades using VIX and the Put/Call Ratio. I call it the Kung Fu System because it's desgned to take money away from mutual funds when the market moves from value. The VIX may be dying as a indicator and this system didn't do well during the first Gulf War, so it should be used for research at least until after the Iraq mess is cleared up.
One thing of interest to options traders is when a trade is indicated, even if the direction is wrong, the volatility is systematically higher than would otherwise be indicated.
I checked it as a predictor of future volatility and it was superior to using the implied volatility from the VIX.
It's a self documenting spreadsheet of four combined trading systems. In the upper right is the year by year results along with year to date profit/loss. It's beaten the S&P by about 4X (up about 3300 SP points) and been profitable every year since the data started in 1989. It's got about 60% winners with about 600 trades listed. It's currently short the SP market since the Friday close.
It can be updated with data from the CBOE website in the first few columns and then just drag and drop down the columns from above to update the day. It's about 4MB, so be sure you want it.
http://home.neb.rr.com/futuresstuff/GIVE.XLS
Here's a snapshot of part of the summary to help you figure out if you want it:
I am not sure if Acrary or my system is good or bad....but talking about an edge - it took me 2hrs to design the system that trades SP (without optimizing it). Probably this is not a 'good' system because on average it produces 2-3 pts a day and it has some other drawbacks..I know that some of you can make better than that 
One contract in SP e mini producing over 35K a year - making 1 trade a day (after commission no slippage) with avg win 3x the loss
After making money the first year, if you only traded on contract per 20k and started with 40k account the same system produces 350k per year and traded 10 contracts max (equivalent to 2 big SP)
-pkjr
One contract in SP e mini producing over 35K a year - making 1 trade a day (after commission no slippage) with avg win 3x the loss
After making money the first year, if you only traded on contract per 20k and started with 40k account the same system produces 350k per year and traded 10 contracts max (equivalent to 2 big SP)
-pkjr