Weekly ES Signals

[OddTrader]

http://www.elitetrader.com/vb/showthread.php?s=&threadid=213261

Quote from OddTrader:

Update: Including correction of previous signals (Based on historical prices of SPY):

Wk 10Jan2011 Long 1271.40;
Wk 17Jan2011 Long 1293.00;
Wk 24Jan2011 Long 1283.70;
Wk 31Jan2011 Short 1277.20;

Wk 07Feb2011 Long 1311.50; and
Wk 14Feb2011 Long 1333.10.

Now finalised this system. All trades are hedged with options.

The above weekly ES signals (based on SPY prices) have also been revised as follows:

Wk 03Jan2011 Short 1257.5;
Wk 10Jan2011 Short 1271.4;
Wk 17Jan2011 Long 1292.9;
Wk 24Jan2011 Short 1283.8;
Wk 31Jan2011 Short 1277.0;

Wk 07Feb2011 Long 1311.5;
Wk 14Feb2011 Short 1331.3;
Wk 21Feb2011 Short 1345.1.

Historically its average WinRate was about 55%.

 

[OddTrader]

In his book "Reading the mind of the market - The Alchemy of Finance", Soros says (page 143): 'I propose an experiment. I shall record the views that guide me in my investment decisions at the present time and I shall revise them on a real-time basis while the book is in preparation.'

Here is my experiment.


http://www.elitetrader.com/vb/showthread.php?s=&postid=3304221#post3304221

Quote from OddTrader:

Short ES 1189.5 (hedged with options) for this week 19Sep/26Sep.

 

[Lojanica]

Excuse my ignorance regarding your hedging method. As an ES trader (as well as others) I always look to others methods keenly. Regards

 

[OddTrader]

Here are some articles:

Dynamic Hedging Strategies
http://simonbenninga.com/wiener/MiER71.pdf

Five Hedging Strategies
http://seekingalpha.com/article/160421-five-hedging-strategies

Hedging Strategies for Oil Producers
http://www.sempracommodities.com/oil_producers.asp

Jet Fuel Hedging Strategies: Options Available for Airlines and a
Survey of Industry Practices
http://www.kellogg.northwestern.edu/research/fimrc/papers/jet_fuel.pdf

Hedging Currency Risks {
Dynamic Hedging Strategies
Based on O&A Trading Models
http://www.olsen.ch/fileadmin/Publications/Working_Papers/950628-HedgCurrRisk.pdf

"These are reasons to revise the hedging strategy from time to time , once every year or more
frequently. Another reason arises from the progress in trading model development. O&A will
make their new trading models and portfolios available for hedging after these have been successfully
tested in-house."

 

[OddTrader]

Always in the market:

Last week:
Short ES 1189.5 19Sep2011/26Sep2011.

This week:
Short ES 1137.0 26Sep2011/02Oct2011.

 

[Pekelo]

Quote from OddTrader:

All trades are hedged with options...ver make any money just lose the commissions?

 

[OddTrader]

Quote from Pekelo:

Does that mean you never make any money just lose the commissions?

Is that your trading experience when using options to hedge a position?!

http://www.elitetrader.com/vb/showthread.php?s=&postid=2281165#post2281165

Quote from Pekelo:

Maestro, let's say one of us actually posted the EXACT same strategy what you are using. Would you say, yes, that's it????

If not, then what's the point of teasing us (well, I know, you pointed us in the right direction) and how do we know when we hit the nail, since you obviously can not acknowledge it???

 

[Pekelo]

Quote from OddTrader:

Is that your trading experience when using options to hedge a position?!

So instead of answering you quickly do a search on the inquiring poster?
(and quote a completely irrelevant post from him?)

The point is with hedging that you STILL have to time it right, when you remove the hedge, so would you mind answering the question?? How/when do you decide to close the positions and if you hedge it right, how do you make money?

Oh my, I have just realized I haven't answered your question!! So yes, that is my experience, that if you hedge correctly, one position offsets the other, thus you don't make any money....

 

[OddTrader]

Quote from Pekelo:

So instead of answering you quickly do a search on the inquiring poster?
(and quote a completely irrelevant post from him?)

The point is with hedging that you STILL have to time it right, when you remove the hedge, so would you mind answering the question?? How/when do you decide to close the positions and if you hedge it right, how do you make money?

Oh my, I have just realized I haven't answered your question!! So yes, that is my experience, that if you hedge correctly, one position offsets the other, thus you don't make any money....

You're probably right.

 

[Pekelo]

I am not picking on you, just genuinely interested how one is using hedging.

Also, if the signals are good, why is hedging needed??? Wouldn't a stop loss do the job, just in case the signal didn't work???