Cool article, thanks for posting. Had no idea.
your "typical" strategy
- Thread starter morganpbrown
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Cool article, thanks for posting. Had no idea.
Very wide ATM credit spreads, I don't gamble, price dictates duration. I have developed 3 so far patterns, 1 based on stock fundamentals but not what most read.
Almost all of my trading style is entering at extremes whether scalping or very long term. Momentum never made risk low enough for me unless hedging done. I do use physics (speed and velocity), charting and TA but not Fibonacci, Gann or Astrology. I also use relationship study parameters so it can be programmed. Trade selection is almost always going against trend.
I am not a Savant, but am Autistic, very high Asperger's meaning have lack of emotions, no fear, love, hate are ever felt, loner type of personality, beyond gifted brain in pattern recognition but have forced myself to go beyond my office. But prefer small enclosures, after 32 years am engaged, she has Asperger's as well-remarkable stock picker and artist she is.
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I used to have a very stupid simple system. When a central bank (unexpectedly, this is important) changed policy I would buy every dip the next day until new economic releases of importance. Worked long time, sadly market isn't stupid.
Personally I feel I have come full circle on this question from thinking it needed to be complicated to finally realising that keeping it simple is the best way forward for me!
I do heavy research and development (complete process covering everything) during a period to locate a real source of validated Alpha.
Then I build and tailor my strategy/system around that. Every source of real and true Alpha is unique. Usually I use one Alpha source for multiple strategies/uses.
The same model may for example be used to both trade Covered Calls against a large index portfolio, for making directional swing trades and doing CSP's against OCC PM.
Then I build and tailor my strategy/system around that. Every source of real and true Alpha is unique. Usually I use one Alpha source for multiple strategies/uses.
The same model may for example be used to both trade Covered Calls against a large index portfolio, for making directional swing trades and doing CSP's against OCC PM.
Cool, thanks.
What is OCC PM?
I'm reading a Mark Minervini book, and I know people dish on him here, but his thought process seems similar (fundamental & momentum analysis to find "alpha"). Selfishly, I'm curious if you could give some more color on your general R&D thought process (no secret sauce, obviously).
PM is Portfolio Margin using OCC's model.
You got a pipeline which goes from brainstorming, idea generation, early testing of ideas, more in-dept testing of promising early results, validating the Alpha component and so on.
This is basic stuff one can pick up in books covering systematic/quantitative trading.
Systematic trading books are not option specific, any book will do. Options is just one vehicle among others.
Don't read books myself these days, mostly research papers, interviews and articles by and on CTA/HF people.
My Dad's system long time ago was just to trade stuff he ate or places he ate at etc. He was heavy into Dr. Pepper, House of Pancakes , McDonalds. He did a lot of complex trades with options and what not, but the stock always had to be something he was personally spending money on. It was embarrassing when I was a kid because every time we went into House of Pancakes he would tell the waitress he owned the place.