I can't promise that it sorks in all market conditions - it had a bad month recently when I incorrectly called the top in several markets for example - but I'm using options to trade direction/trend (and volatility) with reasonable profitability, using daily charts. Over the last year (c.150 trades) P&L is c.15% with a average duration of 23 days, so c.780% annualised. This is slightly lower than backtest results, but ignores the positive impact of using futures to trade breakouts, and 3-9mth OtM credit spreads. The long options used to trade trend are all detailed in my journal: https://www.elitetrader.com/et/threads/global-options-trades.330518/ Have a read. Thoughts welcomed.
Interesting approach, but the problem is that the dividend received is usually relatively small compared to day-to-day price movement. The risk of a significant drop in price overshadows the benefit of receiving the dividend.
Ehlers adaptive moving averages are definitely less "laggy" compared to the conventional MAs. The math behind them tends to get pretty formidable though...
@panzerman, can you share a good, reliable source for Kalman filter formula that can be understood in simple and non-quant terms? I tried to look for Kalman filter implementation for Ninjatrader, but couldn;t find one; thinking of developing one myself.
It took me 9 years, 30,000 hours and ten's of thousands of dollars to develop what your looking for. Do you seriously think anyone is just going to hand that over?
. Agree, I benefited from lots of educational broad fundational guidance here on ET. I often take the other side of your trades.
Do you know how to set up a Kalman filter? I took a MATLAB class because friends told me MATLAB is the language for Kalman.
Gladwell's book "Outliers" says it only takes 10,000 hours to become an expert. Maybe trading is an exception.