I need a fading system for EURO september futures

Discussion in 'Financial Futures' started by zf trader, Jun 21, 2007.

  1. As part of an option trading strategy I need to "fade" short term moves to manage my delta and of course make profit at a greater rate than time decay

    A few things I am considering.

    Selling when the CCI is higher that 200 using one minute bars or 20 periods.

    Selling at near the top of the one hour bars between noon eastern and 1am (or buying near the bottom)

    Selling at the top of a Bollinger band(settings TBD).

    I am open other suggestions.
  2. ?.........You could use the "sigma" calculation in order to be aware of the daily and/or weekly expected range for the contract based on the implied volatility. Ideally, that can provide target levels where the market will bounce. This should work better in the second and third years, also known as the "reds" and the "greens". The front months get locked onto the expected settlement too easily.