Kudos to MMs

NFV considers the bond market.

 

So I am being dishonest when pointing out the fallacy of your thinking? Again, what is the P/L of the system for the last 6 month? If we want to be honest I mean....

For fun Long 1163....

 

unless you are able to buy on the bid, you wouldnt have gotten a 63 fill in the last 15 minutes

 

NFV 1108.30. ANFV 1164.80. SPX 1167.63.

Close enough to 60 edge. Add short unit here @1167.63.

 

NFV 1109.00. ANFV 1164.71. SPX 1164.97.

If you entered on 60 edge, you might take profit on convergence to ANFV. I have been noticed that this is what people are doing now with this - taking edge only when SPX is divergent from NFV based on some chain (as we have been doing for months), but also when SPX is divergent from ANFV, but taking profits _not_ on a crossing below a convergence to a lower chain point, but instead convergence to ANFV.

Of course, easier is just to take divergence from ANFV, say +/- 5 and exit EOD no matter what, or on profit target, whichever comes first. But this requires me to post ANFV in realtime.

In order for me to take profit on the 60 units, I need SPX - NFV <= 50. So we need SPX approximately 1159 at current NFV reading.

 

Code:

[B]Date         Action    Quant Price   Position  Basis    Realized G/L
09/02/10     Short     -1    1089.00    -1    1089.00    
09/03/10     Short     -1    1104.00    -2    1096.50    
09/09/10     Short     -1    1107.00    -3    1100.00    
09/13/10     Short     -1    1121.75    -4    1105.44    
09/15/10     Cover     +2    1116.75    -2    1105.44     (22.63)
09/16/10     Cover     +1    1118.00    -1    1105.44     (12.56)
09/17/10     Short     -1    1133.00    -2    1119.22    
09/20/10     Short     -1    1142.50    -3    1126.98    
09/23/10     Cover     +1    1124.00    -2    1126.98     2.98 
09/24/10     Short     -1    1140.68    -3    1131.55    
09/24/10     Short     -1    1146.62    -4    1135.31    
09/28/10     Cover     +1    1133.19    -3    1135.31     2.12 
09/28/10     Short     -1    1145.05    -4    1137.75    
10/04/10     Cover     +1    1138.43    -3    1137.75     (0.68)
10/05/10     Short     -1    1152.90    -4    1141.54    
10/08/10     Short     -1    1160.59    -5    1145.35
11/11/10     Short     -1    1167.63    -6    1149.06    
                                                Total     (30.77)
                        
SPX    1167.63    Unrealized Gain/Loss         (119.53)        

[/B]

 

I thought the next buy point was 65 not 60:

 

60->70. It was as you said, but I realized that was chicken. Also, I can not resist shorting against 1172 SPX on almost any reason. After edge is 50, what difference does it make? This thing is either in lalah land, or it isn't.

The chain is my preference. You have to use your own chain based on account size, courage, how adaptable you are, and what else is going on in the market. The chain is __NOT__ the system. NFV and ANFV are.

You also have to decide what instrument to use, ES spreads, ES, SPX options, SPY, SPY options. Maybe use only one chain point, etc etc etc....

 

Convergence to ANFV happening in realtime (NFV is the first number, ANFV the second. Ignore the other two - tests):

 

10/11/10