Kudos to MMs

Only one trade today:


02/06/2012 08:51:09 OFV = 1341.27653270725 Buy at 1341.04

 

Where exactly is the running loss on the 3 unit short? You have buy signals, but you remain short.... EXACTLY WHAT IS THE PLAN HERE????

 

I suspect he got out, but doesn't want to talk about it. Changing his focus to intraday signals that require less margin.

 

02/06/2012 11:00:20 OFV = -983.082894730161 Sell SPX at 1342.16
02/06/2012 11:00:58 OFV = 1342.98252147504 Buy at 1342.39
02/06/2012 13:00:16 OFV = -983.350000229801 Sell SPX at 1341.02
02/06/2012 13:00:52 OFV = 1342.00490814863 Buy at 1341.02
02/06/2012 13:13:39 OFV = 1341.41017474441 Sell SPX at 1341.73
02/06/2012 13:19:40 OFV = 1342.28732571242 Buy SPX at 1341.74

 

He is short 4 units.

 

02/06/2012 13:25:05 OFV = 1341.90413684948 Sell SPX at 1341.99
02/06/2012 13:25:42 OFV = 1342.40089598225 Buy SPX at 1341.84
02/06/2012 13:26:18 OFV = 1341.79965519152 Sell SPX at 1341.98
02/06/2012 13:27:30 OFV = 1342.34278160403 Buy SPX at 1341.78
02/06/2012 13:31:08 OFV = 1341.71332130519 Sell SPX at 1341.98
02/06/2012 13:32:55 OFV = 1342.35139371495 Buy SPX at 1342.21
02/06/2012 13:33:35 OFV = 1341.47640047942 Sell SPX at 1342.13
02/06/2012 13:34:46 OFV = 1342.0993033186 Buy SPX at 1342.09
02/06/2012 13:34:19 OFV = 1341.84084427718 Sell SPX at 1342.13
02/06/2012 13:34:55 OFV = 1342.33298287028 Buy SPX at 1342.17
02/06/2012 13:35:32 OFV = 1342.15796308174 Sell SPX at 1342.19


This day is turning into another nightmare for crossover systems.

 

02/06/2012 13:36:44 OFV = 1342.42987147223 Buy SPX at 1342.25
02/06/2012 13:37:55 OFV = 1342.00254558937 Sell SPX at 1342.23
02/06/2012 13:42:14 OFV = 1342.34959452141 Buy SPX at 1342.25
02/06/2012 13:44:02 OFV = 1341.81215803261 Sell SPX at 1341.93
02/06/2012 13:44:38 OFV = 1342.45957592093 Buy SPX at 1342
02/06/2012 13:49:38 OFV = 1341.97336486814 Sell SPX at 1342.21
02/06/2012 13:50:14 OFV = 1342.57076580922 Buy SPX at 1342.17
02/06/2012 13:52:37 OFV = 1342.10532371265 Sell SPX at 1342.14.
02/06/2012 13:53:13 OFV = 1342.88780133913 Buy SPX at 1342.17
02/06/2012 13:55:06 OFV = 1342.09101872589 Sell SPX at 1342.22
02/06/2012 13:55:42 OFV = 1342.79600098739 Buy SPX at 1342.24.
02/06/2012 13:56:18 OFV = 1342.13327155558 Sell SPX at 1342.3
02/06/2012 13:56:54 OFV = 1342.74552444863 Buy SPX at 1342.57
02/06/2012 13:57:30 OFV = 1342.36517284624 Sell SPX at 1342.59
02/06/2012 13:58:44 OFV = 1343.28871310634 Buy SPX at 1342.56

 

The obvious question right now is what is your effective commission cost per transaction on SPX. The next question would be is there any slippage in getting the quoted prices on SPX. And the last question would be at what effective rate per hour are you gaining from your labour assuming this system effectively scalps for profit, taking into account my first two questions.

It would be interesting to state the effective cost of buying/selling SPX ( in and out once ) for the trader. This would lend some much needed perspective on this experiment.

 

And if you start adding 50c (AT LEAST) on each R/T for slippage.... DEBACLE!

 

Will continue for the entire 2012 year with the two systems: calibrate OFV to SPX is the basis of both systems, crossover and slight spread. It will be interesting to see what happens. It doesn't costs anything in effort since it is purely automated.

I am thinking of adding a third system: If VIX drops below 20, add a system that buys stock (the best longs from stock model thread) and sells call premium against them, and shuts off crossover. There __is__ a mixed strategy that works, just have to find it.