neiderhoffer

Neiderhoffer's trading system has always fascinated me. I have an idea to replicate it however i want to know whether technically it is feasible and if so whether there are any of u that are super-duper coders that can figure out how to code it.

Take 3 to 4 highly coreelated markets, A,B,C,D

The idea is to use a movement in 2 markets to predict the movement in the other 2. If A and B move up relative to C and D then We would long C and D. If C and D move up relative to A and B we would long A and B. Alternatively an arbitrage could be made so that if C and D move up we would Long A and Short B.

I think it would only work in short term time frames probably in periods less than a week.

Any ideas on this one guys?

 

Beta.

You're 10 years behind.

 

Aren't we all?

 

we need to be so far behind as to be ahead.

 

See also; Neiderhoffer, Matador Fund; May 2006 return using current system

 

Sell back month, 10d puts in SPX and pray.

 

don't use air conditioning

 

Exactly bro. It hardly takes an army of quants to enlist VN's strat. No different than what your Dad was doing 30 years ago except those with your bloodlines were savvy enough to be slamming 35 vols........

 

Actually much to my surprise, he doesn't sell many naked puts anymore. Mostly trades futures. Albeit with a long bias.

 

What, you mean since May of this year? He clears Vtrader now?