Odds Czar: Simple Biases in the Futures Markets 2005

Discussion in 'Journals' started by Art Collins, Oct 16, 2005.

  1. I'm Art Collins, a published book author, lecturer, and a frequent contributor to Futures Magazine. I'm also a 17-year Chicago Board of Trade member, professional futures trader and mechanical system advocate.

    I'm here to share system ideas and for camaraderie, something I miss from my days on the floor. I've decided to keep a daily journal on Elite Trader as a way to generate more feedback on my system ideas. Each day, I will post my daily market biases to keep the discussion going.

    Here are some of my core beliefs. Feel free to add feedback, call foul on me, or whatever.
    1. The average trader can't succeed unless he or she is 100% mechanical. Most of us can not "hear what the markets are telling us" because for all practical purposes, the markets ain't saying squat.
    2. Human psychology tends to be drastically out of synch with what is needed to trade successfully.
    3. When one combines mechanical with discretionary, one tends to get the worst of both worlds.
    4. Simple is best.
    5. Basic elements can be combined to create greater wholes.
    6. Day trading can work, but there are inherent problems compared to other types of trading. The main problem lies in the relatively small trading arcs compared to trading costs.
    7. Ideas have to test well over a fairly wide array of times and markets in order to be considered trustworthy.
    8. When you do decide to trade a mechanical system, you must adequately budget for it. You must also follow all signals exactly as mandated.

  2. How do I go about building mechanical systems? I identify simple market biases, some of which are not good enough to overcome trading edges. By assigning them +1/-1 strength/weakness values, however, and combining them with other such indicators, you can often get a whole significantly greater than the sum of the parts. I will be showing this on a step-by-step basis, using TradeStation performance summaries to substantiate my contentions.

    Undoubtedly, my programming skills are short of the levels many of you are at. I intend to keep expanding my abilities rather than justify my limitations. Just to reiterate though, I’ve been privy to some very esoteric complex systems and some very basic ones. The lion's share of profits has come from the latter, at least in my humble experience.

  3. Here are my current bullish biases (+1). All reverse cases are bearish (-1).

    1. The 2-day average is less than the 5-day average.
    2. The close is greater than the 40-day closing average
    3. The highest close of the past 50 days occurred before the lowest.
    4. The close is greater than the previous close and the range is less than the average 10-day range OR the close is less than the previous close and the range is greater than the average 10-day average range.
    5. The close is greater than the 15-day high-and-low average (15-day high average plus 15-day low average divided by 2).
    6. CUP trade. For the last three trading days, the middle day had both the lowest low and the lowest close. In addition, the low on the middle day must also be lower than the lows from the previous three trading days before the middle day. (CAP would be reverse and bearish.)
    7. The highest low minus the lowest low of the last 3 days is less than or equal to 20% of the highest high minus the lowest low of the last 3 days.
    8. For the previous two days, the market closed lower than it opened.
  4. VictorS


    Out of curiosity, which futures are you trading? CBOT only?
  5. hi art

    one of your books has an interview with tom willis

    is this the "willis" of willis and jenkins

    who were managing futures funds
    in the 80's and maybe 90's ?

    also ... which of your 3 books do you consider the best or have gotten the most feedback on ?

    thanks for sharing any future thoughts here

    ps .. good luck
    this week if you are still a member and qualify
    for shares in IPO of the CBOT
  6. art ...

    have you ever tried using pivots for intraday trading ?

    did you find it hard to make the switch to screen trading from floor trading ?

    did you ever trade with charlie D or Tom B or chip K or Brumfield on the floor ?
  7. Here are my futures biases for tomorrow, October 17, using the above eight biases in nine futures markets. The futures markets are the following:

    1. E-mini S&P 500
    2. E-mini Nasdaq 100
    3. E-mini Russell 2000
    4. 30-Year Bonds
    5. 10-Year Notes
    6. 5-Year Notes
    7. Yen Currency Futures
    8. Euro Currency Futures
    9. Swiss Franc Currency Futures

    A "1" means bullish bias. A "-1" means bearish bias. The total is the sum of biases. A positive sum will be long (L) bias. A negative sum will be a short (S) bias. A sum of zero will be a neutral (N) bias.
  8. can you calculate at what future price S&P 500 will turn to neutral or negative ? Can you do it on intraday bases ( by replacing Close with Last) ?
  9. mark fisher in NYC does something like this
    as far as " Bias " goes in any given market

    although I am not sure how much if any weight he gives it over the ACD daily numbers and pivots
  10. SPX 2 day ave is currently 1181.7 and 5 days is 1182.7 , so its contributes +1 to your total of +2 count (buy signal) , but if tomorrow SPX will close at 1185( DOWN 1.5 point) the 2 days ave will be at 1185.8 and 5 days at 1182. 2.

    So the count will go to -1 and made the total count=0( neutral or exit).
    In the meantime , I lost 1.5 point on bullish count. Where I'm going wrong here (without checking the other indicators) ?
    #10     Oct 16, 2005