Spread Trading Strategies

Discussion in 'Technical Analysis' started by bone, Jun 13, 2012.

  1. Where did you find that quote?

    The reason I ask is the chap can't write a sentence in simple clear English, so I want to stay as far away from it as possible. LOL
     
    #111     Aug 31, 2012
  2. dude you know how quacky quant people probably talk.. they love combining big words and trying to talk in ways that only thier little sub circles understand.. i tell everyone to tell me like i'm a fourth grader so when i get to that fourth grade level i'll know what the fuck they are talking about haha..
     
    #112     Aug 31, 2012
  3. It's from a 1999 paper on trading vol spreads, SPX vs OEX. No longer
    relevant, IMO.
     
    #113     Aug 31, 2012
  4. nothing is relevant once its published.....
     
    #114     Aug 31, 2012
  5. deucy28

    deucy28

    #115     Sep 4, 2012
  6. deucy28

    deucy28

    Ok folks.

    Updated chart on nicely and quickly performing trade (re-trade, actually)

    Short HOT
    Long HST

    all over again.

    It had mostly retraced (80%) from the closing out of the Aug trade's starting point of that trade three weeks earlier which of course is why I called to start accumulating shares a few days ago (posted twice to accumulate).

    The train has left the station in the last few days, making a nice move almost overnight. In the big scheme of things, it has a lot more to go, but why I got out flat by 22 August was that it appeared to be rolling over, which it did, moving toward the point of origin of the original trade. Many times, wonderfully looking potential trades for long distance moves in a trader's favor do these "re-visits" before finishing the long trip to the final, excellent destination.

    Chart posted on top of page for Forums: Trading / Charts of Note

    or if link works: http://www.elitetrader.com/vb/editpost.php?s=&action=editpost&postid=3619574
     
    #116     Sep 7, 2012
  7. deucy28

    deucy28

    #117     Sep 10, 2012
  8. deucy28

    deucy28

    Charts will be posted on TRADING / Charts of Note without too much follow up commentary about a chart in subsequent posts

    Commentary, should there be follow up, will be posted on JOURNALS / Pair Trading Strategy Journal (Johnny Sharp's thread).
     
    #118     Sep 11, 2012
  9. deucy28

    deucy28

    #119     Sep 13, 2012
  10. deucy28

    deucy28

    I was asked--considering my enthusiasm for this trade starting Aug 1-- by what manner does the HOT HST pair trade exceed anything more than a "normal" one because it appeared to him to be just a normal spread.

    The response I made on the chart itself included three points, and I think is luminative:

    http://www.elitetrader.com/vb/showthread.php?s=&postid=3626832#post3626832

    1. The probability of this trade, started Aug 1, was so very high that it would be a gainer that I tripled my normal shares for an initial opening trade. The probability was based on its unusual series of CHART HISTORY, top down. I start with very long term charts and examine from there sequentially shorter term charts. This was one of the best, if not the best I have seen in 4 years. Understand, I have done little trading the last 2 years.

    2. The maximum potential of gain was higher than normal;

    3. The time I estimated that the previous two described advantages would materialize would be quicker than normal.

    The intra-day spread today went favorably very nicely, and I believe there is a 60% chance of 40% more gain. I have closed out this trade, because I do not enter new trades with 60% odds in my favor for a gain. I attempt to find potential trades that suggest 100% probability for gain. It happens, however, that some 100%-ers are much better than others. When trading in my 100 per cent probability world, there IS diversity.

    Unfortunately this deserves more time in research to find trades that with my current projects in life, I don't have the time to prospect now. Anyone wishing to nominate trades, please post and we can examine them. A trade for me is examined Top Down. I look at long term charts and work my way down to days. It has to make sense all the way across its history.
     
    #120     Sep 14, 2012