Discussion in 'Data Sets and Feeds' started by optionbull, Mar 16, 2013.

  1. Anyone have any experience data mining SP 500 futures peak/trough cycles average pullbacks etc?

    Reason: I would like to have some stop points for trades that I have on and ones that I formulate in the future in conjuction with simple money monagement techniques

  2. Nothing out there ?
  3. rwk


    I didn't do a formal study, but I concluded from experience that the ES is so efficiently priced that no stop placement is any better than any other. Disclaimer: I have quit trading the ES (for now). I love the liquidity in ES, but I think there is easier money to be had.
  4. Thanks

    You are talking day trading scalp ?
  5. rwk


    I spent a lot of time and effort trying to find a way to profitably day trade the ES, and always came up empty-handed. But unlike many ETers, I make no claim that it cannot be done. My policy is to gather the low-hanging fruit, and ES seems to be just out of my reach. My game these days is position trading options on futures.

  6. Excellent u look directional bias?

    I want the ES stats longer term for instance what did vol pop up to during the 08' sell off, what was retrace net down...etc
  7. rwk


    Quite the contrary. I am selling volatility market neutral. I tried options on ES and quit that after getting whacked last December. I am more concerned about quick anomalies (i.e. flash crash) than big moves like in 2008.
  8. U look at commodities? Or individual equities? So you sell vol and trade delta and hope mean reversion?

    Last December whacked u short a little vol?
  9. rwk


    Yes, I currently trade options on futures. I think futures are easier than stocks, and I like the leverage and favorable tax treatment.

    For the 12/21/2012 trade in ES, as I recall the market dropped after hours about 40 handles and recovered about 30 in a matter of seconds. That was expensive.
  10. Ah, yes after hours BS .

    I was looking at a method or way to enter the market via some longer dated pivot ranges using futures and instead of buying underlying buy an option, if you care I can share what I was working on... Not a big deal but a start think it has some components missing that could make it a decent set up trade
    #10     Mar 17, 2013