tj - nearly all of my trades are intraday, so the only fear is a trading halt. i cut back any end of day positions to much less than my normal size for that reason. i also almost never hold common stock through earnings. i've had a periodic takeover when i'm short, but it's rare. the time factor is only for my intraday trades.
I conclude from your post that you are a thoughtful, experienced, wise and prudent trader. Not everyone is like you. I wish you continued success. On average, everyday I discover something I did not know the day before. If what I discover is not new, but only new to me, it means there is a chance someone out there knew something I did not know, and there is a chance I know something that someone out there does not know. When a know and a does-not-know meet, money may flow to the pocket of the know from the pocket of the does-not-know yet.
I would like to hear people's ideas about what stat packages are most useful for spread trading. Thanks in advance.
Here are some thoughts inspired by The Prince, by Machiavelli. If two are fighting, one must take a position if both are stronger than oneself, and one must not take a position if they are at peace among themselves. I do not think he said the latter , but it was added. TJ, The Prince!
I have never used this so it is not an endorsement. There are a couple of threads on this board dedicated to pairs trading and this was mentioned. http://www.pairtradefinder.com/
I prop trade at the same firm as sommi is(he knows who i am lol) and when I looked at this thread I have asked him why is he even bothered or be nice enough to reply some of the people on this forum. If it were me I wouldnt give a f--k about those people and I hope they keep on trading and never learn their mistakes and keep on failing because in my line of work I need those people to keep taking losses and never to come back from it. Anyway, enough ranting. Back to the topic for a little bit. There s only a hand full of millionaire traders because to get there you pretty much have to give your life away to the markets (no exceptions, not even if you think you are the best haha) But here are some of cool stuff I like to add to from what I ve learned and will keep learning from these 3 guys at my firm. 1) They experiment with different markets that no one ever thought of or existed. Mostly spreading, but they PIONEERED some of the ideas and have squeezed as much money before every single one of us flee jumped on board. I.E . Can you spread oranges juice against cattle?? lol, I dont know. Basically they explore corners of the earth to find a way to increase their income 2) All of them have minions(support traders) that help them watch the market as well as managing multiple orders. I wish that I never have to sleep but I get way too tired managing my orders and when I m tired I cant trade for sh_t 3) Information edge and broker friendly fills; this is one of the biggest edge that top 3 guys at my firm have. And unfortunately its unfair for all of us. These top 3 guys do so much brokerage that their brokers are willing risk losing their licenses and go to jail, but will help them out by giving fills outside the market price OR tell them what other firms/instos will be doing. Just imagine if your broker tells you that Macquarie bank needs to dump 50k worth of XT contracts throughout the day. If you were long, you just get out and take your loss instead of having to get hammered all day by an unsuspecting order. I will not be surprised that in 10 years time I pick up a newspaper and read that a group of brokers in Sydney or Melbourne got jailed for this illegal crap. 4) When something isnt working, stop doing it. If your realise that your trading setup or trading style or trading sessions isnt working you have to change and adapt. Sometimes its the market that you traded doesnt work so well (not trading back and fourth) so just STOP. Find something that works and keep working at it until it stops working. For example: back when I first started trading XT/ZN spread (before all the algos/bots/trainees/lazy brokers came in and saturate the market) it worked really well. I didnt have to risk 10 to make 1. Now, its the biggest piece of sh-t, so I pretty much decrease my activity in that spread by 80-90% and move on to my next gold mine There s a million thing you have to do correctly before you make any consistent money and these are just a few i can think of at the moment
I am not really into "lecturing", so no satisfaction for Monsieur Swan... I think there's another thread here where we sort of started to discuss the potential methods. In general, there's really no "correct" way of doing it. The main thing is to make gradual improvements to the process using some quantitative tools. Note that I am not suggesting anything like a "black box". For example, time series analysis offers a lot of ways to formalize various relevant notions and put a framework around them. In rates space, for instance, PCA (principal component analysis) is a common framework. Heck, if you're reasonably careful, linear regression can do wonders. It's hard to speak generally, since these techniques would vary depending on asset class and personal preference. In fact, techniques themselves aren't particularly important. What's important is that you should always question your process and have a very clear understanding of the key parts of every trade. I would be happy to expand on this, but maybe in a different thread?
repeater, I believe Martinghoul is probably referring to this thread. There are some excellent posts in there, and I don't think I could add anything to that in terms of general discussion. As M says, better not to threadjack. Perhaps resurrect one of the numerous spread trading threads with a more specific question if it's not covered in the link. (Many of these threads exist in the futures section topics). I can only echo his reply, it's much easier to address a spread question related to a specific asset class or instrument. I use Excel and R for my research and tests.
Yes Sir ... you never lecture and did not intend to leave the impression you did. I just want to be sure I am first on line should that change. I have followed your thoughtful posts for many years and am an unabashed fan of you tight, logical approach.