trend following delusion shattered

Apparently I (and others) have succeeded where you have failed. This is not to say you haven't succeeded in other areas, but why should we simply hand you the fruits of our efforts? It's much more fun (and beneficial to us) to just kick back and watch you twist...

M

 

and ?? nickels question includes "past price" as part of the parameters. you need to get out of the past, index arb on US indexes ? give me a break--that edge vanished some time ago.

time dependent ? intrinsic time, perhaps

why are you confusing arb with trend trading ?

 

Let me know when next you vist our planet. Index arbitrage is occuring every day. It takes up a great percentage of the trade volume we see. Perhaps on your planet it is different. Once again, thanks for wasting my time. Here is a recent headline relating to this subject.


"Program Trading Averaged 54.4 Percent Of NYSE Volume During Feb. 22-25"

 

There were 15 pages added on to this thread when I returned and didn't feel like figuring out where that question was. Thanks for reminding me.

Long Term Trends on the ES are all trying to bottom at 1186.50. The previous Bottom was 1183.50 so this price is crucial. A break below 1183.50 signal the beginning of a trend break. A confirmation of 1186.50 holding and we will have a nice run up to challenge (at least) 1198.00, 1216.25 & 1218.50 if not 1229.75. All the Longer Term chart are Bullish with the exception of the intraday which is consolidating on this bottom.

Short term range is 1194.25 which is a Higher High and 1186.75 & 1189.50 which are Higher Lows. We need to see Resistance Breached and Support hold to continue the trend up. If you can and 1186.50 & 1183.50 get breached we will see a challenge of 1164.25.

 

surely you mean--speed dependent, not time dependent.

sure it occurs everyday, in fact, so often--there is no real edge left.

 

Get some coffee and sober up. The question was answered.

 

sorry, wrong. i'll even go so far as to remove the words "publicaly available" from nickels post. the challenge has not been met.

 

Here is the text of the article; Sorry I don't have time to obtain a translation for the cognitively impaired.


Program Trading Averaged 54.4 Percent Of NYSE Volume During Feb. 22-25

03-Mar-05

The New York Stock Exchange today released its weekly program-trading data submitted by its member firms. The report includes trading in all markets as reported to the NYSE for Feb. 22-25.

The data indicated that during Feb. 22-25, program trading amounted to 54.4 percent of NYSE average daily volume of 1,602.9 million shares, or 871.7 million shares a day.

Program trading encompasses a wide range of portfolio-trading strategies involving the purchase or sale of a basket of at least 15 stocks with a total value of $1 million or more. Program trading is calculated as the sum of the shares bought, sold and sold short in program trades. The total of these shares is divided by total reported volume.

This is not the only way to measure program trading. Three alternatives for Feb. 22-25 would be to:

examine buy programs as a percentage of total purchases (27.1 percent);
examine sell programs as a percentage of total sales (27.2 percent);
examine program purchases and sales as a percentage of total purchases and sales (27.2 percent).
For the first quarter of 2005, the NYSE’s program-trading report includes profiles of program trading whenever the Dow Jones Industrial Average moves 210 points or more in a single direction during any one-hour period. During Feb. 22-25, there were no such periods.

In all markets, program trading by member firms averaged 1,444.2 million shares a day during Feb. 22-25. About 60.4 percent of program trading took place on the NYSE, 3.0 percent in non-U.S. markets and 36.6 percent in other domestic markets, including Nasdaq, the American Stock Exchange and regional markets.

In aggregate, program volume executed on the NYSE by firms as agent, for non-member customers, amounted to 53.0 percent during Feb. 22-25. Program volume executed as principal, for their own accounts, amounted to 43.5 percent of program volume.

Another 3.5 percent was designated as customer facilitation, in which a member firm established or liquidated a principal position to facilitate a program order initiated by a customer.

Of the five member firms reporting the most program trading activity on the NYSE, UBS Securities, LLC. and Lehman Brothers, Inc. executed most of their program trading as principal for their own accounts. Morgan Stanley & Co. Inc., Deutsche Bank Securities and Goldman Sachs, Inc. executed most of their program trading activity for customers, as agent.

During Feb. 22-25, 10.4 percent of program volume executed by NYSE member firms related to index arbitrage. Index arbitrage is defined as the purchase or sale of a basket of stocks in conjunction with the sale or purchase of a derivative product such as stock-index futures, to profit from the price difference between the basket and the derivative product.

Less than 0.1 percent involved derivative product-related strategies (besides index arbitrage) that are subject to Rule 80A. The rule provides that derivative-related program strategies be executed only in a stabilizing manner after the DJIA moves 210 points or more from the previous day’s close.

In addition to index arbitrage, such strategies include customer facilitations, liquidation of facilitations, index substitutions, liquidation of error accounts, risk modifications, and liquidation of exchange-for-physicals stock positions.

All other types of portfolio-trading strategies combined accounted for 89.5percent of member firms’ program-trading volume during Feb. 22-25.

In the face of this information, who left you in charge? As far as I can tell, you should be brushing your teeth and getting ready to catch the bus to school. Go on, get your playstation and books together and don't miss that bus.

 

I was one . . . and you can't find the page numbers for the same reason you haven't answered any of my questions . . . I truly believe you are afflicted with the same thing people were pre-1500's. It was easier to repeat what everyone else in your group is spouting than to do detailed research on your own to either prove it or disprove it, ie. "The world is flat and that is it" You chastise other for not answering your questions but you haven't responded to my charts, questions or challenges for days.

Either that or you failed at trend trading so your attitude is, If I failed . . . it can't exist.

 

i have no issue with arb. instead of cutting and pasting, perhaps you should talk directly with the people who actually use or used this strategy--- you really have no clue.

i do have an issue with you CONFUSING arb with trend folllowing. why do you answer a "trend following" question with an unrelated answer about index arb ?

is program trading just index arb ? i see you are also confused on this aspect. you best quit before you dig a deeper hole.