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I try to encourage off the floor traders not to start with trading the
S&P's.
I see the trading statements, though I did not make it an academic study.
Very few money managers that I know of use S&P's as part of their portfolio.
Come to Chicago and see the pit in action. Sometimes there are two or three
prices going on at once. And a bid offer you can drive a truck through.
As for back testing, I am not prepared to write an academic paper, but
suggest a word of caution. Look, my friend Sam Tennis is giving a seminar in
Easy Language here in Chicago.
I am speaking at this seminar. All I am suggesting is that it is difficult
to be a programmer and trader. But I guess there are pilots who fix there
own 747's.
-----Original Message-----
From: Ron Augustine <RonAug@xxxxxxxx>
To: Neal T. Weintraub <thevindicator@xxxxxxxxxxx>; omega-list@xxxxxxxxxxxxxx
<omega-list@xxxxxxxxxxxxxx>
Date: Tuesday, July 28, 1998 10:10 PM
Subject: Re: El ?
>
>Neal,
>
>Not quite sure what your reply has to do with Robert's question on EL, but
I
>get the impression that you feel that there is only one way to trade the
S&P.
>
>Your interview with the guy who trains traders to take a position, then
>attempt to sell it immediately at a one or two tick profit or else dump it
>at a wash was interesting-- and I don't doubt that it works for someone in
>the pit who has the access and stomach for that type of trading, but it's
>not the only way to trade.
>
>You seem to ignore the possibility that a good technical analyst/trader
>could swing trade the S&P off the floor using a computer and good analysis
>software. For this type of trading, you don't need access to the pit and
>you don't need to dump a position just because it hasn't given you a profit
>in 20 seconds.
>_____________________________________
>At 11:07 PM 7/28/98 -0700, you wrote:
>>How important is execution of your order?
>>Well if you are trading S&P"s off the floor, you must call directly to the
>>pit and have a member give you the bid-offer. That same member should fill
>>your order. That may help day trading in volatilemarkets.
>>-----Original Message-----
>>
>>Subject: Re: El ?
>>
>>>>
>>>>Robert,
>>>>
>>>>If you're trying to plot a relationship between DJ & S&P Futures, you
>>first
>>>>need to define the relationship that you want to gauge. You could use a
>>>>proportion like:
>>>>
>>>>Vars: MyRatio(0), MyScale(100);
>>>>
>>>>If Close of Data2 > 0 then MyRatio = (Close of Data1 / Close of Data2) *
>>>>MyScale;
>>>>
>>>>You could adjust the "MyScale" factor to something that makes sense and
>>plot
>>>>"MyRatio" in a window that has +100 and -100 threshold lines.
>>>>
>>>>_____________________________________
>>>>Gosh Thanks Ron thats what I was looking for.
>>>
>>>Rober
>>>
>>
>>
>>
>
>
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