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----- Original Message -----
From: <HBernst963@xxxxxxx>
> What are you saying? Short an opening upgap and cover at the close? I
can't
> believe that has been more profitable in the last 15 years than buy and
hold.
>
> Howard
>
>
obviously you failed to understand the simple fact I stated,
from my prev mesg,
"Statistically, the sp future gaps all its gains - not trade its gains.
e.g. if you combine all the up and down gaps, we have 300+ pts in sp
last 2 yrs til now, that is the total gain we have without the trading
sessions at all."
Since the gaps do sum up to carry the mkt higher, logically
what you wrote does not work better than buy and hold.
That is because you already presume up gap is the filter :)
with some simple stops, shorting all open and cover on close
if not taken out intraday is proven to be way more profitable
than buy and hold. consider this simple logic: we are up only
400 or so sp pts in the past 3 yrs. there were 250 x 3 = 750 trading
days. if you win only 1 pt a day using short => you are winning 750
pts vs 400 pts buy and hold.
A lot of people failed to see what is the goal of trading which
differ from person to person - thus failed to define a clear methodolgy
that is implementable in computer. If a person's goal is that he has
300K (full contract size of 1 sp) and is interested in collecting
T-bill interest plus 250 pts (60K+), then his/her trading system need
not be rocket science. For the same bet size of 300K, and is interested
in getting 500 pts per yr (120K+) then the strategy will be slightly more
aggressive and the system would be a bit more complex.
notice 60K/300K is 20% return and the T-Bill interest is extra.
that is a decent return with pretty low risk.
The trouble is - most people going to trade are trying to win based on
a bet size of 50K or less and trying to generate 500K a yr. Then that
requires either luck, or very complex and proven mechanical model,
and of course, huge leverage that run the risk of wiping out the account.
Of course, as usual, proprietary trading information will not be given out
:)
-Lawrence Chan
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