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Suppose the mkt opens and then starts going down (eg t bond and we are down
from the open let's say 10 ticks). Our probability studies tell us that
(e.g.) 90% of the times since t bond is down 10 ticks we have a bottom. So
we buy with a SAR order intended to be a trend SAR. If the market bounces as
probabilities tell us, then we can se also a probabilistic target (a p-tgt
for short) let's say 50% probable (e.g. 15 ticks)
During the same day (we close the trade end of day) we can have 3 cases:
1 - p-tgt hit, fair enough. Pocket the profit and do something else
2 - p-tgt not hit but still in profit: wait an put a MOC order
3 - our SAR is hit so we do not have a congestion day but a trend day. Let's
follow the SAR and keep the trade since our prob tables say that in such
cases it is much better to hold until the end of day. Still MOC order or a $
stop loss, whatever you like...
N.B.: these values, probs, are just EXAMPLES!
I just prefer stock index futures for theis volatility.
Rgrds
Riccardo Ronco
> -----Original Message-----
> From: Art Shaffer [mailto:art@xxxxxxxxxxxxx]
> Sent: 01 May 2000 16:53
> To: riccardo@xxxxxxxxxxxxxxxxxxxxxx
> Subject: Your idea...
>
>
> What you suggested last Thursday sounds quite interesting...I would like
> to try it but don't have a complete mental picture of your idea. I
> understand the price distrib O to H and O to L but how do you use this
> to put on the high prob trade?
>
> tia Art Shaffer
>
>
>
> What about creating a price distribution of the abs values open to high
> and
> another one open to low. When the mkt opens you put a probability trade
> on
> both sides waiting to be filled playing the trading range day (you go
> flat
> MOC). IF the price goes against you chances are that you have a trend
> day so
> that it is better to reverse and keep the SAR with a trailing stop for
> the
> day.
> Working on this ideas on the stock index futures - dax - fib - ftse - sp
> and
> nasdaq...
>
> rgrds 2u all
>
> Riccardo
>
>
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