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In a message dated 97-12-18 16:06:09 EST, you write:
<< How do you calculate your P/C ratios. AE you using OEX option data or
equity options >>
Hi James,
You may already have an answer from Bob, but in case he didn't receive
your question you use the OEX option data available from
http://www.cboe.com/
You can sign up for a free e-mail service that sends the data to you
each day. You have to calculate the put/call ratio yourself from the OEX
data. Be carefull to check that the puts + calls = total shown, they
ocassionaly make errors.
The indicator (often called the Kallaus Indicator for Kurt Kallaus,
the fellow who first noticed it and posted it here Sunnen@xxxxxxx (kurt
kallaus) rules are if P/C ratio >= 1.54 buy the S & P (or mini) on next
morning open. If P/C ratio is <= 0.99 sell the same. Signal last for two days
with an exit on the open exactly 2 days after entry.
Do not take a sell signal after a down day of 1% or more or a buy
signal after a 1% or greater up day (on the S & P).
I think he found a 10 point stop and a two-thirds retracement
profit stop after a 1%+ profit improved performance.
He showed an 85 to 90 % accuracy record for this indicator, but
admitted he used more than one indicatior for his trading.
As you can imagine, it is very easy to chart this indicator (graph
paper works) but you have to calculate the OEX P/C ratio since no symbol
exists to download it. I Hope this helpes.
Good luck and good trading,
Ray Raffurty
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