|
PureBytes Links
Trading Reference Links
|
<x-html><!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<HTML><HEAD>
<META content="text/html; charset=iso-8859-1" http-equiv=Content-Type>
<META content="MSHTML 5.00.2314.1000" name=GENERATOR>
<STYLE></STYLE>
</HEAD>
<BODY bgColor=#ffffff>
<DIV><FONT size=2>Does any one know a good source for finding which stocks are
splitting as they make the announcemenst</FONT></DIV>
<DIV> </DIV>
<DIV><FONT size=2>Thanks</FONT></DIV></BODY></HTML>
</x-html>From ???@??? Thu Nov 25 16:43:14 1999
Return-Path: <owner-realtraders@xxxxxxxxxxxxxxx>
Received: from mail.thetrellis.net ([208.179.56.11])
by purebytes.com (8.8.7/8.8.7) with SMTP id JAA28849
for <neal@xxxxxxxxxxxxx>; Thu, 18 Nov 1999 09:20:52 -0800
Received: from REALTRADERS.COM
([208.179.56.198])
by mail.thetrellis.net; Thu, 18 Nov 1999 08:14:09 -0800
Received: from prserv.net by realtraders.com
with SMTP (MDaemon.v2.8.5.0.R)
for <realtraders@xxxxxxxxxxxxxxx>; Thu, 18 Nov 1999 08:11:12 +0000
Received: from doctor4u.com ([129.37.66.230]) by prserv.net (out1) with SMTP
id <19991118161158252022aejje>; Thu, 18 Nov 1999 16:11:59 +0000
Message-ID: <383434CA.AB265A4F@xxxxxxxxxxxx>
Date: Thu, 18 Nov 1999 11:18:06 -0600
From: THE DOCTOR <droex@xxxxxxxxxxxx>
Reply-To: droex@xxxxxxxxxxxx
X-Mailer: Mozilla 4.7 [en] (Win95; U)
X-Accept-Language: en,en-US
MIME-Version: 1.0
To: <realtraders@xxxxxxxxxxxxxxx>
CC: realtraders@xxxxxxxxxxxxxxx
Subject: [realtraders] Gen - DROEX system {01}
References: <19991117.222507.-3733125.0.rmac@xxxxxxxx> <38338EDC.5F440B2B@xxxxxxxxxxxx> <00f001bf31de$96d67100$a1b6fea9@xxx>
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit
X-MDaemon-Deliver-To: realtraders@xxxxxxxxxxxxxxx
X-Return-Path: droex@xxxxxxxxxxxx
Sender: owner-realtraders@xxxxxxxxxxxxxxx
X-MDMailing-List: realtraders@xxxxxxxxxxxxxxx
X-MDSend-Notifications-To: owner-realtraders@xxxxxxxxxxxxxxx
Status: RO
JUST ON HUGE CAUTIONARY NOTE, If you are going to try it in the index you have
to be very cautious about making sure your implied vol. in the index option is
correctly calculated. YOU have to calculate off of the implied forward futures
price ... which the VIX does do a great job of. It should net out in the VIX
because both puts and calls are used.
Also it is not only a long only system ... if it works long term it should
identify shorts as well.
ROBERT ROESKE wrote:
> Subject name has been changed to DROEX system.
>
> Gitanshu Buch and I have been playing around with the DR's code and this is
> my third itteration. I still see where another 100% return could be made.
> The system as described by the Droex was a long only system. I also see
> where some decent coins could be picked up on the short side. Granted there
> are a bunch of testing no no's at this point and will address those later,
> but initial impressions are that he may have something decent here. Since
> this is kinda new stuff to me, what values should strived for in each of the
> outputs of the Performance Summary?
>
> Thanks,
> BobR
>
> ----- Original Message -----
> From: THE DOCTOR <droex@xxxxxxxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Cc: <realtraders@xxxxxxxxxxxxxxx>
> Sent: Wednesday, November 17, 1999 9:30 PM
> Subject: [realtraders] (No Subject) {02}
>
> > Ron,
> >
> > We're giving away diamonds and nobody is listening.
> >
> > I can't take credit for the idea.....the original concept was something I
> saw
> > about 10 years ago while sitting on the desk at Salomon Bros. back when
> they
> > traded a risk account. I then discussed it with Jim Yates(May he rest in
> > peace)who, as you know was the pioneer in using vol. to forecast price
> > action. Yates' work never delivered the results all of us hoped it would,
> > but his work was always interesting. I always believed Yates had a good
> > idea, but placed more value in it than it was shown to deliver. I then
> saw
> > the technique used again while doing some training at a hedge fund ..
> where I
> > wanted to quit my job and stay. They were more successful, in almost all
> > market conditions, then anyone I had every seem. So successful that the
> > hedge fund was closed to new investors and charged an annual 50% back end.
> > I've played with it .. trading the stock - not the option .. for the last
> few
> > months and it has worked. HOWEVER it has worked during a period in time
> when
> > "I believe" it is measuring very very short term momentum. I was on a
> desk
> > this afternoon that began to run the simulation and back test it ... they
> > have a system akin to the old David Bruce machine that let's you simulate
> and
> > back text "virtually" anything. We back tested a handful of stock
> ....ORCL,
> > APPL, DIS, AMCC, AOL, EMC, INTC, MSFT, FCS and IBM. It worked on every
> stock
> > .. every time EXCEPT IBM. It appears to work well when the difference
> > between the 5 day actual (HIGH/LOW) is much higher than the implied. The
> > sample is neither long enough or broad enough to assume it really works.
> > I've tried to do it a bit on the S & P using MERC options and one of the
> > problems is trading friction ... I will try it with the SPY and QQQ in
> the
> > future. I really wish the MERC option was easier to trade .... I may to
> have
> > to quit my job if it works just so I can trade CBOE. My guess is that as
> > long as money flows into the market are based on "short term" effects and
> not
> > asset allocation. One clear challenge in the idea, and what the problem
> was
> > in IBM ... I THINK... is issues weighted in a popular index seem to have a
> > BETA related momentum all their own ... which is why doing it on an index
> > ... when buy/sell signal exists ...could.
> >
> > By the way ... if I can really fine-tune it and back test out ... you'll
> > never hear about it again. I taught it at a couple of seminars in the
> last
> > few weeks, because I found it so interesting, but I should really test it
> > more in different market cycles. It might just be an easy time to make
> > money. It also means I schedule a lighter schedule and leave a couple
> hours
> > a day to trade... which is really screwing up my schedule.
> >
> > Ronald McEwan wrote:
> >
> > > Dr OEX passed on this gem of a piece of trading info a few days ago.
> > >
> > > "This results in an interesting and usually controversial
> > > trading phenomenon ........ which has lately generated a great many
> > > profitable trading signals. It appears lately that when short term
> > > actual vol. of an instrument exceeds the implied vol. in the options of
> > > that instrument the underlying almost always rallies "
> > >
> > > This works great and is easy to follow if you have access to realtime
> > > options quotes and volatility analytic. I had some time to try to
> > > generalize this idea and use the VIX with a calculation of the actual
> OEX
> > > volatility (calculated from the daily high and low. (as I mentioned it
> is
> > > only a generalization). I subtracted this volatility figure from the VIX
> > > (converted to get a daily volatility number). This gave me the
> > > difference from the actual and the implied Vol. The result is the
> > > attached chart. The chart is not confirming the recent move up in the
> > > OEX. I am suspect of this rally being able to sustain itself.
> > >
> > > Ron McEwan
> > >
> > > PS thanks Alex
> > >
> > > ------------------------------------------------------------
> > > [Image]
> >
> >
> >
>
> ------------------------------------------------------------
> Name: DRoex3.gif
> DRoex3.gif Type: GIF Image (image/gif)
> Encoding: base64
|