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In a message dated 11/2/00 12:00:19 PM Eastern Standard Time,
robert@xxxxxxxxxxxxx writes:
<< Hello, Ben!
HOW did you GET the COT data 2 weeks early???!!!
During the past 18 months on RT, I have your read posts with great interest.
I have been learning from you. After testing, I have incorporated some of
your breadth and vol work into my long-term timing models. Thank you very
much!!!
I feel the COT reports would add value to my models as well, and plan to
study the history. It would help, of course, to know the best sources of
data.
Robert >>
hello
the results are an apxoximation,,
if you look at the morning after a big up move or a big down move (25 SP
points or better)
the open interest has changed,,
the amount of the net change is not all a liquidation
some are additional long and some additional shorts,
it is a complex formula that relates to the % change from the last
lowest month low or highest month hi
when i did buy or sell program (in the 1990-1993) we get Merrill citi
goldman
met life JP Morgan and others to the table
we chose what calls to buy what puts to sell short,, what stocks to buy and
how many futures contracts to buy
(each program was OVER 1 billion dollars)
the net profit for a push of a bottom averaged 5% for a 10 minutes
job
the computer does all
it Buys the options first then it sells the puts then it buys the futures
and last
it buys the stocks (highest weighted sp500 in the index)
when the futures peak, it sells twice the futures it bought. Then sells the
calls then buys back the puts and last sells DOUBLE the amount of stocks etc.
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