|
PureBytes Links
Trading Reference Links
|
Liquidity and volatility.
Norman Winski wrote:
> Prof,
>
> What's the dif between your stated strategy and buying a call for $5?
> Sound to me that you could have simplified and saved some commissions.
>
> Cheers,
>
> Norman.
>
> ----- Original Message -----
> From: "profitok" <profitok@xxxxxxxxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Sent: Thursday, November 01, 2001 7:16 PM
> Subject: Re: [RT] RT:ODDBALL/using options for overnight positions
>
> > Hello
> >
> > AN EXAMPLE IS WHAT JUST HAPPEN IN THE LAST 2 DAYS,, I BOUGHT 4 BIG SP
> AND
> > 4 BIG NASDAQ,, (WHEN SP TRADED 1055-1065)
> > AND NASDAQ AT 1360-1370,,)
> > AND immediately ALSO BOUGHT 4 SP NOV 1050 PUTS AND NOV 1350 PUT ON
> > NASDAQ,,
> > WHEN I HAD 20 POINTS PROFIT ON SP500 I SOLD BOTH THE PUTS AND FUTURES
> > SAME WITH ND01Z SOLD AT 40 POINT PROFIT AND SOLD PUTS TOO
> > THE LOSS ON THE PUTS WAS OVER $5000 but you can figure my net in 2 days
> > and the beauty is
> > when it goes against you your max loss is only 5 points per contract,,
> > EVEN sleep good at night,, because you know the most you can loose is
> ,,,
> > ----- Original Message -----
> > From: "BobR" <bobrabcd@xxxxxxxxxxxxx>
> > To: <realtraders@xxxxxxxxxxxxxxx>
> > Sent: Thursday, November 01, 2001 1:30 PM
> > Subject: Re: [RT] RT:ODDBALL
> >
> >
> > > Last year when Mark published his article in Active Trader I asked him
> > about
> > > stops, particularly the risk of overnight exposure. He acknowledged the
> > > inherent risk, but he also said that was one of its strengths in that
> the
> > > gaps tended to benefit it more so than not. He also emphasized the
> basic
> > > system was an example of how simple a system could be and yet be quite
> > > profitable in the long run. Yet, who in the real world can trade
> without
> > > stops? He also planned followup articles enhancing the system.
> > >
> > > Since the OddBall system samples hourly during the day session, it
> leaves
> > > you exposed for an entire hour at a time plus overnight. Commissions
> are
> > > low these days so exiting end of day and re-entering the next day is one
> > > option. Another is to put on an option hedge before the close and
> taking
> > it
> > > off the next morning, Ben or IRA could explain the details of this.
> Since
> > > the Oddball has time filter qualities try using a time based type of
> stop.
> > > Intraday try using a "multi-timeframe" type of channel. Suppose you are
> > > using 3 minute bars and using Charles Johnson's array sampling
> > > code(excellent stuff) then create a highest high and lowest low and
> > midpoint
> > > channel to protect you during that hour long exposure. Twenty bars
> would
> > be
> > > one hour so a midpoint line based on the highest high and lowest low
> might
> > > be of value. I haven't backtested this with the oddball system, but
> have
> > > been watching it today. Problem is, the oddball system is optimized for
> > > simplicity and additions to the code may detract from its performance.
> > > That's the tradeoff. Another thing you might try is not taking the
> first
> > > 9AM ET or 8AM CT trade until another half hour has passed. The reason
> is
> > > the two half hour drives that occur are one source of the whipsaws.
> > >
> > > plot1(Highest(H,20),"H");
> > > plot2(0.5*(Highest(H,20)+Lowest(L,20)),"Mid");
> > > plot3(Lowest(L,20),"L");
> > >
> > > Use the Mid line for a stop and re-entry in the direction of the current
> > > Oddball signal.
> > >
> > > bobr
> > >
> > >
> > > ----- Original Message -----
> > > From: "Eliot Kaplan" <eliot@xxxxxxx>
> > > To: "RealTraders Mail List" <realtraders@xxxxxxxxxxxxxxx>
> > > Sent: Thursday, November 01, 2001 9:53 AM
> > > Subject: Re: [RT] RT:ODDBALL
> > >
> > >
> > > > Michael,
> > > >
> > > > I just started following the Oddball about a week ago, and it has had
> > > > 2 great signals (20-30+ point winners), followed just the last day or
> > > > so by 2 that were small losers, and today's which remains in process.
> > > >
> > > > It seems quite remarkable overall.
> > > >
> > > > I myself am wondering how to trade it using a stop. I can't trade it
> > > > without one for obvious reasons, and have been considering a 10 point
> > > > SP emini stop as perhaps wide enough to stay out of it's way. I'm not
> > > > a backtester, so I imagine, others have tried to test this, and it
> > > > would be interesting to hear BobR or others comment on the use of
> > > > stops with Oddball.
> > > >
> > > > Essentially, does a stop ruin it? And what lengths show best results?
> > > >
> > > > Eliot
> > > >
> > > >
> > > >
> > > > >BobR, or anyone following oddball? wonder if it got whipsawed
> > yesterday,
> > > > >thought $ADV was advertising close on high.
> > > > >
> > > > >Pretty choppy SP. Looks like expiration. Looks like Earl nailed it,
> ND
> > &
> > > SP
> > > > >clashing.
> > > > >
> > > > >
> > > > >
> > > > >To unsubscribe from this group, send an email to:
> > > > >realtraders-unsubscribe@xxxxxxxxxxxxxxx
> > > > >
> > > > >
> > > > >
> > > > >Your use of Yahoo! Groups is subject to
> > http://docs.yahoo.com/info/terms/
> > > >
> > > >
> > > > --
> > > > ^^^^^^^^^^^^^^^^^^^^^^^^^^^^
> > > > Eliot Kaplan
> > > > 20211 Croydon Lane
> > > > Topanga, CA 90290
> > > > Voice: 310.455.3810
> > > > Fax: 310.455.3085
> > > > email; eliot@xxxxxxx
> > > > web: www.isu.com
> > > >
> > > >
> > > >
> > > > To unsubscribe from this group, send an email to:
> > > > realtraders-unsubscribe@xxxxxxxxxxxxxxx
> > > >
> > > >
> > > >
> > > > Your use of Yahoo! Groups is subject to
> > http://docs.yahoo.com/info/terms/
> > > >
> > > >
> > >
> > >
> > >
> > > To unsubscribe from this group, send an email to:
> > > realtraders-unsubscribe@xxxxxxxxxxxxxxx
> > >
> > >
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
> >
> >
> > To unsubscribe from this group, send an email to:
> > realtraders-unsubscribe@xxxxxxxxxxxxxxx
> >
> >
> >
> > Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
> >
> >
>
> To unsubscribe from this group, send an email to:
> realtraders-unsubscribe@xxxxxxxxxxxxxxx
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Universal Inkjet Refill Kit $29.95
Refill any ink cartridge for less!
Includes black and color ink.
http://us.click.yahoo.com/E11sED/MkNDAA/ySSFAA/zMEolB/TM
---------------------------------------------------------------------~->
To unsubscribe from this group, send an email to:
realtraders-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|