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Hello Ira
I have noticed that in interest rate in your option model you have over 5%
the input calls for 6 month t bill rate
best regards
Ben
----- Original Message -----
From: "ira" <mr.ira@xxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Tuesday, October 22, 2002 3:07 PM
Subject: Re: [RT] Trend Trader's Strategy -- Strategy Lab - MSN Money
> In answer to your question I have included three charts. Check the
implied
> volatility of the options, the theoretical value of the calls and puts and
> then relate that to the data above which gives the volatility of the
> underlying, OEX for various time periods. You will note that the
volatility
> of the underlying varies based upon time period used and if you use an
> annual volatility all the options are overvalued with high implied
> volatilities, yet when you look at the same data in light of a time more
> closely related to the expiration time that many of the implied
volatilities
> are under valued. Check the at the money and in the money options
closely.
> Let me know if this helps answer your question. Ira.
> ----- Original Message -----
> From: "Daniel Goncharoff" <thegonch@xxxxxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Sent: Tuesday, October 22, 2002 10:24 AM
> Subject: Re: [RT] Trend Trader's Strategy -- Strategy Lab - MSN Money
>
>
> Ira
>
> You didn't really address my question.
>
> I gather from your statement that VIX is not the volatility of the
> index.
>
> It is the IMPLIED volatility of the index derived from the prices of the
> ATM options.
>
> The real volatility of the value of the index can be higher, or lower,
> than the implied volatility.
>
> Do you agree?
>
> Regards
> DanG
>
> ira wrote:
> >
> > VIX is the volatility of the OEX as measured by the Implied Volatility
of
> > the near month at the money options.
> >
> > ----- Original Message -----
> > From: "Daniel Goncharoff" <thegonch@xxxxxxxxxx>
> > To: <realtraders@xxxxxxxxxxxxxxx>
> > Sent: Tuesday, October 22, 2002 9:35 AM
> > Subject: Re: [RT] Trend Trader's Strategy -- Strategy Lab - MSN Money
> >
> > Isn't there a difference between the volatility of the actual market and
> > VIX, which I thought measured the implied volatility in options? VIX can
> > climb or fall while the market stays steady, and vice versa.
> >
> > Regards
> > DanG
> >
> > "M. Simms" wrote:
> > >
> > > regarding below:
> > > "q.. Markets form their tops in violence; markets form their lows in
qui
> et
> > > conditions."
> > >
> > > HUH ? Totally contrary to the VIX concept.....and does not follow past
> > > history...at all.
> > > Many bottoms coincide with large increases in volatility....which can
> > > correlate with violence.
> > > Maybe he has this one reversed.
> > >
> > > > -----Original Message-----
> > > > From: John Cappello [mailto:jvc689@xxxxxxx]
> > > > Sent: Sunday, October 20, 2002 12:33 AM
> > > > To: Realtraders@xxxxxxxxxxxxxxx
> > > > Cc: MedianLine@xxxxxxxxxxxxxxx
> > > > Subject: [RT] Trend Trader's Strategy -- Strategy Lab - MSN Money
> > > >
> > > >
> > > > Please scroll all the way down for what he is doing. He is up almost
> > > > 60% using a Technofundamental Investment Strategy which he esplains.
> > > >
> > > > John
> > > >
> > > >
> > > > Trend Trader's Strategy -- Strategy Lab - MSN Money
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> > > > Post a message for Richard
> > > >
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> > > > Portfolio
> > > >
> > > > --------------------------------------------------------------------
> > > > Track Richard's investments on Trend Trader's portfolio
> > > > page.
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> > > > --------------------------------------------------------------------
> > > > Follow every buy and sell Trend Trader's Transactions
> > > > page.
> > > > Strategy
> > > > If there is anything I have learned in 18 years of
> > > > trading, it is that simple works best. Those who need to rely upon
> > > > complex stochastics, linear-weighted moving averages, smoothing
> > > > techniques, Fibonacci numbers, etc., usually find that they have so
> > > > many things rolling around in their heads that they cannot make a
> > > > rational decision. One technique says buy; another says sell.
Another
> > > > says sit tight, while another says add to the trade. It sounds like
a
> > > > cliché, but simple methods work best.
> > > > Discuss the latest trades
> > > > on the Strategy Lab
> > > > message board
> > > >
> > > >
> > > >
> > > > Therefore, my trading strategy is to analyze fundamental
> > > > and technical factors to determine whether a long, short or a
> > > > sideline position is warranted in the market. Fundamentally, I
> > > > develop a macroeconomic view of the world using Federal Reserve
> > > > interest-rate policy, world economic trends and currency movements.
> > > > This allows me to use my fundamental beliefs as a backdrop against
> > > > which to apply technical analysis. If I perceive that fundamentals
> > > > are bullish, then I am poised to go long the markets if my simple
> > > > technical indicators tell me to do so. Conversely, if the
> > > > fundamentals are bearish, I trade from the short side when my
> > > > indicators tell me to do so.
> > > >
> > > > Those simple technical resources are simply log charts,
> > > > common trend lines and other well-known chart patterns. To
supplement
> > > > this, I use various term moving averages dependent upon the equity
> > > > under analysis, for I believe that all equities beat to their own
> > > > drum, thus a one-moving-average-fits-all does not necessary apply.
> > > > Also, my favorite oscillator is the 20-day stochastic, for it is
> > > > longer term in nature and captures the intermediate trends rather
> > > > well.
> > > >
> > > > In addition, and more importantly, I use trading rules
to
> > > > effectively manage my positions and to protect myself from making
> > > > judgment errors. I must admit, I am not smart enough to have devised
> > > > these simple trading rules. A great trader gave them to me some 15
> > > > years ago. However, I will tell you they work. If you follow these
> > > > rules, breaking them as infrequently as possible, you will make
money
> > > > year in and year out, some years better than others, some years
> > > > worse -- but you will make money. The rules are simple, but adhering
> > > > to them is difficult.
> > > >
> > > >
> > > > a.. The first and most important rule is that in bull
> > > > markets, a trader should be long. This may sound obvious, but how
> > > > many of us have sold the first rally in every bull market, saying
> > > > that the market has moved too far, too fast? I have, and I suspect
> > > > I'll do it again at some point. Thus, we've not enjoyed the profits
> > > > that should have accrued for our initial bullish outlook, but have
> > > > actually lost money while being short. In a bull market, one can
only
> > > > be long or on the sidelines. Remember, not having a position is a
> > > > position.
> > > > b.. Buy that which is showing strength; sell that
which
> > > > is showing weakness. The public continues to buy when prices have
> > > > fallen. The professional buys because prices have rallied. This
> > > > difference may not sound logical, but buying strength works. The
rule
> > > > of survival is not to "buy low, sell high", but to "buy higher and
> > > > sell higher". Furthermore, when comparing various stocks within a
> > > > group, buy only the strongest and sell the weakest.
> > > > c.. When putting on a trade, enter it as if it had the
> > > > potential to be the biggest trade of the year. Don't enter a trade
> > > > until it has been well thought-out, a campaign devised for adding to
> > > > the trade, and contingency plans set for exiting the trade.
> > > > d.. On minor corrections against the major trend, add
> > > > to trades. In bull markets, add to the trade on minor corrections
> > > > back into support levels. In bear markets, add on corrections into
> > > > resistance. Use the 33% to 50% corrections level of the previous
> > > > movement or the proper moving average as a first point in which to
> > > > add.
> > > > e.. Be patient. If you miss a trade, wait for a
> > > > correction to occur before putting the trade on.
> > > > f.. Be patient. Once a trade is put on, allow it time
> > > > to develop and give it time to create the profits you expected.
> > > > g.. Be patient. The adage that "you never go broke
> > > > taking a profit" is maybe the most worthless piece of advice ever
> > > > given. Taking small profits is the surest way to ultimate loss I can
> > > > think of, for small profits are never allowed to develop into
> > > > enormous profits. The real money in trading is made from the one,
two
> > > > or three large trades that develop each year. You must develop the
> > > > ability to patiently stay with winning trades to allow them to
> > > > develop into that sort of trade.
> > > > h.. Be patient. Once a trade is put on, give it time
to
> > > > work; give it time to insulate itself from random noise; give it
time
> > > > for others to see the merit of what you saw earlier than they.
> > > > i.. Be impatient. As always, small losses and quick
> > > > losses are the best losses. It is not the loss of money that is
> > > > important. Rather, it is the mental capital that is used up when you
> > > > sit with a losing trade that is important.
> > > > j.. Never, ever add to a losing trade, or "average"
> > > > into a position. If you are buying, then each new buy price must be
> > > > higher than the previous buy price. If you are shorting, then each
> > > > new selling price must be lower. This rule is to be adhered to
> > > > without question.
> > > > k.. Do more of what is working for you, and less of
> > > > what's not. Each day, look at the various positions you are holding
> > > > and try to add to the trade that has the most profit while
> > > > subtracting from that trade that is either unprofitable or is
showing
> > > > the smallest profit. This is the basis of the adage, "let your
> > > > profits run."
> > > > l.. Don't trade until the technicals and the
> > > > fundamentals agree. This rule makes pure technicians cringe. I don't
> > > > care! I will not trade until I am sure that the simple technical
> > > > rules I follow, and my fundamental analyses, are running in tandem.
> > > > Then I can act with authority, and with certainty, and patiently sit
> > > > tight.
> > > > m.. When sharp losses in equity are experienced, take
> > > > time off. Close all trades and stop trading for several days. The
> > > > mind can play games with itself following sharp, quick losses. The
> > > > urge "to get the money back" is extreme, and should not be given
> > > > into.
> > > > n.. When trading well, trade somewhat larger. We all
> > > > experience those incredible periods of time when all of our trades
> > > > are profitable. When that happens, trade aggressively and trade
> > > > larger. We must make our proverbial hay when the sun shines.
> > > > o.. When adding to a trade, add only one-fourth to
one-
> > > > half as much as currently held. That is, if you are holding 400
> > > > shares of a stock, at the next point at which to add, add no more
> > > > than 100 or 200 shares. That moves the average price of your
holdings
> > > > less than half of the distance moved, thus allowing you to sit
> > > > through 50% corrections without touching your average price.
> > > > p.. Think like a guerrilla warrior. We wish to fight
on
> > > > the side of the market that is winning, not wasting our time and
> > > > capital on futile efforts to gain fame by buying the lows or selling
> > > > the highs of some market movement. Our duty is to earn profits by
> > > > fighting alongside the winning forces. If neither side is winning,
> > > > then we don't need to fight at all.
> > > > q.. Markets form their tops in violence; markets form
> > > > their lows in quiet conditions.
> > > > r.. The final 10% of the time of a bull run will
> > > > usually encompass 50% or more of the price movement. Thus, the first
> > > > 50% of the price movement will take 90% of the time and will require
> > > > the most backing and filling and will be far more difficult to trade
> > > > than the last 50%.
> > > >
> > > > There is no genius in these rules. They are common sense
> > > > and nothing else. But as Voltaire said, "Common sense is uncommon."
> > > > Trading is a common-sense business. When we trade contrary to common
> > > > sense, we will lose. Perhaps not always, but enormously and
> > > > eventually. Trade simply. Avoid complex methodologies concerning
> > > > obscure technical systems and trade according to the major trends
> > > > only.
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > StratLab Summary Report | GARP | Technical Tactician |
> > > > Value Doc | Special Value | Trend Trader | Fund Upgrader | E-mail
the
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