FAS / FAZ / Daily Discussions / Archives / 11-04-2011 / Friday, April 29, 2011

Topie: Friday, April 29, 2011
April 29th, 2011 08:51 AM
membar I've adapted a TSK-like strategy to AGQ / ZSL and am going to start trading it this morning with a small amount of money. I need ZSL to reverse split to mitigate commission costs if this works and I scale up.
April 29th, 2011 10:40 AM
membar I bought once AGQ 9/2011 $250 put this morning @ 20.80. The idea is that if AGQ pulls back, I'll sell a $250 put with a shorter expiry.

I told myself that I wouldn't do anything but daytrading this year, but I couldn't resist this.
April 29th, 2011 10:51 AM
membar Sold my 5 shares of AGQ @ $368. Halfway made up for my EUO loss.
April 29th, 2011 11:53 AM
BullDog Good going membar.
Here is what I have been up to:
(1) Having good luck trading MO and collecting 1 %
(2) Sold position in ATT. Will pick up ATT and VZ on pull back
(3) Upped position in JPM, BAC, C and FAS. Waiting for FAS to go above 31

Happy Friday everybody.
April 29th, 2011 11:59 AM
allen314159 I bought FAZ at 39.3799 with a sell stop at 38.99.
April 29th, 2011 12:35 PM
membar I'm currently in FAS @ 30.60. Not sure what the stop is, but I think it's pretty small.

Bulldog: How do you trade MO?
April 29th, 2011 12:36 PM
membar Oh. and I blew it with my AGQ / ZSL strategy and had to abort due to a bug, but I think I might have gotten stopped out so that might be a good thing.
April 29th, 2011 01:55 PM
BullDog >Bulldog: How do you trade MO?
Same batch system as always.
Wait for stock to get toppy. Then sell a batch and buy back lower.
April 29th, 2011 02:15 PM
allen314159 Why is it hard to mechanically define winning strategies as well as develop winning mechanical strategies?
April 29th, 2011 04:04 PM
membar
Quote:
allen314159 wrote:
Why is it hard to mechanically define winning strategies as well as develop winning mechanical strategies?

I don't understand what you mean by "mechanically define"?

I made $22 today on that FAS trade!

My AGQ put also did well, but I want lower, baby, lower.

FKOS lost another share. TKOS didn't stop out.
April 29th, 2011 04:10 PM
allen314159
Quote:
membar wrote:

I don't understand what you mean by "mechanically define"?

I made $22 today on that FAS trade!

My AGQ put also did well, but I want lower, baby, lower.

FKOS lost another share. TKOS didn't stop out.


Doh! My strategy sucked today. But it wasn't as bad as it could've been if my automated trader hadn't crapped out.

mechanically define = could program into a computer

Seems we can't mechanically define successful strategies (e.g., ISA's scalping), nor can we develop successful, mechanically-defined strategies (i.e., strategies that performed well in backtest, but continue to perform as well)

Makes sense?
April 29th, 2011 04:16 PM
membar
Quote:
allen314159 wrote:
nor can we develop successful, mechanically-defined strategies (i.e., strategies that performed well in backtest, but continue to perform as well)

Makes sense?

I think the latter one might have to do with Van Tharp's market type and his assertion that it's easy to define a strategy that works for one market type, but difficult to define one that works for all of them. I'd be interested in your take on that.
April 29th, 2011 04:25 PM
allen314159
Quote:
membar wrote:

I think the latter one might have to do with Van Tharp's market type and his assertion that it's easy to define a strategy that works for one market type, but difficult to define one that works for all of them. I'd be interested in your take on that.


That's a good point.

It seems like lately we've been having "revert back to mean" type statistics where we get all this useless volatility throughout the day and we end up closer to the opening price more often than we statistically should.

I'll have to look into low limit strategies. I worked on these but then discarded them when I found that TSK strategies (which rely on trending) had better back tests. But maybe the time period was more conducive to TSK since volatility was higher. Now with low volatility, maybe we should place low limits for FAS at -x% below open every day.
April 29th, 2011 04:45 PM
membar
Quote:
allen314159 wrote:
I'll have to look into low limit strategies.

Eager to see your results. Also curious if you agree with the "nine market types" thesis and have ways of identifying which one we're in:

http://www.iitm.com/Weekly_update/Weekly_424_May_20_2009.htm#feature