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coolsf 21 posts msg #102954 - Ignore coolsf	10/15/2011 5:34:00 PM I am not trying to rain on your parade. Please understand. The system has been great. I read every post clearly. The current market trend is HFT driven, more so since the last 1 year. Especially the last 3 months. Z scores and Standard deviations are stretched to a max, both up and down. It is happening like never before. I am wondering if the system works in these conditions. I am also taking note that you are not pairing the long with a short like SH. Would your system have worked if you did that, in these stretched rubber band conditions?
Kevin_in_GA 4,599 posts msg #103078 - Ignore Kevin_in_GA	10/24/2011 11:21:47 AM Intraday BUY signal for KMB (zscore at -2.34, Williams %R at -97). This is because they announced earnings and disappointed. KMB at 69.34 right now. Will probably close above this and may not trigger by end of day.
Kevin_in_GA 4,599 posts msg #103100 - Ignore Kevin_in_GA	10/26/2011 11:31:52 AM Another intraday BUY signal - AMZN (amazon.com). Zscore16 at -3.30, williams %R at -98.94. Looks like they dropped over 11% this morning. They are currently at 200.93, sitting on top of the MA(200).
Kevin_in_GA 4,599 posts msg #103131 - Ignore Kevin_in_GA modified	10/28/2011 11:57:24 AM UPDATE 1: KMB now at 70.50 (up about 1.5%) AMZN now at ~213 (up about 6%). Zscore16 for both are still below -1, but I might take AMZN off the table now since it is well above the average trade return for this filter, even after just 2 days. UPDATE 2: AMZN at 217.40 (up 8.2%). KMB at 70.49 (up 1.5%). Sell AMZN and be happy.
Kevin_in_GA 4,599 posts msg #103132 - Ignore Kevin_in_GA	10/28/2011 12:21:36 PM Another intraday BUY signal generated: BMY (Bristol-Myers Squibb) - down about 4% on the day right now. Currently at $31.82, Zscore16 at -2.27, Williams %R at -97.84. Remember that the stock must also be above the MA(200) and be below the lower BB(16,2).
Kevin_in_GA 4,599 posts msg #103168 - Ignore Kevin_in_GA modified	10/31/2011 3:04:56 PM Intraday BUY signal for EXPE (Expedia). Zscore at -2.53, Williams %R at -99.3, Bollinger %B(16,2) at -0.12. Currently at 26.23. Market is drifting lower, so I would wait until the end of the day to see if this can be bought at a better price.
Kevin_in_GA 4,599 posts msg #103185 - Ignore Kevin_in_GA	11/1/2011 12:55:12 PM Intraday sell signals for all four current trades (this is based on the market dropping hard over the last two days): KMB - in at 69.34, currently at 68.88 (down 0.66%) AMZN - in at 200.93, now at 209.89 (up 4.5%, but I suggested exiting at 217) BMY - in at 31.82, now at 31.57 (down 0.8%) EXPE - in at 26.23, now at 26.74 (up 1.9%) Intraday BUY signals: TGT (Target) ERTS (Electronic Arts) MON (Monsanto) NI (Nisource, inc.) I would not buy in right now since I think there is still a risk of further losses today. I might be wrong, but then again i might be right.
fortyfour 189 posts msg #103240 - Ignore fortyfour	11/6/2011 6:09:44 PM Any words from option experienced people on using results of Kevins filter to put on "bull put spreads" in general? Cherry picking AMZN, the day it fell to $200.... Sell to open $200 put for approx $9.60 ( iv high and falling...good for put seller) Buy to open $190 put for approx $5.60 Net (max profit) credit approx $400 / contract. Obviously this spread has worked and could be held or closed today as... Buy to close $200 put for $ 1.70 ( $7.90 profit) Sell to close $190 put for $ $.80 (loss of $4.70) Profit of $320/contract Downside protection is (strike diff - credit) or $600/contract when AMZN is below $190 Breakeven = 200 strike - 4 credit = AMZN price of $196 The best exit level of Zscore = -1 in Kevins strategy I would say is moderately bullish as is the bull put spread concept . The infrequent large outlier losses when 15 or 20 days when owning the stock ( of course 10%$ stops etc could be used to somewhat of a detriment to long term results) is managed by the put spread For option experience people ( of which I am not)....How would you construct the AMZN bull put spread? For example...go for a better ratio of spread/credit ?...... Credit/Max loss?
gmg733 788 posts msg #103245 - Ignore gmg733 modified	11/6/2011 9:34:46 PM 44, Great question. The answer will vary depending on the responding trader. The nice thing about options is you can do various trades and be right on all of them. Trading options is about trading the greeks. I don't have the data from that day, but what I would have done is look for a short put with a delta around the -.20 to -.30 and then chose my long put based upon ROI that I want to make. In this case it would of either been 5 or 10 wide, of course. I usually want to make around 20% on my risk/reward. So there are a lot of 'depends?' going on here. I like to exit spreads when I make 50% of my credit back. I used to sell them one month out and found that expiration week can be unforgiving as the 'market' hunts the max pain for options buyers/sellers. So I like to be out by expiration for the month of the option as well. What I found is by taking 50% profits on trades, I have a very high success rate. When holding spreads into expiration to get that last .20 increases your risk. This is the way I trade. For example, say I have a 5 wide bull put spread. I collect $1 for the spread. My risk in the trade is $4 and max profit is $1, or 25% potential profit. If the spread makes me 50% of the credit in a short period, I take the trade off. If the trade takes off and I anticipate an almost zero chance of the trade going against me, I'll leave it on to expire worthless. Again, I don't like doing this too often. I like determining the general direction/trend/cycle of the equity and that tells me which trade to put on. AMZN based upon my charts and the way I do things is in an uptrend, so I will only take bullish trades on this equity. Bull Put Spread, Bull Call Spread, Poor Man's Covered Call, Risk Reversal.... The trade also would be determined on the liquidity of the options. If I had a bullish bias and the bid/ask on the puts was wider and less liquid than the calls, I would most likely put on a different trade than a bull put. As you can see it depends and when trading options you just get a feeling of the right trade. Various ones will work. I most likely on that day would have done a bull put spread. Sell either the 190 or 185 and did a $5 wide spread and try and make a $1 or get out at .50 if I got the return fairly quickly. Lastly, be patient on your spreads if the bid/ask is wide. Don't over pay for the option. It makes it hard to adjust or take a profit if you are looking for .50 and you give up a dime right off the bat. Just some thoughts to consider.
fortyfour 189 posts msg #103254 - Ignore fortyfour	11/7/2011 6:44:00 PM http://www.optionistics.com/f/option_prices Is my source of "approx" data from the past month. I have to say I am surprised and disapointed with the thin volume on large cap stock options. "GLD" is on a tear now and the ATM call trades approx 1000 to 2000 contracts/day. I have read your posts...sounds like youre enjoying it.... Thanks and good luck.

StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)

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