In My Nerd Cave
Postings have been light as of late. I’ve been hunkered down in my nerd cave trading a new widget that I’m uber excited about.
The theme for my own trading in 2010 was diversifying away from pure long/short (primarily mean-reversion) trading, with the addition of pairs-trading to reduce my beta exposure and tactical asset allocation for my long-term “generational” goals.
This final widget will take another entirely different route. I’m not ready to share just yet, but it’s extremely aggressive and conceptually unrelated to anything else I trade (a useful combination).
I mention it now to say I’m committing myself to providing copies of monthly account statements beginning next month. This strategy isn’t very scalable, so I’m unsure if it would ever be appropriate for managed accounts or subscriptions, but it’s at least something we’ll be able to talk about conceptually here on the blog.
Back to the nerd cave!
Happy Trading,
ms
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Filed under: Random Stuff | 14 Comments
not scalable=intrday. why discuss at all?
Hello Steve – because even if it doesn’t have the potential to be a public strategy, it’s still something we can talk about conceptually (like I did [I hope] w/ TAA). I’ll provide acct statements b/c (as I rant often) I despise talking about actual trading without providing some evidence re: efficacy.
P.S. not intraday (in the “monitoring the markets intraday” sense). My desire for returns will never eclipse my desire to not waste a good life sitting in front of a monitor.
michael
completely in agreement re not sitting in front of a monitor but their are other ways to skin that cat
I think we’re talking about the same thing so let me be less obtuse.
I’m using intraday orders placed all at once each day (so as to not require monitoring the market intraday). It’s not scalable in it’s current form b/c the vehicles traded couldn’t support significant assets being traded in such a simple way. It would require a bit more finesse in entering/exiting positions which, could definitely be done, but is beyond the scope of the strategy as it looks today.
At least I think that’s the same thing =)
michael
Is this the begining of the end for Mean Reversion ?
Hello Eber: in my opinion, not necessarily – it’s too early to say. For the market’s entire history, either short-term MR or momentum has (mostly) held. I’m still in wait-and-see mode as to which takes hold next.
More: http://marketsci.wordpress.com/2010/12/13/roundup-ramblings-on-the-state-of-short-term-mean-reversion/
michael
Here’s my guess. At 2:30 (Eastern time) enter an order to reverse the direction for the day. I.e., if the market is down so far that day, buy; if the market is up that day, sell. Close the position at the end of the day. There might be a protective stop for long positions (on down days) to protect against extreme fades at the end. Orders for all that can be done before the start of trading. Think or Swim accept orders to be entered at a particular time and under particular conditions.
yah, I read that a simple strategy of fading the days move at 3pm has done quite well for a long time. but the best trade is long at the C then hold through to 3 pm and fade if the market up (reverse and go short until C) or hold it right through until next day at 3pm. something like 20+% over last 15 yrs or so but I have been unable to verify
RE to Steve – good timing – i’m munching on some intraday SPY data as we speak. I’ll put this one through the paces. michael
Well done Russ (and I think that would likely be a viable strategy) but no, not trading equities. P.S. nice to finally put a face to the brain (checked out your new link). michael
I have made a similar observation intraday on the SPY as Russ, but have not secured any historical data to test my observation. What source are you using for intraday data?
Hello Joe – at the moment, TickData.com ($$$), but I’m not sure how happy I am with it yet. Need to compare it to another provider to confirm accuracy. michael
michael, anything on that intraday data yet?
Hello Steve – I’ve put it to the side for the moment.
When I ran both of the strategies discussed above on the SPY, I didn’t see anything near the performance I expected based on the excitement I’ve seen for these type of strategies in the blogosphere.
I’m going to revisit it in the future with fresh eyes when I’m out of my nerd cave. Having too much fun at the moment with my new toy =)
michael