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  1. Building a GAP Trading Strategy

    ZOSO, I don't like at overnight sessions that often, could you post a screenshot of an overnight gap if possible? Also what is the frequency of these gaps? Thanks!
  2. S&P Intraday Range and VIX

    I had 2 thoughts or questions actually: 1) Has anyone looked at utilizing ATM IV for individual stocks to forecast range of individual equities? 2) And is there any studies on forecasting future range contraction/expansion? In particular perhaps combining IV (VIX) with Static Vol to determine if IV expanded range leads SV or vice versa? My questions come from a new trading idea to utilize something like probability maps in Tradestation or perhaps a NN forecasted range to trade options and specifically flys. My thought is if one can predict consolidation (at the very least) then you should be able to design a nicely profitable system.....
  3. ADR Arb/Spread

    I agree, the general method is to high-frequency market-making approach using cheap commissions and multiple accounts but I can't imagine these traders even remotely close to that level of sophistication. Perhaps its some spread between the ADR and the base index? I thought I read in a paper ADRs due follow the local index during the trading day and perhaps they revert to the base index. So US equities rising, ADR rising, DAX is flat, short ADR?? I am grasping at straws but as I find out more I'll post...
  4. ADR Arb/Spread

    A buddy of mine asked for some help investigating an ADR trading strategy based on results of another trader making good money. Knowing these traders I can't imagine a sophisticated quantitative arbitrage model or conversion process but more likely following serial correlation or some other such simple strategy. Just wanted to throw it out there to see if anyone has heard about this approach or had any ideas? Thanks!
  5. Steenbarger Indicators

    Has anyone been able to successfully recreate the indicators used on Brett Steenbarger's site? Indicators include NYSE cumulative TICKS, Money Flow, and other market internals. Here is an example of one I am currently working on: http://traderfeed.blogspot.com/2009/02/stock-market-sentiment-look-at-muted.html Despite using the logic written I was unable to recreate the indicator in the timeframe shown in the examples. Thanks for any assistance!
  6. Algorithmic Trading with MATLAB Webinar

    I'm a relatively new MatLab user but had a procedural question to more experienced users: How do you visually review trades in order to check that the coded strategy is in fact doing as you wanted? I have utilized the tutorial and plotted position on the time series but this is very unwieldy compared to something like TradeStation or other retail products where you can just scan the chart for proper buy/sell signals. Just looking for best practice. Thanks!

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