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Monday's P/C ratio for the OEX is 50916/32297 = 1.576. This meets Kurt's
number 1 requirement for a buy on the open the next day. Hope he doesn't
mind this repeat of his post for those who might have missed it.
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S&P 100 Index - (included OEX ,OEB,OEW, OEY & OEZ)
OEX CALL VOLUME: 32297 OEX CALL OPEN INTEREST:
154991
OEX PUT VOLUME: 50916 OEX PUT OPEN INTEREST: 237473
OEX TOTAL VOLUME: 83213 OEX TOTAL OPEN INTEREST: 392464
OEX LEVELS HIGH: 931.02 LOW: 919.87 CLOSE: 928.01 +4.75
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1) When OEX (S&P 100 Index) Put Volume / Call Vol' is 1.54 or greater it is a
Buy on open the next day. And when this P/C ratio is .99 or less then a Sell
on open the next day. These are end of day readings and using just one day
(no moving avg.).
2) The signals last for 2 days with an exit on the open exactly 2 days after
entry.
Stopping right here one could have still made a very good return.
#'s 1 & 2 are the core rules from which money management can now come in.
I suggested some obvious but more general rules.
Don't take a Sell after a large down day (around ? 1% or so), and don't
take
a Buy when prior day was already up big (1 % or so ?...) . Also for the RT
group I didn't take multiple signals on consecutive days (that has added a
net
36+ points over the last 1.5 years to total). This would also greatly reduce
the # of trades yet increase the profit.
Not mentioned are also some obvious rules that each can refine for himself;
perhaps a 10 point stop could add about 73 points to 1.5 year record and
using
a two-thirds retracement profit stop after a 1% + profit could add another 37
points. The recent 85 to 90 % accuracy over the past few months was without
these later rules; though 85 to 90 % is hard to maintain with any system.
The
good news is that the 6 wins and 1 loss record of the past 2 months has not
been in hindsight, but with clear notification of rules with supporting
signals to review.
Anyway there is a net gain potential of 300 to 400 points basis the S&P
futures based upon these and related rules over the past 1.5 years since
12-95 ; and actually this is with 2 months of missing data that I'm confident
would boost the record.
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