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PJLaird@xxxxxxx wrote:
> The report received from the CBOE for today's entertainment, has the S&P 100
> P/C ratio as 1.546 (52693/34083). I have unfortunately misplaced the post on
> the details of the indicator, but it seems we have the minimum for a "buy the
> open". The question I have for those better informed; does the volatlity
> during the day void consideration of the ratio, or does the small change in
> the "close" value carry more weight for this particular indicator?
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I've tested this system with the data going back to 1/2/97. The results
are as follows (best viewed in Courier font):
OEX Points #Trds/#Wins Wins LngWins ShrtWins
Straight P/C Ratio 122.65 43/30 70% 83% 65%
OSS Filter 155.51 22/20 91% 100% 88%
Z Score Filter 171.59 25/20 80% 100% 72%
Both Filters 110.52 17/13 76% 100% 67%
OSS and Z Score filters are derived from OEX/VIX computations as
discussed on RealTraders many moons ago (and are an intricate part of
BobR's excellent work). The P/C Ratio system with the Z Score filter
produced the best results, significantly increasing OEX points while
reducing the number of trades (and commissions).
A careful look at the above table will show you why I'm anxious to get
my hands on this OEX Put and Call Volume Data. Does this year just
happen to be a fluke, or will these results hold up over time?
BTW, Friday's P/C signal triggered a buy and it also passed the Z Score
filter. According to the rules of the system as originally proposed by
Kurt Kallaus, one would look to buy Monday's open with the intent of
liquidating the position two days later, on Wednesday's open.
Again, if anyone can help me get my hands on OEX Put and Call volume
data, it would be very much appreciated (and I'd be happy to share my
findings).
Bob Hunt
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