I discovered this arbitrage technique about a year ago but as I could not find any use for it due to transaction costs and lack of capital I am going to give it away for free. This technique requires 2 limit orders near the market open. As soon as the price increases X% you short and as the price decreases Y% you buy. Right before the market closes you close all your open positions. Over the long run this makes about 0.3% per day and the equity curve looks very very straight so higher leverage might be used to further increase profits.
In the attached xls file the X% is 0.66% and Y% is 0.55% or is it the other way around? Anyway what makes this system interesting is that it it produces relatively smooth equity curves (both positive or negative) if you get a negative equity curve from an index you will need to do the opposite technique to profit. So instead of shorting at a price above open you will have to long and instead of buying before open you will have to sell below open at some percentage below open.
In simple terms just attach a moving average to your equity line and go with the system if it is increasing with time and do opposite if it is decreasing. Also Don't trade if the equity line is neutral.
While this system works well on indexes and bonds. This trading system does not seem to work well on individual stocks/currencies. So don't use it on individuals stocks especially because or high execution costs. Remember this system is only profitable if your execution costs + slippage + spread are less than ~0.03% of the Index which is ~$35 for Dow Jones.
In the attached xls file the X% is 0.66% and Y% is 0.55% or is it the other way around? Anyway what makes this system interesting is that it it produces relatively smooth equity curves (both positive or negative) if you get a negative equity curve from an index you will need to do the opposite technique to profit. So instead of shorting at a price above open you will have to long and instead of buying before open you will have to sell below open at some percentage below open.
In simple terms just attach a moving average to your equity line and go with the system if it is increasing with time and do opposite if it is decreasing. Also Don't trade if the equity line is neutral.
While this system works well on indexes and bonds. This trading system does not seem to work well on individual stocks/currencies. So don't use it on individuals stocks especially because or high execution costs. Remember this system is only profitable if your execution costs + slippage + spread are less than ~0.03% of the Index which is ~$35 for Dow Jones.
