GREY1's APPROACH TO TRADING US STOCKS

[Grey1]

Personally I dont require the volatility to be as high as this but an ATR this high will certainly reduce the number of stocks to choose by a large factor without even considering the other filters listed.


Paul

Paul

You only need 10 stocks ( updated ever two weeks ) to trade the market. That is all. It does not have to be from NAS market as I trade NYSE market myself with no problem what so ever . Stocks like RIG,VLO,SLB,EOG, OXY, X are liquid enough for fast execution.

grey1

 

[samtron]

A few of trading books I have read have said its best for newbies to stick to a smal, select, core list of stocks and to get to know them really well, to watch them every day and to almost treat them as your own little babies.

Of course when you graduate to a higher level of trading it would be ok to increase the size of your family

 

[Trader333]

Paul

You only need 10 stocks ( updated ever two weeks ) to trade the market. That is all. It does not have to be from NAS market as I trade NYSE market myself with no problem what so ever . Stocks like RIG,VLO,SLB,EOG, OXY, X are liquid enough for fast execution.

grey1

Thanks Iraj,


Paul

 

[Glenn]

Paul

You only need 10 stocks ( updated ever two weeks ) to trade the market. That is all. It does not have to be from NAS market as I trade NYSE market myself with no problem what so ever . Stocks like RIG,VLO,SLB,EOG, OXY, X are liquid enough for fast execution.

grey1

Grey1
That would seem to be limiting the number of Pair trade opportunities in any one day.
Or is it the case that 10 is enough for that too ?
And if so, does that mean that selection by correlation is another factor in the scanning process ?

Glenn

 

[Grey1]

Grey1
That would seem to be limiting the number of Pair trade opportunities in any one day.
Or is it the case that 10 is enough for that too ?
And if so, does that mean that selection by correlation is another factor in the scanning process ?

Glenn

Glen

The 10 stocks is your core stocks , you must be having as many as possible stocks in your radar for pair trading as 10 is simply not enough. The core stocks are those stocks that you are familiar with them . They are like your babies. you know their characteristics.

No correlation analysis is needed in VWAP pair trading ...

Grey1

 

[Glenn]

Glen

The 10 stocks is your core stocks , you must be having as many as possible stocks in your radar for pair trading as 10 is simply not enough. The core stocks are those stocks that you are familiar with them . They are like your babies. you know their characteristics.

No correlation analysis is needed in VWAP pair trading ...

Grey1

Thanks Grey1

"No correlation analysis is needed in VWAP pair trading ..."
Presumably because one stock at its upper MPD band and one its lower band is sufficient to identify a likely pair in an oscillating market ?
Glenn

 

[jmreeve]

Grey1,
I was wondering if there was a time frame for taking trades with the VWAP strategy.
Are you looking for stocks to touch the VWAP bands within a specific time range for trades to be entered?

 

[Grey1]

After taking a small break I traded the market to day with a short signal in a postiive market on PD . The signal was awsome so was the exit signal .I be only trading 4 days this week .

up $856

 

[lwebb]

"No correlation analysis is needed in VWAP pair trading ..."
Presumably because one stock at its upper MPD band and one its lower band is sufficient to identify a likely pair in an oscillating market ?
Glenn

One thing I dont follow. How large a set of stocks do you have to follow to produce two stocks at opposite MPD bands in a close-enough time frame to be tradeable together. I'm probably missing something here ;-)

 

[TheBramble]

That's always been the issue. I've never found anything commercially that did the job so ended up modifying my standard EXCEL based scanner to include VWAP.

I still only have those stocks in my scanner that meet my overall selection criteria in terms of stock price, daily volume and volatility, but it also now handles the vwap side of things too. Round about 150 stocks at ther moment. And it generally stays within that number +/-30 or so.

There was mention when we first started looking at vwap pairs a couple of years back about potentially using only pairs correlated negatively within the same sector. The number of times I have found this situation to occur has been, probably unsurprisingly, very few indeed. And the performance of the pair not massively more interesting than those in totally unrelated sectors.

But no, you're not missing anything - finding suitable pairs on a non-trending market does require a goodly trawl.

 

[Grey1]

I have 10 core stocks and around 50 other stocks for MPD trading , due to hard ware restrictions only .

I am out with just one stock short AMGN to run till 7.30 when the fun starts. up $ 1437 .

Considering that most of the day i was in the garden this is really good profit ..

grey1

 

[samtron]

I Considering that most of the day i was in the garden this is really good profit ..

grey1

You might have to train some of your black-country tumblers how to trade using VWAP

 

[samtron]

That's always been the issue. I've never found anything commercially that did the job so ended up modifying my standard EXCEL based scanner to include VWAP.

I use the TI scanner it has three or four VWAP alerts but they are preaty basic alerts and are based on how far ( percentage) the price is away from VWAP.
But it does scan the whole universe

 

[chris_ri]

I use the TI scanner it has three or four VWAP alerts but they are preaty basic alerts and are based on how far ( percentage) the price is away from VWAP.
But it does scan the whole universe

Hi Samtron,

I've never heard of the TI scanner, could you supplu a url or further info.

Regards,

Chris

 

[Grey1]

STRATEGY 3

This is a high probable strategy and I invite traders of all level to use it in real time and post their result in here. ( all results good bad and ugly ) . You can also quote me if you felt the result was poor.

IF MACCI of DOW > 120 ( 1 min time frame ) and MACCI OF DOW > 120 ( 3 min time frame ) and MACCI of DOW ( 5 min time frame ) then short weakest stocks. ( reverse for long

(Weakest stocks are defined by those which have gap down most @ open in your list .
( MACCI is defined by moving average of CCI )

Of course i use more adaptive version of MACCI but a simple MA of CCI would be just as good .

Those of you have TS can code this easily and you got yourself a solid strategy to use for years to come .

Grey1

 

[samtron]

Hi Samtron,

I've never heard of the TI scanner, could you supplu a url or further info.

Regards,

Chris

Hi chris_ri, Sorry but as you know (shame on you )we are NOT allowed to post links or mention commercial sites!

But I also know that you must have some great trade ideas yourself and when you research them on the net you always look-out for the .com extension.

Hope this helps .

 

[chris_ri]

Hi chris_ri, Sorry but as you know (shame on you )we are NOT allowed to post links or mention commercial sites!

But I also know that you must have some great trade ideas yourself and when you research them on the net you always look-out for the .com extension.

Hope this helps .

Cheers Samtron,

I got the idea and found what I was looking for!

Chris

 

[dod]

Is Strategy 3 dependant on prior market direction or does it stand alone?

 

[neil]

ghost from the past.

STRATEGY 3

This is a high probable strategy and I invite traders of all level to use it in real time and post their result in here. ( all results good bad and ugly ) . You can also quote me if you felt the result was poor.

IF MACCI of DOW > 120 ( 1 min time frame ) and MACCI OF DOW > 120 ( 3 min time frame ) and MACCI of DOW ( 5 min time frame ) then short weakest stocks. ( reverse for long

(Weakest stocks are defined by those which have gap down most @ open in your list .
( MACCI is defined by moving average of CCI )

Of course i use more adaptive version of MACCI but a simple MA of CCI would be just as good .

Those of you have TS can code this easily and you got yourself a solid strategy to use for years to come .

Grey1

Did you post this on a previous board some time ago- technical trader?

can the macci be constructed without the help of TS ?

regards.

 

[iq200]

I think you should be able to construct the MACCI on any platform where you have access to the underlying indicator source code such as, TS, Esignal and Metastock. These platforms support plugin indicators. Unfortunately the majority of other platforms are restrictive and have the indicators programmed into the software.

Grey1 - Awesome thread with great information - its nice to see someone giving freely on t2w for a change rather than snake-oiling ! I hope you keep it up !