Recent content by qazwsxedc

I've heard a rumor that a London arcade just shut up shop. Anyone have details?

Yep. I was looking at the futures, sharp spike on high volume. Even dragged FESX along with it.

Interesting few minutes of short squeezing on expiry of the June contracts today. Seems LIFFE still haven't fixed the procedure for determining the settlement price. :confused:

Sharpe >6 sounds bearable :cheesy: What's your slippage like if it does go pear shaped over a figure? I've had FGBL blow half a handle through my stops once or twice in the past. Is FESX better behaved in that regard?

So when and where do you get in?

Good stuff. I'm wondering, since you look for divergence between FESX and FDAX here, would it be possible to trade the spread between the two in a mean-reverting way? On the face of it this seems to exploit the same set-up but with lower risk, allowing greater leverage. X-Trader Autospreader...

I don't *think* so either, but then my best edge seemed counterintuitive when I first checked it out. Hence my desire to quantify it.

Well yes, but that's the rub: I'm looking for a rigourous way to test whether this kind of thing can provide a tradable edge. EW patterns are alwys subject to interpretation, more art than science.

Neither. I've heard it applied to trying to break through resistance or support intraday. Bit difficult to turn into reproducible rules though, that's why I asked.

On a wild and exciting day like today ;) I think we have time for a question. "The market always knocks three times" is a bit of floor trader lore. Is there any quantifiable way to turn this into a tradable edge or is it just a legend?

Yes. Ignore it. The Liffe commodities are producers' hedging markets and the volume isn't large enough to make it worth a market maker's while really.

Something hit at 11:51, couple of thousand lots each in the front four quarters, and then it went away again just as quickly. Long Gilt hardly moved at that time, so what went on?

Speaking of which, what hit Short Sterling at 11:51?

Let's say we're in an uptrend intrday, making higher highs and higher lows. One "move" then is the difference between a low and the higher high that follows it. The "overshoot" would be the difference between two consecutive highs. Reverse in a downtrend.

Beast being Bund. I seem to see more but smaller overshoots, as if additional paper is dampening intraday moves. Has anyone else noticed it changing in recent weeks?