Stock market tips and experiences

[scorcherjf]

He probably means someone who works for one of those EVIL hedge funds or banks!

Originally Posted by BigDog

not sure what you mean about one of those guys....

[mact3333]

Originally Posted by mact3333

alot of resistance at 1270 ES, which was met...ST bulls should be cautious...could see some selling for abit...time to add imho while down.

Selling here as noted yesterday.

[Vanity]

Originally Posted by Vanity

EDIT: new trading ranges: 1244-1265

Above 1265, we hit new 1300 highs without stopping. This would signal a very large decline later on as markets rally past 10% gains on small volume. This is reflective of what happened in October and mid-November crashes. Good shorting position on the top.

Below 1244, we MUST hold 1235 or else we are sent back to retest new lows. It may be likely to see a reasonable 1-2% pullback in the markets after a 10% rally.

We broke 1235 today. But just marginally. In fact, in the final 2 minutes it was sitting near 1230, only being pushed back up to 1234.35 in the last second by 50M volume. Shows the markets wanted to regain 50dma support level moving into EU Summit talks tomorrow.

But a breach is a breach: trading range is 1220-1250 now. We may retest 1220, though breaking it this month is highly unlikely unless EU talks burn to the ground.

ECB not buying bonds today, did anyone really believe they would? 15 trading sessions remain in the year for wide-spread under-invested money to start pouring back into equities from Firms. Unless the EU talks tomorrow completely collapse and nothing is achieved, then today's 2% pullback is the resulting normality of a near 10% gain in the markets we just had, as I called for on Monday. Ta-dah! 2% pullback seen today.

Trade accordingly.

[BigDog]

Again, I do disagree with your statements to the extent that there is quite a bit of misinformation... I would be intrested in reading your sources or picking your brain in terms of your background in trading though...

fwiw, i am strictly offering my opinion based off my own trading experience/background.... which is probably a bit different from most people... in terms of background i run an algo desk at a smaller sized trading firm here in chicago (research, develop, deploy low/med/high freq trading models)... me personally.... i lease an imm seat on the cme and trade my s&p option book on my own account, and have worked with some automated pricing models for my own account.... though with an obviously smaller appetite of risk than at work...

Originally Posted by mact3333

There are things like retracement level algo's that will give specific odds based on reasonably reliable back testing methods.

i disagree, for the majority, algo traders don't base trading models on odds based on back testing methods.... backtesting generally tells you what could possibly work if you have all information given to you... all data is insample... it does not account for out of sample data that you or your trading models will encounter during a live market.... i'm sure you are familiar with the cliche previous performance does not garuntee future results.... it certainly holds true in model development... backtesting is used, but for mostly testing a general idea... at most back test data is used as a training sample set... and then the parameters are tested on out of sample data....

Originally Posted by mact3333

If you are able to stare at a computer all day you can scalp a point or two and make a living at it but its tough...emotions get in the way as your algo set stop loss can come off faster than you can start sweating...when youre highly leveraged with ES contracts and at 50.00 a point, you can lose your focus real fast, hence 90% of daytraders dont last 1 yr.

You can state casually on here you trade based on objective algo's whether its your own or a service based one and hence take emotions out of it, but we know this is extremely difficult to do no matter what your system is.

Again, I disagree... the point of developing algorithmic trading models is not to scalp your one ES point... there is no staring at screens or anything like that.... the point of automated trading models is robustness and scalability.... off the top of my head, there's probably atleast 30 significantly liquid contracts on the globex fut xchange.... a robust model can scale very easily to trade all 30 with zero interaction... when you start discussing equities on the nyse,nasdaq,bats, etc etc we're talking about 1000's of outrights, and an exponentially greater number of spreads....

any algo you subscribe to as a retail guy is going to be for the most part nonsense... you would be much better served developing something on your own based on your own ideas... you don't need a massive trading account either as you scale your risk based on what your appetitie and capability is.... like i said, robustness and scalability are what matter.... whether you are rennisance, or joe six pack....

as a side note there are plenty of models that are deployed that have a minute or zero positive expectancy, essentially scratch every trade, to the volume of trades generated daily (10000+) they do become quite profitable based on the fee rebates from the exchanges alone

Originally Posted by mact3333

BTW, I disagree what you said about HF's and large institutions and how their quant box algo's diminish risk because it has been proven over and over again this isnt true...how many HF's have gone under over the past few yrs utilizing these exact techniques you describe.

Where were the quant boxes trading CDS swaps ...didnt GS go bankrupt few yrs back until the tax payers bailed them out?..didnt Lehmans go under?...MF Global?...these co's were using the exact same prog's you said minimize their risk.

The people who make real money without developing an ulcer are the ones trading based on IT and LT timeframes imho.

I strongly disagree with this point... you seem to be confusing risk management and algo trading... algo trading is developing a model based on some pricing information you receive or calculate and executing based off that... risk management is just that.... a super duper model doesn't account for piss poor risk manangement.... all the names you mentioned took hits due to spreads blowing out.... not due to their "black box" going crazy... examine equity curves of most automated shops be it massive ones like rennisance or d.e. shaw, medium ones like geneva, chopper, wolverine, etc or small 3 man groups running out of the cboe building... equity curves are very nice and smooth.... fwiw... cmegroup is opening up a new co-location for servers in 2012 i think just because the equinix location down near the mccormick center is packed to the gills with servers.... algo trading is very much profitable

fwiw the image file illustrates this on a very small scale (equity curve of a model thats somewhat live) for 12/07/11 .... nothing more than trading a 1 lot on ES based off of a simple PPR (projection pursuit regression) model... no market making, no quote stuffing, no dependence on collcation, etc etc... simply lifting the bid/ask depending on the generated signal... commisions are included... generated 42 trades... if you look at it in a retail sense, your leverage risk is limited due to the going rate of $500 margin per ES contract.... no need to hold anything overnight, etc etc

this is just to illustrate a single model, there are many others that can and are traded actively be it market making, break out, mean reverting, and even the more intresting ones like predatorial models that involve quote stuffing, etc... (obviously the more complex the model, the more costly it is to research and deplot it.... though generally more profitable too )

Originally Posted by mact3333

I am finding timing cycles more and more useful myself.

nothing wrong with this, though i do invite you to try building a very simple model with your logic in something like excel... you'd be suprised to see the long term performance/robustness of your method and could probably improve your methods....

[mact3333]

only price pays...theories on HFT and personalized algo's are nice but I think we can all agree only price pays....

Hope you guys took the warning few days ago we were going to selloff and you should use that scary time to add to longs.

I did.

Until I see the evidence and other markers I look for, staying long.

[Vanity]

Originally Posted by MEMMEZZ

What a shorter! Love the aggressive attitude. You dont think the french downgrade is already somewhat priced in? It shouldnt be a total surprise.

By the way what trading platform do you use? How do you track intra-day volume so closely?
Im on streetsmart edge.

Im using whatever system my brokerage firm is giving me. I use it mostly just to trade and have other platforms to do my analysis on. as for intra-day volume, almost anywhere will give you that information in a volume-setting.

How is streetsmart edge? I saw a commercial for it.

[Vanity]

Originally Posted by Vanity

So as we tread through December, let's decide whether or not the Santa Rally has finished or whether the sleigh still has inertia.

Evidence of a crash in January:
- retesting October lows did not complete this month. They are postponed to the next now.
- after 2008, bonuses on Wallstreet are paid out in restricted stocks. As to maximize the upside potential of these stocks in the next Three years when they are open to selling by the fund managers, the beneficiaries (Wallstreet) is going to want to see a market crash before the bonuses are released. Stocks are desired to go as low as possible here.
- China manufacturing slowing down and this is putting export strains on its economy. Considering how China is the worlds largest buyer of debt, who do you think is going to cough-up the extra money needed to pay the bills when China begins to have less and less money to buy up debt and fund the US bond markets??
- US is going to rely heavily on China and it's bond markets in January as the debt ceiling raised in August (to $15.195 trillion) is, after December's government bills, at $15.045 Trillion. How much time did the debt ceiling raise buy the US? About 3 months it seems. They are $149 Billion away from defaulting again, and will need to raise that ceiling yet again. Monthyl US debt deficits are on the magnitude of $110 billion. This will happen in January, no getting around the math. More political theatrics here, especially as the campaign elections heat up in early 2012. US downgrade likely to happen here.

As for the fiscal integration happening here in EU on Thursday to Friday in the summit meeting, expect the austerity measures and mild recession to get both heavier and deeper. This means fiscal targets, as outlined right now for the EZ countries that need bailouts will NOT be met and will have to be revised. In truth, we will need more money than what we are projecting right now. $1 trillion EFSF fund is a joke. ECB is unlikely to backstop the Eurobond because such a proposition is a minimum 2 year ordeal and minimum $2 trillion dollar commitment (by today's projections, never mind tomorrow's).

Just food for thought to watch out for in January. USD index is sitting near its 50 day moving average of 77.64. If it heads to the downside of 77.64, from 78.63 right now, markets will go up. But watch the USD index as it marches towards 80 line near the end of Dec or early Jan. That is a crucial short signal.

Wrote this 8 days ago. USD Index now sitting at 79.55. EUR/USD sitting at 1.3175. EUR needs to hold support level at 1.3145 or else USD will break 80.00. A strong dollar = downshift in the markets. That's because a weak EUR strengthens our dollar, but Europe is all markets care about atm.

[MEMMEZZ]

Originally Posted by Vanity

Im using whatever system my brokerage firm is giving me. I use it mostly just to trade and have other platforms to do my analysis on. as for intra-day volume, almost anywhere will give you that information in a volume-setting.

How is streetsmart edge? I saw a commercial for it.

Im pretty happy with streetsmart edge. It has everything you could ask for. I just wish they would develop a version for mac users. I have to run windows on my mac just for that.

[MEMMEZZ]

Anyone else think today is a decent time to get in on the tvix?

[Vanity]

USD Index broke to 80.34 today. EUR broke support level of 1.3145 and sitting at 1.3034 now.

The market right now, in terms of indicators, are all signaling bearishness. I have a few indicator that might signal a continued bull pull back, indicating this as a bear trap, but caution should be taken here. We broke spx support levels at 1235 today but failed to break past the 50 day moving average by the thread of a hair. If we continue to tread down the next two days or so, I think the Santa Rally already came and left.

Good scenario: EUR rises back to 1.32 and USD weakens below 80 again, rallying the markets on more euro confidence. Jobless claims this week come out better than expected.

Worst scenario: home sales from 07-011' have will be revised down next Wednesday for "double counting". Estimates are a revision down of 20%. This, along side weak retail figures, we're all the rally were really going on. If jobs disappoint hely this week, we may retest October lows again over Christmas......

Trade accordingly.

[mact3333]

bears now in control with ES under 1223....look for bounce at 1213ish...bullish positions are being swept now...neutral now.

[mact3333]

look at AAPL...lost the 50dma...gonna test the 200dma..if 200dma goes the mkt is in big big trouble.

gold and silver breaking down also.

[mact3333]

you guys better wake up now....GLD just broke down below 200dma for first time in many yrs...this tells me something has changed....hmmm....defcon 3.

[mact3333]

SPX 1158 better hold or were headed down to the ever critical 1060-70 level(THE most important level)...if this breaks mkt will sell off hard and very fast.

[M3Bahn]

Citi Predicts Gold At $3400 In "The Next Two Years", Potential For Move As High As $6000

While we remain cautious on Gold in the near term and believe that we could correct lower towards $1,600 and possibly re-test the $1,550 area we continue to believe that the bull market remains intact. As with the Equity market we believe that 2012 may be reminiscent of 1978 when Gold rallied nearly 50% off the 1977 close. Such a move would likely put Gold in the $2,300-2,400 area in the 2nd half of 2012.

On a longer term basis we expect even higher levels and target a move towards $3,400 over the next 2 years or so. We are not yet on board with the idea of a move with the same magnitude as seen in 1970-1980 when the last spike in Dec 1979-Jan 1980 saw Gold almost double in price as Russia invaded Afghanistan. Such a dynamic would suggest a move above $6,000 but we prefer to take a more conservative stance and look for a move similar to that seen without that final event driven push at the high which was a “blowout top” in Jan. 1980.

http://www.zerohedge.com/news/citi-p...next-two-years

[Vanity]

My post today is going to be a little bit more visual.



We broke through some key support levels today and are headed towards 1200, breaking the 1200-1206 support level. Volume has been extremely low. To give you an example, average trading days a couple days before yielded around 4 billion or more shares traded. Today we had 927 million shares traded. Yesterday we had 780 million shares traded. Nearly 1/3 to 1/2 of this volume is coming in near the end of the session (within the last 10 minutes) and correlating to the rallies we keep seeing occur at the start of every session, but end up failing. Tells me the sell-off rally isn't truely selling on force just yet in the SPX. Might be a bear-trap (chime in your opinions here).

The MACD 12 day line (the indicator slot at the bottom of the picture) has crossed with the 26 day line, suggesting our bullish rally is dead. But it is not unfathomable to see a "dead-cat bounce" in the next 1-3 sessions.

The RSI indicator, indicating the over-bought and over-sold levels on a measure of 70 to 30, respectively, show that we are sub-50 now, mildly oversold. If we tread down in a fast sell-off, you're going to see a strong whiplash upwards because the RSI will hit oversold-30 too quickly, and without pause. We are very likely to retreat upwards back to 50 before we resume a full on crash to sub-1100. As you can see, all moving averages have been broken and all our support levels are gone, with the last retracement 61.8% at 1206. A break below this line would mean a full 100% retracement of October lows, and perhaps much much lower.


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Originally Posted by M3Bahn

Citi Predicts Gold At $3400 In "The Next Two Years", Potential For Move As High As $6000

http://www.zerohedge.com/news/citi-p...next-two-years

Citi can say all they want about what the future is going to be, but for now the charts show this:



200dma is broken. You have selling on volume. However, you also have the RSI line inidicating a heavily over-sold status, so this further reinforces seeing a dead-cat bounce soon, to relief the pressure before resuming course downwards.


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Here are charts of the EUR vs. ALL & VIX charts.

EUR vs. ALL:



Heavily oversold and due for a rebound soon. Further supporting a mini-dead-cat relief rally.


VIX Charts:



It did not break it's 200 dma. This indicates, since VIX is a measure of how much money is being put into hedged options, that traders are still nevrvous about Europe, but the VIX chart shows those fears are relatively subdued compared to a few months ago. Could this be evidence of a BEAR-TRAP? MACD lines show 26 moving line (red) is still over 12. This means VIX is still rather BEARISH, meaning we will likely see it bounded. Are we going to remain bounded between 25-30 here? If so, we could still resume a rally to 1330-1340.

OR, do we see VIX ready to cross the lines, spike higher past 30, and give support for the ammo needed to break 1158 and sub 1100? It's certainly plausible that since VIX sits so low on the 200dma, and since it didn't break it, that there is enough upside potential for VIX to climb above 25 points to it's 46 high.

Likely scenario? I think the market is still really hungry for a rally, we still see rallies being tried and failed. We need some good info to drive us, but retail, FED, and EUR dollar have been disappointing us. Jobless claims better not exceed 400k+ tomorrow otherwise that's enough to kill a Bull. But I believe not enough hope is left this Christmas to dump the billions of dollars into the market sitting on the sidelines. We will probably see a rally reach (at highest) 1265 and then load your shorts. Expect to test 1200 first, but if we break 1200 and hold there, relief rally to 1265 theory should be junked.


Sorry for the long post.

[mact3333]

blow off top to downside on GLD with respect to volume...will run out of sellers soon.

something fishy about this selloff in the mkts...plot of USD vs SPX over the past 1 yr...divergence setting up.

[Vanity]

Originally Posted by mact3333

blow off top to downside on GLD with respect to volume...will run out of sellers soon.

something fishy about this selloff in the mkts...plot of USD vs SPX over the past 1 yr...divergence setting up.

Can you put that chart up?

And yeah, there is definitely something awry here. Everything is hitting extremes, breaking support levels, moving averages, and volume and VIX are docile. Might be Bear Trap

[Vanity]

A solid rally on some good fundamentals today. This is good news, and we might have been seeing a bear trap before. This is a really good fundamentals based rally. Everything that could've gone right, did even better.

Euro rose above 1.30, USD index falling towards 80 mark, Spanish debt auctions sold at low interest rates and solid double the amount, FedEx beat expectations by 10% signifying transportation industry is robust, and of course jobless claims were 366,000!!!! Shattered expectations!

A solid and sound rally here. All we need now is some payroll tax cuts to come in (should be soon as congress wants to pass it and get home for the holidays) and Santa is back in town.

[mact3333]

delta charts suggest shooting star candle today but I dont believe it...instead i think were moving higher...if we accept above 1235 were testing 1265 imho...the real money will be made when we short after the final top, but dont think were there yet we shall see.

[Vanity]

Huge buying on volume today, three times the volume of yesterday's rally. Will have to watch out for the final trading hour, huge quadruple witching hour. All options expire, huge volume gonna come in from sidelines. We will see if buying conviction lasts today into Monday.

[mact3333]

Originally Posted by mact3333

delta charts suggest shooting star candle today but I dont believe it...instead i think were moving higher...if we accept above 1235 were testing 1265 imho...the real money will be made when we short after the final top, but dont think were there yet we shall see.

Unfortunately the delta charts were right...we got that shooting star candle.

But still not a believer.