Synthetic instruments, based on indicators

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Karakoram
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Synthetic instruments, based on indicators

Post by Karakoram » Wed Nov 19, 2003 5:25 pm

I do not know where to put this topic. If another moderator has a better place, please move this topic.

Someone in Tharp's forum has an interesting idea. Please take a look and see if this is even possible. I am not sure how this could work.

http://mastermindforum.com/phorum/read. ... 044&t=6044

Post there and post here your thoughts.

TK
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Post by TK » Wed Nov 19, 2003 5:43 pm

I went there and... doesn't Habu make you think of someone :?:

omegaman
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Post by omegaman » Wed Nov 19, 2003 5:55 pm

It's a crippling disadvantage to pay a round turn commission and slippage every single day. Far better to trade one of the preexisting baskets that doesn't need constant twiddling.

blueberrycake
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Post by blueberrycake » Wed Nov 19, 2003 7:25 pm

If you think about it logically, the whole idea is nonsense. What the originator of that post wants to do, is trade today at yesterday's prices. Obviously we all wish we could do that, but there is simply no methodology, however clever, that will ever let you do that.

-bbc

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Post by Kiwi » Wed Nov 19, 2003 8:57 pm

Blueberrycake,

I know you cant do it with a simple methodology but I have come up with a devilishly complex one to do just that. It performs brilliantly.

Anyone who would like to buy it from me can forward me a cheque for Eu1Billion at their convenience. I will only sell it to one customer and promise not to trade it against you.

Awaiting your email and making millions while I wait.

John 8)

Forum Mgmnt
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Post by Forum Mgmnt » Thu Nov 20, 2003 6:12 am

John,

Your price was once too high for me but not any more. I just bought this off of eBay:

http://cgi.ebay.com/ws/eBayISAPI.dll?Vi ... egory=2992

It only cost me $150,000 and it has the added benefit of allowing you to predict every market price with 100% accuracy. This is good because it adds liquidity, very important because with 100% success on every trade, I now own 40% of the free world. :lol:

I'm working on bribing the despotic and totalitarian regimes to give me their countries next week. I should be done with the whole world by Christmas.

Don't worry, I'll be a benevolent dictator and turn these countries into free ones.

- Forum Mgmnt

Karakoram
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Post by Karakoram » Thu Nov 20, 2003 12:03 pm

The seller has 100% positive feedback. I think this is a good purchase, you can't go wrong :twisted:

Chris Murphy
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Post by Chris Murphy » Thu Nov 20, 2003 8:54 pm

What a joke!

Jason_L
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Post by Jason_L » Fri Nov 21, 2003 3:19 pm

I see what the poster was alluding to when he was talking about trading the indicator.. creating a synth position that tracks the indicator is not unlike using options to create synth positions. Imagine trend following something with a price chart as sedate as a 20 bar sma - definately sparked my interest.
I coded it up and ran some back tests on it - the problem I came across is although you have in essence a floating dollar/cost average that mirrors the SMA (sort of reminded me of a delta nuetral strategy with the daily trading), the liquidation price is not the same as the SMA. The moving average might be at 50, but you can only liquidate at the current price of the underlying (better hope it hasn't crossed the SMA and is at 48 ), so spreading 2 moving averages didn't work out as hoped. But it got me thinking in many new directions, so it was worth the time spent :)

Karakoram
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Post by Karakoram » Fri Nov 21, 2003 3:32 pm

Would you mind posting your summary to Tharp's forum as well ?
http://mastermindforum.com/phorum/read. ... 044&t=6044

Jason_L
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Post by Jason_L » Sat Nov 22, 2003 8:37 pm

ok :) just did..

masmit
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Post by masmit » Mon Nov 24, 2003 7:25 am

Forum Mgmnt wrote:John,

Your price was once too high for me but not any more. I just bought this off of eBay:

http://cgi.ebay.com/ws/eBayISAPI.dll?Vi ... egory=2992

It only cost me $150,000 and it has the added benefit of allowing you to predict every market price with 100% accuracy. This is good because it adds liquidity, very important because with 100% success on every trade, I now own 40% of the free world. :lol:

I'm working on bribing the despotic and totalitarian regimes to give me their countries next week. I should be done with the whole world by Christmas.

Don't worry, I'll be a benevolent dictator and turn these countries into free ones.

- Forum Mgmnt
Forum Mgmnt, you once again demonstrate your astuteness. He was asking $200,000 only a few days ago, so you held out and got a $50,000 discount on owning the world....sounds like a lot of 'rotating spherical objects' to me....


Mark

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