Synthetic instruments, based on indicators
-
- Roundtable Knight
- Posts: 127
- Joined: Wed Apr 16, 2003 11:01 pm
- Location: Reno, NV
- Contact:
Synthetic instruments, based on indicators
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.
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.
-
- Roundtable Knight
- Posts: 125
- Joined: Mon Apr 21, 2003 11:04 pm
- Location: California
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
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
-
- Roundtable Knight
- Posts: 1842
- Joined: Tue Apr 15, 2003 11:02 am
- Contact:
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.
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
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.
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
-
- Roundtable Fellow
- Posts: 84
- Joined: Thu May 29, 2003 12:11 pm
- Location: Eugene, OR
- Contact:
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
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
-
- Roundtable Knight
- Posts: 127
- Joined: Wed Apr 16, 2003 11:01 pm
- Location: Reno, NV
- Contact:
Would you mind posting your summary to Tharp's forum as well ?
http://mastermindforum.com/phorum/read. ... 044&t=6044
http://mastermindforum.com/phorum/read. ... 044&t=6044
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....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.
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
Mark