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The Really Useless Thread

  • #541
  • Aug 22, 2011 10:32am Aug 22, 2011 10:32am
Quoting Venice
Not the best idea.... To close to supply. Then again as rangy as this pa is, won't be to hard to get out of.
I already squashed it.....Ive met my monthly quota so Im just trying out ideas with very small trades.....I like live trading....helps to have skin in the game .... ahhh...nap time?
  • #542
  • Aug 22, 2011 10:40am Aug 22, 2011 10:40am
Quoting needpips
I read somewhere the market falls 7x faster than it climbs.....aint gravity a bitch
Such numbers are generally only applicable to markets which have unambiguous "ownership" side, such as equities. They are less applicable to markets like a currency rate, which also has an equivalently valid (if not universally quoted) inverse, or even futures, which have equal long and short positions by definition.

That said, an important metric for currencies is the relative frequency of "fat tail" moves of 4+ "sigma" as defined by implied volatility or by normal curve fits.
  • #543
  • Aug 22, 2011 10:41am Aug 22, 2011 10:41am
Quoting needpips

.... ahhh...nap time?
great idea...
Look Sharp/Trade Tight
  • #544
  • Aug 22, 2011 10:42am Aug 22, 2011 10:42am
Quoting OldQuant
Such numbers are generally only applicable to markets which have unambiguous "ownership" side, such as equities. They are less applicable to markets like a currency rate, which also has an equivalently valid (if not universally quoted) inverse, or even futures, which have equal long and short positions by definition.

That said, an important metric for currencies is the relative frequency of "fat tail" moves of 4+ "sigma" as defined by implied volatility or by normal curve fits.
hey, your pretty smart for a grain trader..., what up brother, all good?
Look Sharp/Trade Tight
  • #545
  • Aug 22, 2011 10:50am Aug 22, 2011 10:50am
Quoting OldQuant
Such numbers are generally only applicable to markets which have unambiguous "ownership" side, such as equities. They are less applicable to markets like a currency rate, which also has an equivalently valid (if not universally quoted) inverse, or even futures, which have equal long and short positions by definition.

That said, an important metric for currencies is the relative frequency of "fat tail" moves of 4+ "sigma" as defined by implied volatility or by normal curve fits.
frequency of fat tail moves.. is there such thing as a count ? (I would like to see some attempts by traders) I would be very curious to read more about this. Sometimes I wonder of the things you can do with a proper feed to a spreadsheet of some sort. my wishful thinking is to not look at charts, but just use excel in the distant future.
  • #546
  • Aug 22, 2011 10:54am Aug 22, 2011 10:54am
Quoting darimik
my wishful thinking is to not look at charts, but just use excel.

your gonna take all the fun out of it kid...
Look Sharp/Trade Tight
  • #547
  • Aug 22, 2011 10:54am Aug 22, 2011 10:54am
Quoting darimik
frequency of fat tail moves.. is there such thing as a count ? (I would like to see some attempts by traders) I would be very curious to read more about this. Sometimes I wonder of the things you can do with a proper feed to a spreadsheet of some sort. my wishful thinking is to not look at charts, but just use excel in the distant future.
do thine eyes deceive?
  • #548
  • Aug 22, 2011 10:59am Aug 22, 2011 10:59am
Quoting PayTheLimit
your gonna take all the fun out of it kid...
everytime I think about it, I get excited. I have got three weeks until I go back. really want to put some time in
  • #549
  • Aug 22, 2011 11:00am Aug 22, 2011 11:00am
Well, that was the longest 18 pips of the day. lol
  • #550
  • Aug 22, 2011 11:02am Aug 22, 2011 11:02am
Quoting darimik
frequency of fat tail moves.. is there such thing as a count ?
Sure there is. In fact, it is probably the single most important metric of profitability from trend following strategies.

Nowdays, every market watches it. I just saw last week a chart of the frequency of +4 sigma moves in the S&P, historically. The only thing you need is a measure of volatility that is based in the (log-, perhaps) normal distribution. Implied volatility in the options market is one such. The so called high-efficiency, "non-parametric" vol estimators like the Garman-Klass are another. That gives you a, e.g., daily sigma value, and that can be reduced by taking square root of time frame (e.g., 1 hr v daily = sqrt(1/24) times daily vol).
  • #551
  • Aug 22, 2011 11:06am Aug 22, 2011 11:06am
Quoting darimik
everytime I think about it, I get excited. I have got three weeks until I go back. really want to put some time in
well lets talk, because I have a few new ideas...need a smart guy to take a look at them, and well that guy aint me...
Look Sharp/Trade Tight
  • #552
  • Aug 22, 2011 11:13am Aug 22, 2011 11:13am
Quoting PayTheLimit
well lets talk, because I have a few new ideas...need a smart guy to take a look at them, and well that guy aint me...
I always like those talks
  • #553
  • Aug 22, 2011 11:15am Aug 22, 2011 11:15am
Quoting PayTheLimit
hey, your pretty smart for a grain trader..., what up brother, all good?
Yeah, things are okay. Except the weather. This southwest drought is beyond being funny. The damage to the cattle infrastructure (pasture damage, calf/feeder herd sell offs) is far beyond what the public can imagine.

In spare time, if you want to see some really sad and scary numbers, take a glance at the number of head of cattle going to auction v. last year. In many areas, over three times. When the boxed beef runs out, it could get expensive.

Edit: On that link, you have to drill down to get to TX, NM, OK results to see what I'm talking about. But the scope of effect is widening. Even up into parts of MO.
  • #554
  • Aug 22, 2011 11:17am Aug 22, 2011 11:17am
Quoting OldQuant
Yeah, things are okay. Except the weather. This southwest drought is beyond being funny. The damage to the cattle infrastructure (pasture damage, calf/feeder herd sell offs) is far beyond what the public can imagine.

In spare time, if you want to see some really sad and scary numbers, take a glance at the number of head of cattle going to auction v. last year. In many areas, over three times. When the boxed beef runs out, it could get expensive.
how are them cattle boys holden up, what % is done on Globex now. have any idea?
Look Sharp/Trade Tight
  • #555
  • Aug 22, 2011 11:23am Aug 22, 2011 11:23am
Looks like Cloggie's 62 remains the Maginot Line.
  • #556
  • Aug 22, 2011 11:27am Aug 22, 2011 11:27am
Quoting PayTheLimit
how are them cattle boys holden up, what % is done on Globex now. have any idea?
If you mean the paper flow, pit v Globex, I don't know, but I think the real hedging and firm hand spec positions on both sides are (and probably always will be) done in the pit. No computer program in the world is as good at iceberging the real order as a human. To say nothing of how much "audible" play calls enter into a real hedge order.
  • #557
  • Aug 22, 2011 11:27am Aug 22, 2011 11:27am
Quoting OldQuant
Looks like Cloggie's 62 remains the Maginot Line.
wasn't that 4162 ?
Look Sharp/Trade Tight
  • #558
  • Aug 22, 2011 11:31am Aug 22, 2011 11:31am
Quoting OldQuant
If you mean the paper flow, pit v Globex, I don't know, but I think the real hedging and firm hand spec positions on both sides is (and probably always will be) done in the pit. No computer program in the world is as good at iceberging the real order as a human. To say nothing of how much "audible" play calls enter into a real hedge order.
yea, I have seen some great order fillers in my day, and to be honest some of them are better than some of the best traders I've known...their ability to know how to get her done was always impressive...surely I've seen my share of butchers too...
Look Sharp/Trade Tight
  • #559
  • Aug 22, 2011 11:33am Aug 22, 2011 11:33am
Quoting PayTheLimit
wasn't that 4162 ?
Oh, was it? Well, the low 60's in this handle have been pretty tough since last night, too.

EDIT: I got a pretty lame 92 short roll earlier. On a 60 tick ATR PoS day like this, that's a lot of the move. This day could still easily give me a loss. You scalpers and level traders can sit back and think about how to re decorate the country home.
  • #560
  • Aug 22, 2011 11:36am Aug 22, 2011 11:36am
looks like 80% Globy...bastards...

http://www.cmegroup.com/daily_bullet...ns_2011161.pdf
Look Sharp/Trade Tight
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