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 Trade & Money Management  > Intraday Volatility Method. Target $500 profit.
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mrclean99
67 Posts
Posted - 05/12/2012 16:53:50    
I hope he is ok.......
LongScalper
1377 Posts
Posted - 06/17/2012 07:24:19    
Thanks for checking in Tach... best to you...
theHook
3721 Posts
Posted - 06/18/2012 02:41:26    
thanks for the insight tachyonv, get well, Hook
jaybee13
7 Posts
Posted - 06/20/2012 04:44:14    
Great to hear from you Tach, keep well.
tolkinghorn
23 Posts
Posted - 06/25/2012 20:47:29    
tachyonv,
Marvellous system,I have read the 23 posts and will do so again.
I sincerely hope your health is coming good.
Good luck.
Oli52
2 Posts
Posted - 06/26/2012 06:42:16    
What a fantastic thread and a hugely generous man (tachynov) to share it. He appreciates that none of us can take what we have in this world to the next so why not share? Such a kind spirited man to do this too, and then follow up with detailed assistance to all who have applied the techniques.

I have only just come across it (while looking for something totally different) and feel blessed. Now the hard part starts, seeing how my time can be managed to implement this.

With regard to the thing I was looking for (!!), would anyone know how one can set up a reliable means of getting TS systems to email or alert for any system or ELS (non-TS) one might be using. Every time I have done this it wants to alert me to loads of changes. I use range bars and want it to tell me when an extreme move has happened on a particualr range bar. Ideally email me to say as not sure how to follow on here - this is my first serious look through the forum. oliver.dowding@sheptonfarms.com
Thanks if anyone does!
sbussey
29 Posts
Posted - 07/08/2012 20:04:06    
First and foremost, thank you for your generosity, patience and kindness that you have shown in this thread.

I just found it and have pasted in my results into the radarscreen with your indicator. For the most part it works great. But I get a lot of symbols that turn up a small red "E" or a yellow "I". Any idea why that would happen? Thank you
Redlock
383 Posts
Posted - 11/05/2012 00:05:41    
I know that tach said that he didn't think you could automate his system but, was wondering if anyone has attempted to do so? If it is in this thread, I must of missed it.

At any rate, I have uploaded my feeble attempt. I would hope that this would serve as a start to get the ball rolling.
Thanks in advance to any contributors.

BTW, tach hasn't posted since July, any word on how he his doing? Tach?

Red


theHook
3721 Posts
Posted - 11/05/2012 02:31:37    
Red, Thread about Tach's health:

https://community.tradestation.com/Discussions/Topic.aspx?Topic_ID=120500&PAGE=5

Redlock
383 Posts
Posted - 11/05/2012 10:31:14    
theHook, thx.

Red
mudbutt
3466 Posts
Posted - 11/13/2012 17:19:03    
A paper that backs tachyonv 2:15 major reversal time.

The research in question was just published by Prof. Pauline Shum and her collaborators at York University.

Here is the simplest version of the strategy: if a stock market index has experienced a return >= 2% since the previous day's close up to the current time at 2:15pm ET, then buy this index (via its futures, ETFs, or stock components) right away, and exit at the close with a market-on-close order. Vice versa if the return is <= -2%. The annualized average return from June 2006 to July 2011 was found to be higher than 100%.

Now this strategy is actually quite well-known among institutional traders, although this is the first time I see the backtest results published.

The reason why it works is also quite well-known: it has to do with the fact that every leveraged ETF need to rebalance at the market close in order to keep its leverage constant (at x2 or x3, depending on the fund). If the market index goes up, the fund needs to buy the component stocks; otherwise, it needs to sell stocks. If there is major market movement (with absolute return >= 2%) since the previous close, then the amount of stocks that need to be bought or sold will be correspondingly larger, resulting in momentum in all those stocks near the close. This strategy aims to front-run this rebalancing to take advantage of the anticipated momentum.





QUANTITATIVE TRADING
http://epchan.blogspot.nl/

Intraday Share Price Volatility and Leveraged ETF Rebalancing
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2161057

Intraday Trading Cycles, Excell Spreadsheet
tachyonv
https://community.tradestation.com/discussions/topic.aspx?topic_id=18787



Scuba Steve
2081 Posts
Posted - 11/28/2012 14:02:31    
quote:
Originally posted by tachyonv
Today would have been great day to be trading this method.

Vince, you are a market addict :) Great to see you posting !
pirate114
13 Posts
Posted - 12/11/2012 12:46:27    
simulated trade today on NFLX. Bot 500@85.36 approx. 11:41 EST. Sold 500@85.76 approx. 11:46 EST. $0.40 gain.

I have been studying this thread lately and thanks to other members filling in the blanks for me I think I understand the concept of what to look for on the buy (although I botched it early on today and forgot that this is a long entry strategy and not to short). The price was channeling in the lower Keltner Channel and I decided to go ahead and buy because the Dow was up over 100 points at the time and I though that with narrowing Keltner Channels it was only a matter of time to see the breakout to the upside (thanks Vince for sending the Keltner presentation this spring!). I got nervous though, and lowered my profit target to .40 just before the pop. Funny, I seem to remember you saying something about patience :)

NFLX is around 86.72 now at 12:41 EST, but your instructions also mentioned that we would be leaving money on the table at times. Tomorrow I will try to stick with the plan a little better.

Hope you are feeling well today. Thanks again for sharing your work. I will post results again tomorrow. Good luck to everyone.
pirate114
13 Posts
Posted - 12/12/2012 22:23:45    
Today traded NFLX again with simulated trades.
Bot @ 9:58 ET for 86.59
Sold @ 10:01 for 86.97
Still working on the 'patience' part of this method :)

Had I read the headlines at the beginning of the day I could have ascertained that 1.) the stock was likely to go up and not down for the day and 2.) that the price movement would likely have some momentum. Am amazed at how well the %R predicts price movement if it crosses rapidly from "overbought" to "oversold" territory and vice versa. Also decided to make some short trades later in the day and made some (simulated) money on the decline (not part of the Intraday Volatility Method). Still trying to figure out how to benefit from the Time and Sales information. Will spend some more time on that tomorrow. Putting today in the (simulated) 'win' column again for the Tachyonv method.

Based on the 'Time of Day' spreadsheet, am expecting a morning selloff and possible major reversal to the upside around 11:00-11:15 for this stock and hopefully another opportunity to use the Intraday Volatility Method (simulated) at that time.

Best wishes to all.

pirate114
13 Posts
Posted - 12/13/2012 19:42:45    
Didn't trade today because I was helping a friend get set up with TradeStation. Looked like NFLX 11:00 reversal happened about 11:33 and wasn't huge, but was just good enough for 'possible' .52 gain today. Market mostly neutral until after 12pm.

Will try some additional symbols tomorrow.
al123
12 Posts
Posted - 12/28/2012 12:25:49    
quote:
Originally posted by mudbutt
A paper that backs tachyonv 2:15 major reversal time.

The research in question was just published by Prof. Pauline Shum and her collaborators at York University.

Here is the simplest version of the strategy: if a stock market index has experienced a return >= 2% since the previous day's close up to the current time at 2:15pm ET, then buy this index (via its futures, ETFs, or stock components) right away, and exit at the close with a market-on-close order. Vice versa if the return is <= -2%. The annualized average return from June 2006 to July 2011 was found to be higher than 100%.

Now this strategy is actually quite well-known among institutional traders, although this is the first time I see the backtest results published.

The reason why it works is also quite well-known: it has to do with the fact that every leveraged ETF need to rebalance at the market close in order to keep its leverage constant (at x2 or x3, depending on the fund). If the market index goes up, the fund needs to buy the component stocks; otherwise, it needs to sell stocks. If there is major market movement (with absolute return >= 2%) since the previous close, then the amount of stocks that need to be bought or sold will be correspondingly larger, resulting in momentum in all those stocks near the close. This strategy aims to front-run this rebalancing to take advantage of the anticipated momentum.





QUANTITATIVE TRADING
http://epchan.blogspot.nl/

Intraday Share Price Volatility and Leveraged ETF Rebalancing
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2161057

Intraday Trading Cycles, Excell Spreadsheet
tachyonv
https://community.tradestation.com/discussions/topic.aspx?topic_id=18787







While the concept is interesting, the 2% condition doesn't happen very often. For instance, for SPY in the past 12 months, the condition was only met 4 days with an average profit before commission and slippage of $0.18/day for a ~$130/trade. Hard to make a living from that.

Al
mushin2003
168 Posts
Posted - 01/01/2013 17:49:42    
Hi,
I was checking to see who has recently generated a symbol list according to the parameters given by Tach on pg 1? I had about 18 symbols after the scanner then about 8 that passed the TradeableSymbols indicator and only 2 that met the Yahoo beta < .7, those 2 were NFLX, ALXN.

I attached a pic w/comments as to what I was seeing at the time of the ALXN trade.

Attachment:DATA/201301011723332012-12-31_ALXN.png 89008 bytes

I noticed this similar setup in several other of the pics posted in this thread when price gaps below the lower KC band. The trade is taken upon a breach of the %R crossing 20 along with a general neutral or up moving DOW30.

Has anyone taken a short setup if so can you explain what the overall setup was you saw or a pic (worth a 1000 words)?

Thanks,
Rob
nabusafa
11 Posts
Posted - 01/04/2013 14:00:03    
tachyonv,

Can you please give me a step by step instructions on how to do this stock search? I understand your criteria, but I am unable to put it all together. I have never used RadarScreen or screener in TS. I would greatly appreciate if you can help me with this. I have inserted your indicators in my platform, I just need further instructions on how to impliment this stock search. Thank you so much for your patients.

Regards,
Jim
nabusafa
11 Posts
Posted - 01/04/2013 14:25:15    
Ok done. I have downloaded your tradable symbol indicator. I have learned how to use RadarScreen.
Scuba Steve
2081 Posts
Posted - 01/04/2013 14:44:00    
Eager Beaver :)
nabusafa
11 Posts
Posted - 01/04/2013 15:33:06    
Tachynov,

Can you please explain how I put in the following criteria, "Find equities having >= $2.00 intraday EMA (exponential moving average price range) over past 34 trading days;"? This is the one im having trouble with. How would I do this please? Thank you in advance.

Regards,
Jim
nabusafa
11 Posts
Posted - 01/04/2013 17:50:36    
Tachynov,

All the symbols that I put in RadarScreen from scanner have a small red E next to it. When I go to see this message it says "interval must be day". How do I correct this error? It must be something I am doing wrong. Any help would be appreciated.

Thanks,
Jim
nabusafa
11 Posts
Posted - 01/04/2013 18:04:15    
Even when I load your indicator in RadarScreen, every single stock symbol reads "all symbols must be set to day interval". Any idea why this problem is accuring?
nabusafa
11 Posts
Posted - 01/04/2013 19:17:48    
Tachynov,

I just now went through all the previous threads. Goes back a few years. First of all, I hope your health is better and god bless you. I have seen too many people beat that and live long prosperous lives. I know that you will do the same. It is so kind of you to share this strategy with all of us. I am kind of a newbee to TS, but am learning on the fly. I will try to piece everything together and get it to scan correctly. I feel as though I am so close. Enjoy your family and again, may god bless you and yours!

Regards,
Jim
nabusafa
11 Posts
Posted - 01/04/2013 19:28:31    
Does anyone know how to change the interval value in RadarScreen? Mine is set to 5 min. I need it to be at day. Thank you in advance.
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