get a long position when the weekly return > 3% and when the market context is closing weekly prices are above the long term trend (50week). If we are below the LT trend, shorting is a better idea but no really much of an edge is present.
I would be 6% to 10% of the time in the market, that’s three or four positions in a year. (…)
In a 8 week span I should sell sugar and expecting to gain 20% to twenty percent with possible losses of about 18% to 26%. The probability of loss is of 24%. The problem is this has happened before only 17 times since 1967…
Interview with Paul Rotter – aka "the Eurex Flipper" here. Back on F05 it was already point of discussion the algorithms provided by deep pockets for systematic trading in the order books.
One can use this scalper approach towards options on commodity futures.
I must admit, that back then I had absolutely no idea that there was something like ‘risk-management’.
you are known as a order book-scalper, could you please explaining to our readers what you are doing and what your strategies look like? what is your tactic?
a: it’s some kind of market making where you place buy and sell orders simultaneously, making very short-term trading decisions b/c of certain events in the order book (level2). for example, I usually have lots of orders in different markets at the same time, pretty close to the last traded price. the resulting trades are usually a zero sum game, but I get a pretty good feeling for what is going on and then ultimately can make a decision for a larger trade.
In the paper world last jan 13 I bought one corn call for march at 350 strike for 6 cents or US$300.
It is being quoted as I write for 7’4 or US$375. That is a 25% increase and a gain in position (taking off expenses) of 11%.
Since yesterday was a limit down:
Options
Have to chose a contract in which time decay doesn’t hurt the trade.
b 1 CH10 350P at 6 cents = -$300
sell on Jan 20, next Wed.
Have to take into account this writing from Daily Speculations.
Seems that my adapted put/call paritiy weighted strike price could work for fundamental events.
Yesterday in Corn:
And today (record crop):
