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Mean-Reversion / Pair Trading / Range Bars Strategies / Using Options

  • Nov 13, 2011 · 9:30 AM

===== NEXT MEETUP: NOV-13, 9:30AM, OAK BROOK =====

We had few very successful and productive meetings!

Looks like we have 4 main topics (or possibly focus groups) at our meetings:
1. Active trading strategies for daytraders (such as mean revision, or kase/range bars)
2. Market-Neutral pair trading (actually, we are forming a focus group for that)
3. Options Strategies for daily income trading and risk management
4. Programming/Infrastructure/Execution Issues.

Daniel and Kris (me) are trying to create a taskforce to setup Market-Neutral pair trading strategies (including arbitrage between currencies, indexes and US/ASIA markets).

Manny wrote great TradeStation code for Ben's mean-revision strategy. We are trying to backtest it and run on simulators to trade it live. So far so good! Thanks for contributing ideas and time!

Dmitry presented results from Black-Box signal generating system… Still need to research these results!

We are trying to explore more possibilities of using options / derivates to manage risk and create income strategies. Wonder if anybody is willing to contribute some ideas or do presentation on that topic!

We had 2 great events in Chicago: FIA Conference and World Money Show.  I found some great information there on execution platforms, brokers and technologies available!

Thank you all for great work!



===== NEXT MEETUP: NOV-13, 9:30AM, OAK BROOK =====

If there is something you would like to discuss, or prepare presentation, please post it here

My agenda for this meeting:

Mean Revision strategy test results on 3 markets (eMinis, Euro, Nasdaq100 - backtesting and live trading)
 “Snap Strategy” for Kase Bars (using Bollinger Bands)
Creating successful trading plan vs trading strategy (based on 4-hr webinar I attended thru my Broker)
Discussion on market-Neutral Pair Trading with Interactive Brokers
“Lazy Trader” Strategy for Options (daily Income strategy)


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