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I have done a little backtesting on the concept of Shortng BOTH the FAS and the FAZ. I short each at the open of every day and close them both out at he end ofthe day. I adjust the shares baaed on the ratio of the opening prices otherwise I would have a big differneces in volatility/range. So if the FAZ is $100 and the FAS is $25 I would short 100 shares of FAZ and 400 shares of FAS. Over 199 trades I come up with an expectancy of $0.57 from 11/19/08 to 09/03/09. % Win/Loss Avg Win/Loss Win 115 $170.09 57.8% $1.48 Loss 84 $(56.30) 42.2% $(0.67) Total 199 $113.789 Expectenancy $0.57 I am looking for advice from seasoned traders on the viability of this approach. Short FAS FAZ Equity Curve.pdf

I am looking for someone to help me code in Excel VBA a morning range breakout study. I have 7 years of 5 minute SPX data I bought to emulate the ES. I started some code but it is getting beyond my programming ability. My thoughts were to measure the range of 10,30,60, etc minutes after 9:30 EST. Then to get the maximum proft and loss based on a breakout of that range. Then see what the chances of getting X points per day would be over 7 years and look at the expectancy. Is anyone interested in this that can code VBA?

I found a forum post that talked about this exact topic. It was about buying or selling at the BE points. But what if I managed the trade with a Long or Short the underling at my max profit for the spread. So long at 26 Stop and reverse if below 26. I see a lot of commission if we are whipsawing at 26 though.

I have a question about managing a straddle. Say I sell a straddle with a lower BE of 23 and an upper BE of 29 and underling about 26 currently. Not owning the underling I want to protect myself from it going against me. I set a buy stop at 29 and a sell stop at 23 and make sure I am either long or short the underling outside my profit zone. If it goes back in my profit zone I exit the long/short stock play and keep manaing it the same way. Other than having slippage and or a gap for my entry what else can go wrong? What am I missing?

I used Excel. I was hoping not to use any lagging indicators. I have considered using a break fo the first 30 or 60 minute range but that data is not in the daily OHLC. I guess I could also improve the odds by looking at the general trend and only take long positions if the trend is up. But I need to add a filter for that. I could calculate the R:R as Reward = R1-Open and Risk = Open-S1 if open is above pivot. However this would almost always have a poor ratio.

I wanted to look at the historical track record of the Floor Pivot points for the ES Futures. Not having enough daily data I used the SPX index instead. I looked the time period from 01/02/1962 to 03/31/2009 which was available from Yahoo as a free download. Dates prior to 1962 did not have the OHLC data. So I looked at a total of 11,892 days. I read in “Trading in the Zone” Casinos have a 4.5% edge at the blackjack table and make millions due to volume of games played. How much of an edge is needed in ES trading using sound Money Management skills to beat the house? The Pivot was defined as the previous days (H+L+C)/3. Standard R1,R2,S1,S2 calculations also The results are as follows: 6,296 days where the open was above the Pivot 5,596 days where the open was below the Pivot 6,288 days closed UP 5,596 days closed DOWN 5,597 days R1 was hit (47%) 1,899 days R2 was hit (16%) 5,170 days S1 was hit (43%) 1,863 days S2 was hit (16%) 924 days R1 and S1 was hit (8%) 2,049 days R1 and S1 NOT hit (Small range day?) (17%) 88 days R2 AND S2 hit (0.7%) 2,826 days opened ABOVE pivot and closed DOWN (51%) 2,770 days opened BELOW pivot and closed UP (49%) 3,518 days opened ABOVE pivot and closed UP (56%) 2,778 days opened BELOW pivot and closed DOWN (44%) 3,735 days opened ABOVE pivot and R1 hit (59%) 1,407 days opened ABOVE pivot and R2 hit (22%) 3,233 days opened BELOW pivot and S1 hit (58%) 1,216 days opened BELOW pivot and S2 hit (22%) 1,947 days opened ABOVE pivot and S1 hit (31%) 1,862 days opened BELOW pivot and R1 hit (33%) So how can we use this information to get a higher probability of trading wins? As a novice I see: If we open above the Pivot there is a 59% change we will hit R1 and a 56% chance we will have a close greater than the high. Setting the stop to S2 and we will be stopped out 22% of the time. However a higher Stop would give us a better reward/Risk Ratio and possibly get us out of a down trend sooner. Setting the stop to S1 and we will have a 31% change of getting stopped out. What other factors can I incorporate to get a higher probablity based on this data?