Daily Commentary - Posted on Saturday, August 22, 2009, 11:15 PM GMT +1

2 Comments


Aug Saturday 22

Blogging Takes A Short Break Until September 6 (due to vacation)

I’ll be busy and on vacation the next two weeks visiting Italy, regularly without any internet access and – other than on my last vacation – necessary time (and desire) for analyzing and blogging about the markets day after day. But at least I’ll try to tweet my observations (probabilities and odds) if procurable.

If you post an email or comment to me through my blog I will get back to you when I return latest.

Anyway it seems the right time to take a breather from the markets, Friday’s (option expiration) session was – concerning the market’s compliance to historical probabilities and odds which called for a negative tendency right from the start of the session instead of a big move on the upside  – a bit disillusioning (after posting a low of 1.0% (at 996.5) below Thursday’s close on GLOBEX the night before) and indicating – at least to a certain degree – some kind of ‘abnormal’ market conditions which makes it – momentarily – difficult to forecast the next session’s probabilities and odds based on historical occurrences only. At least adjusting one’s usual position size accordingly seems to be advisable for the time being.

An excellent example of such an adjustment when the market becomes less ‘predictable‘ is Michael Stoke’s Abnormal Market Filter in his daily  STATE OF THE MARKET REPORT.

But that’s always the challenge with trading probabilities, not certainties.

Successful trading,

Frank

Comments (2)

 

  1. Tim Kwiatkowski says:

    I would like to receive any comments yo may have bout the markets. Thank you and Bon Voyage.
    Tim

  2. CarlosR says:

    Frank,

    Enjoy your time off — you deserve a break!

    And I agree 100% about the need for an Abnormal Market Filter. I developed my own after reading about Michael’s filter in his blog, many months ago. The main thing I have learned is that when the AMF readings start creeping up, all the signals from systems that rely on past historical statistics (including mean reversion), have to be taken with a large grain of salt, if not disregarded entirely. You need to either 1)have other sources of data and signals that you can rely on at such times, or 2)quit trading temporarily (or greatly reduce your trade size).

    Looking forward to having you back September 6!

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