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"A single inefficiency may not be sufficient... When multiple inefficiencies happen to coincide,... they may provide an opportunity to trade with a statistically expected profit.."...."In our business, it is as important to know what does not work as what does..."
Interview with David Shaw of the D.E. Shaw Group - "Stock Market Wizards" by Jack Schwager
As a student of the markets for over 20 years, from the trading floor in New York to a screen trader, I founded EdgeAnalytix to provide research in the option trading space. What was once the realm of hedge funds with their bespoke systems, cutting-edge research is now available to the independent trader. Our research augments traditional indicators with proprietary ones. Our approach is to tune strategies to an asset's probability distribution which enables traders to match explosive setups with long gamma trades, or quiescent ones fit for premium selling.
Arm yourself with ready-to-deploy strategies as market conditions change.
Optimize capital usage by adopting strategies that match your investment timeframe.
Fail fast and cheap in a virtual environment! Evaluate strategies BEFORE risking real money.
Examples of customized research:
Buy IBM if it crosses a 50 day moving average while shorting a market index (SPY) as a hedge.
Buy TLT when SPY is down 2 Standard Deviations. (possible sector rotation or money flow trade).
Buy a retail ETF if a customized index of Walmart+Target+Amazon reaches a certain level (a virtual index as a trade trigger).
Buy an option straddle on Tuesday at 3pm and sell it next day (if research indicates larger gap most wednesdays).
OUR RESEARCH PARADIGM
Jack Schwager: How were you able to make consistent gains trading options?
John Bender:To make money in options, you don't need to know what the price of a stock is going to be; all you need to know is the probability distribution. If the Almighty came to me and said,"I won't tell you where IBM is going to be 1 month from now, but you've been a pretty good boy, so I will give you the probability distribution", I could do the math....
John Bender of Soros Fund Management & Quantum Fund from "Market Wizards" by Jack Schwager.
120 USD. Compares going Long TLT daily vs. Long TLT after 3 higher highs vs. Long TLT after 3 lower lows.
120 USD. Compares going long TLT daily vs. Long after a 10-200 day moving average crossover with a 5% profit/loss target or 300 day holding period.
120 USD. Compares going long TLT daily vs. long if TLT touches a 1 hour LOWER 2 standard deviation volatility band vs. long if TLT touches a 1 hour HIGHER 2 standard deviation volatility band. Position is held for 6 month or 5% profit or 5% loss.
120 USD. Compares shorting an OTM put vertical spread (~20 delta) daily from 2008-2017 vs . buying after 3 higher highs vs. buying after three lower lows on the daily chart.
150 USD. Long a 5 day ~ATM put vertical ( ~ -.2 delta). Buy on a Monday , sell on friday expiration UNLESS market moves up or down by a certain threshold ($2-$3) at which point position will be liquidated without waiting for Friday. Possible "insurance policy" against other put selling strategies. Simulations under a 14 implied volatility with a slight put skew on 4 tickers- TLT, QQQ, SPY, DIA.
150 USD. Long a ~ 5 day slightly OTM put vertical (~-.2 delta) and close out 1 trading day later. Possible " insurance policy " to protect against a down move by the underlying ticker. This report compares the performance of 5 put verticals with each one using 1 of the 5 triggers > daily at 3:50PM EST | after 2 higher highs on the 10m chart | after 2 lower lows on the 10m chart | after an opening range (9:30-10am) upside breakout | after an opening range (9:30-10am) downside breakout.
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