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Program Trading
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Program Trading

  #1 (permalink)
Elite Member
Saint Louis, MO USA
 
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: ES
 
Posts: 3 since Jun 2013
Thanks: 0 given, 1 received

Program Trading

I'm a newbie to the site w/over 10 yrs actual experience and very mixed results (fortunately am successfully retired and don't "need" the money--but enjoy the challenge). Is anyone on the NT platform following the "Premium" vs "Fair Value" levels of the ES to determine whether the futures are over or under valued in relation to the cash S&P? My understanding is that the "big boys" use automated algos to kick start their program trades, but leave footprints that can be detected via the "PREM" values. Does this interest anyone? If so, thanks for your reply.
RJ

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Hong Kong
 
Futures Experience: Intermediate
Platform: NinjaTrader, TWS
Broker/Data: IB/Kinetick
Favorite Futures: ES
 
Posts: 233 since Jan 2012
Thanks: 130 given, 306 received


Hi Rick,

Yes, I use the premium along with NYSE ticks as support indicators for bull/bear pressure. The prem will sometimes drift up or down ahead of a change in the ES. I find it useful but not obviously as a setup itself. Program trading can be for all sorts of odd reasons.

Using Kinetick with Ninja, and the instrument I use is the 'S&P 500 Premium - PRSP.Z'

I set levels before each day using info from Today's Program Trading Buy/Sell Levels using an upper line with audio alert (today -5.20) for potential selling, and lower alert (today -7.40) for potential buying. Opposite to equities. Fair value today was -6.20.

Hop that helps.

Richard
Hong Kong
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  #4 (permalink)
Elite Member
Saint Louis, MO USA
 
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: ES
 
Posts: 3 since Jun 2013
Thanks: 0 given, 1 received

Program Trading (PT)

Richard,
Thanks for your thoughtful reply. You didn't say how you got onto PT, but it doesn't matter. About 10 years ago I attended a seminar in FL put on by H.L.Camp in which Henry L.(Hank) Camp teaches his method, but I was never able to master it, having only mixed results. At the time I was using eSignal data feed & charts, whereas Hank always recommended DTN IQ. I think I'm going to revisit the whole topic using DTN and see how it goes for a few weeks or months on a test basis. His other big thing was two simple MAs (8/34) on 5 min bars, the logic being you only take trades in the direction of the longer 34 period trend. As with all methods it is no holy grail. RJ

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  #5 (permalink)
Elite Member
Austin, TX
 
Futures Experience: Intermediate
Platform: NT, TS, IB
Favorite Futures: CL, GC
 
Posts: 3 since Mar 2012
Thanks: 4 given, 0 received

rick, did you find his class useful? Have been kicking it around in my head for the last couple of years but it's not clear to me that it would be useful (to me). He has some historical analysis that he does and not sure how much I can learn about that in class. My guess is that the historical analysis is in the research he sells which is too pricey for me at this point. I've seen him make at least one spectacular call though. Any feedback would be appreciated.

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  #6 (permalink)
Elite Member
CA
 
Futures Experience: Intermediate
Platform: NinjaTrader,JTrader,ThinkOrSwim
Broker/Data: IQFeed
Favorite Futures: ES, ETF
 
Posts: 17 since Aug 2009
Thanks: 5 given, 18 received

Very different

If you follow Hank's teachings and follow rules, his stuff works. There is a lot he covers in his class, but if you focus on learning the basic methodology well (which uses the PREM), you will be able to trade the ES with consistent gains. He will try to sell you his reports. If you are a big player then you probably can afford his report and get the max out of the methodology and statistics from his reports. If you are a small player like me, you can go without the report if you STUDY STUDY STUDY.

The odd things is what he teaches about program trading isn't something that's easily programmable into an automated strategy

In anyhow, I am his student, but I have NO affiliation with his business.

Cheers,
Nimble

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  #7 (permalink)
Trading Apprentice
saint louis
 
Futures Experience: Advanced
Platform: tradeMONSTER
Favorite Futures: option
 
Posts: 1 since May 2014
Thanks: 2 given, 0 received


rickjames View Post
I'm a newbie to the site w/over 10 yrs actual experience and very mixed results (fortunately am successfully retired and don't "need" the money--but enjoy the challenge). Is anyone on the NT platform following the "Premium" vs "Fair Value" levels of the ES to determine whether the futures are over or under valued in relation to the cash S&P? My understanding is that the "big boys" use automated algos to kick start their program trades, but leave footprints that can be detected via the "PREM" values. Does this interest anyone? If so, thanks for your reply.
RJ

Greetings Rick,

My name is Joe Ritchie and I came across your profile in researching Program Trading and Hank Camp. I also noticed you lived in St. Louis, Me Too!

I am an independent advisor and started my own RIA back in 2011. I primarily trade SPX options and have been extremely successful in doing it. However, I have pretty much hit a plateau as far as knowledge.

In searching for new knowledge I came across program trading and recently subscribed to HL Camps S&P Report and have subscribed to chat in the past. I have spoken to Hank a couple of times but never have had the time (or the $) to get to one of his Seminars. I have a decent idea to PREM and the mechanics behind Program Trading but have many more questions.

In one of the threads, I noticed that you mentioned going to one of his Seminars. I would love to hear your review and thoughts to it. I would also be willing to share some of my strategies with you as well if you are up to it.

I have worked for Prudential, Merrill Lynch and Oppenheimer prior to starting my own firm. I do not know one person in St. Louis that does what I do, nor knows anything about it. It would be nice to know someone locally that shares the same passion I do.

If you are open to it my email is:

josephdritchie (at yahoo dot com)

Thank you for your time and I look forward to hearing from you!

joe

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  #8 (permalink)
Elite Member
Any part of the world.
 
Futures Experience: Master
Platform: Iq feed- Ensign
Favorite Futures: ES
 
Successlife's Avatar
 
Posts: 35 since Jul 2009
Thanks: 2 given, 5 received

any update ?

Like to know if any still trading with program Trading signal
Take seminars ?
Improve your trading ?

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  #9 (permalink)
Trading Apprentice
Utrecht, Netherlands
 
Futures Experience: Intermediate
Platform: TOS, eSignal
Favorite Futures: Crude Futures
 
Posts: 20 since Jun 2016
Thanks: 1 given, 7 received

I think the problem nowadays with this sort of thing is that there is a lot of competition for arb trades like this.

So people/algos are willing to step in for a smaller and smaller spread.

So when the futures and stocks diverge, algos will step in quite quickly and arb the difference, bringing them back in line.

Which means, there's not much of a blip in the market to take advantage of when it happens.

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  #10 (permalink)
Elite Member
Saint Louis, MO USA
 
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: ES
 
Posts: 3 since Jun 2013
Thanks: 0 given, 1 received



UpsideDown View Post
I think the problem nowadays with this sort of thing is that there is a lot of competition for arb trades like this.

So people/algos are willing to step in for a smaller and smaller spread.

So when the futures and stocks diverge, algos will step in quite quickly and arb the difference, bringing them back in line.

Which means, there's not much of a blip in the market to take advantage of when it happens.

agree completely, and they do it instantly, so quickly they pretty much nullify any advantage you might think you see.
plus, these are not small lot traders, but rather prop shops & big houses doing large lots for no more than a tick or two, thousands of times each day...

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