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Announcement Trading


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Announcement Trading

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  #1 (permalink)
 kgeorgen 
New York, NY USA
 
Experience: Intermediate
Platform: ninjatrader
Trading: futures
 
Posts: 4 since Apr 2021
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Does anyone do trading around announcements? If so it would be nice to compare notes/backtesting results.

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  #2 (permalink)
Ghappy21
plano TX/USA
 
 
Posts: 21 since Feb 2021
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Hi. 10minutetrades.com is service that is all about very short term trades (seconds to minutes) of announcements. The publish about 2 or 3 set-ups per day. They provide history of recent behavior around the specific announcements. I got a deal and bought a year of the service for just $85, which includes the daily set-ups and history.

Separately the sell a live call/trading room scheduled for specific trades. If you understand the daily PDF and concept then the room may not do much for you. They also sell a tool that sits on top if NT8. Seems quite expensive.

The trades are usually placed two seconds before the announcement with stop entries on booth sides and profit targets on both sides. This gets a little complex for some traders and platforms. It is involves a combination of OCO orders that have OCOs under each side, and with expiration about 10 seconds after the announcements. It took some work but I was able to recreate that model in TDA/TOS.

The announcement trades have quick whipsaws, so it is not possible for manual trading. No need for Algo but it does need a platform that supports these complex orders.

My experience with the service is limited but it does seem to work. It seems like a bit of work for what are modest gains. To me it feels like just trading the announcement noise for make a few hundred dollars. If one wants tp trade noise then one can trade every ES open and close.

What are your thoughts or model for announcement trades? Directional? Trade the noise as above? Trade both side but look for large swing with holding times beyond just seconds or a few minutes?

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  #3 (permalink)
 kgeorgen 
New York, NY USA
 
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Thank you for your reply. I can see that method work for some trades, e.g. 30 year bond (typically has strong, non-chop move following announcement).

What I've researched are predictable moves following certain announcements. For example, attached is CL open @ 9am following CAD Manufacturing Sales @8:30 on 4/15/2021 (downward arrow colored both red and green in case the times don't come through on the picture). I look for an indication of direction and strength with my thinkorswim software and take a scalp.

I'm finding that there are a LOT of announcements that throw off predictable trades...it's quite overwhelming. I'm willing to share what I've uncovered thus far if I can get help working through backtesting these announcements.

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  #4 (permalink)
Ghappy21
plano TX/USA
 
 
Posts: 21 since Feb 2021
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Kgeorgen, thanks for reply. Your approach is quite different than the 10minutetrade.com model. I find your approach more attractive, as it is directional, offers larger gains/moves, and doesn't involve capturing "instant" swings. It seems like one misses the "instant" 2-second move from the announcement but then after initial moves, one can calmly and gracefully place a directional trade.

If you are willing, I would like to tag along with you. To be honest, I doubt I can contribute to the backtesting effort. The current service to which I subscribe offers some commentary on their backtesting. That commentary may indirectly contribute.

Which announcements are on your short term horizon? I see CAN Core CPI for tomorrow morning. That can be a play on /GC.

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  #5 (permalink)
 kgeorgen 
New York, NY USA
 
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Hello again. Yes, the two approaches (mine and 10 minute trade) are different in the ways you described. I was on a plane today (first trip in 1 year post-vaccination, yipee!) or I would have looked for and taken the CL trade at the open in response to the CAD CPI announcement at 8:30 for a $200 scalp. Amazingly, there are several CAD 8:30 announcements that produce dependable CL 9:00 open. These also include CAD Employment and CAD Ivey (this is typically a 10:00 announcement but still produces a reliable 9:00 CL trade).

There are a bunch of other not-necessarily straightforward pairings, such as a strong AUD announcement and Copper (HG) movement at 21:00.

There is typically a good bond trade (I use UB) between 8:20 and 8:45 on Thursdays associated with the Jobless Claims announcement. And several bond announcements (including 4 week bill) many times respond well with CL.

Again, there are so many potentially good trades I'm struggling to characterize them all.

IMG]https://futures.io/attachment.php?attachmentid=311888[/IMG]

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  #6 (permalink)
 Syntax 
London, UK
 
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I trade earnings announcements in stocks by taking delta neutral positions. This means that my bets are direction neutral and I should be making a return both when the price goes up or when the price goes down. I use various options strategies to achieve this.

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  #7 (permalink)
 kgeorgen 
New York, NY USA
 
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That makes sense. I assume the "big" stock announcements (e.g. FB, Netflix, Google, Apple, etc.) are those most worthwhile trading. Is this correct?

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  #8 (permalink)
 Syntax 
London, UK
 
Experience: Intermediate
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Depends. I look at multiple things that influence which positions I take:

* What is the liquidity of the options I'm looking at? Are enough options being traded? More volume and open interest is better
* What is the spead on these options? Are we looking at cents or are we looking at dollars? The tighter the better
* What are the capital requirements? A stock that trades > $1000 will have vastly different capital requirements compared to one that trades < $100. One option is worth 100 shares, and that reflects the capital and / or margin requirements
* How do the greeks look like? Depending on what greek you're trading, you're looking for different values

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  #9 (permalink)
Koverland
USA, New York
 
 
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I've tried it a few times, and more I've gone for the minus than the plus, and I really don't believe it ))

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