Long the strongest index and short the weakest. what are the logical reasons behind this philosophy ?
At around round numbers, I could see that buying the strongest or selling the weakest index might potentially trigger more stops and in turn accelerate the your P/L as long as you're on the right side.
Anyone back-tested or traded it this way intraday?
Any chicago floor traders here, please share your experience.
many thanks....
"Reading Gary Smiths book "How I trade for a living", I came across a reference to an interview with Donald Sliter, a top S&P floor trader. When asked about his trading strategy he had replied that it is a matter of understanding strength and weakness.
When asked to expand on that, he said, "I scalp to the short side if we are trading weak to the Dow. I scalp to the long side if we're trading strong to the Dow." The interviewers were amazed that one of the biggest traders in the S&P pit had such a simple strategy."