Download
Article

• Modeling With Daily Implied Volatility

  ARTICLE SYNOPSIS ...In this first part of a two-part series, find out how incorporating daily implied volatility into your system can give you the edge you've been looking for....

AUTHOR: Massimiliano ScorpioDATE: JAN 2015SUBJECT: Options

Download
Article

• Rebuilding Skews

  ARTICLE SYNOPSIS ...In this second of a two-part series, find out how constantly calibrating a skew model will result in a more timely and accurate volatility curve....

AUTHOR: Massimiliano ScorpioDATE: FEB 2015SUBJECT: Options

Download
Article

• Targeting Your Pattern by Massimiliano Scorpio

  ARTICLE SYNOPSIS ...Stocks & Commodities V. 23:7 (58-63): Targeting Your Pattern by Massimiliano Scorpio Two-bar patterns: How to select, reorganize, and trade them. Previously, my articles were focused on finding your favorite configurations using EasyLanguage (EL). I started using a very simple methodology (the reversal pattern) and then continued observing the relationship between the open and the close, respective to the previous bar (hot zones). In this article I use a more sophisticated approach to show a "complete" way to select, recognize, and come up with statistics on specific two-bar patterns. You w...

AUTHOR: Massimiliano ScorpioDATE: JUL 2005SUBJECT: Chart Patterns

Download
Article

• Sidebar: EasyLanguage Code for ProSuite 2001 by Massimiliano Scorpio

  ARTICLE SYNOPSIS ...Stocks & Commodities V. 23:7 (58-63): Sidebar: EasyLanguage Code for ProSuite 2001 by Massimiliano Scorpio FUNCTION msPattPos (Numeric Output) Input:Element(NumericSimple); value1=High[1]; value2=Low[1]; value3=(value1+value2)/2; value4=value1+AvgTrueRange(10)[1]; value5=value2-AvgTrueRange(10)[1]; If Element<value5 then msPattPos=0. . ....

AUTHOR: Massimiliano ScorpioDATE: JUL 2005SUBJECT: Sidebar

Download
Article

• Developing Hot Zones by Massimiliano Scorpio

  ARTICLE SYNOPSIS ...Developing Hot Zones by Massimiliano Scorpio Can you forecast a bar's close from its open? This technique is helpful in trading recently introduced tradables that don't have historical charts yet, such as single-stock futures. In the December 2001 STOCKS & COMMODITIES, I demonstrated a simple method that uses a statistical indicator to help identify profitable patterns. Here, I have taken the method one step further: I've analyzed the behavior of each bar and the relationship between the open and close. If the market is showing a specific pattern, is there any way to forecast the close from ...

AUTHOR: Massimiliano ScorpioDATE: DEC 2002SUBJECT: System Design

Download
Article

• Finding Key Reversals by Massimiliano Scorpio

  ARTICLE SYNOPSIS ...Finding Key Reversals by Massimiliano Scorpio Running this statistical test before creating a system can prove to be helpful. After spending several years analyzing traditional indicators and developing moving averages and oscillator-based systems, I have found that nothing works better in forecasting price movements than price itself. This discovery led me to focus my efforts into searching for and studying price configurations that could be useful in predicting the next movements in price. I started creating systems in 1996 using what was then Omega Research's EasyLanguage and tried to tes...

AUTHOR: Massimiliano ScorpioDATE: DEC 2001SUBJECT: System Design