PDA

View Full Version : TNA stop



Billj
06-13-2011, 10:15 AM
I believe the stop for TNA Friday was 65.08. Monday it is 65.07. Do the Robot trailing stops move down or did I record Friday's stop incorrectly? Is there an archive for the daily Robot sheets I haven't found?
Thanks,
Bill

Billy
06-13-2011, 10:34 AM
Bill,

The TNA stop on the robot page is INDICATIVE only. It is the daily best guess of the equivalent IWM stop based on average correlation and volatility of the 2 instruments. It does not even take into account dividends or splits, it is YOUR responsibility to monitor such events. The only true signal is dependent on IWM only.
There is no archive and there will never be. I would have preferred to avoid such indicative stops and limits on related ETFs because I KNOW we will have a big problem with them one day when we don't anticipate dividends or splits. I asked for help about this and nobody volunteered. After massive members requests, Pascal decided to leave the related ETFs price online, but use them at your own risks and perils and do your homework!
Billy

Pascal
06-13-2011, 10:42 AM
Bill,

Thank you for pointing this 1 cent difference. It is important for the following reason: All the figures for all the related ETFs are indicative only and are calculated by applying on the IWM figures a ratio that is proportional to the 20D ATR ratio between each instrument.

Therefore, the trailing stops of these related ETFs are recalculated every day on the base of the new IWM trailing stop (even if it did not change, they are still recalculated because their relative ATR maybe changed.) In the case of TNA, the IWM trailing stop did not move, but the ATR ratio changed a little. This is why you have this 1 cent difference.

Once again, the related ETF figures are indicative only (as Billy wrote). When you trade a related ETF, make sure what the IWM position is... And yes, you need to adapt by one cent your TNA stop so that it best matches the IWM stop loss, considering their relative ATR.


Pascal

Billj
06-13-2011, 11:39 AM
What I believe I am hearing is that we should use contigent orders for both entries and stops on related ETFs based on IWM?

You have a terrific trading system.
Bill

grems8544
06-13-2011, 11:42 AM
What I believe I am hearing is that we should use contigent orders for both entries and stops on related ETFs based on IWM?l

That would be the best strategy.

Regards,

pgd

sesorensen
07-26-2011, 07:23 AM
Pascal,

Just read the above discussion. The daily trailing stop for secondary/new entries of triple leverage ETFs is presented daily online. However, trailing stops for the days following that secondary/new entry are not presented and one has to calculate this oneself. I also understand that one has to use a 20D ATR ratio between the IWM and the leveraged ETF to make this calculation. However, is it possible for you to suggest how to, most precisely and most practically, identify these trailing stops on a daily basis for secondary entered leveraged ETFs?

Thx. Sorensen