Recent content by ej420

the exhchange (e.g. NYSE) adjusts the order by the dividend amount on the ex-date, unless there is an explicit flag asking it not to. you can find out more by googling.

dyson, i don't see end of day historical data there. (in any downloadable form.) where do you look exactly?

Any ideas where I can obtain historical data for end-of-day NAVs for all US-listed ETFs? How about intraday IIVs?

btw, i think the reason they want to take this video down is because it is downright embarassing. when the "chief economist" presents his correlation analysis of dow closes in the 20s and 80s, and proudly asserts that there is a 90% correlation, it shows how utterly clueless he is/was.

anyone know how to download the video from the chinese website?

Yeah, IB does support stock combos, but using limit orders on them for day trading does not work well in my experience as IB waits for the limit to be crossed quite a bit to ensure both legs are filled (they don't want any execution risk.) In my experience, trading pairs on shorter time scales...

This features should be relatively simple to implement if you have programming experience.

the difference between bull and bear markets is that bear markets have higher volatility which helps statarb, and the lower volatility in bull markets makes it underperform (relatively speaking). Look at the low volatility bull market of 2003-2006 for example. So, there isn't perfect symmetry there.

Another reason for your underperformance in live trading could be that with the furious rally that has been underway, stat-arb has underperformed lately (esp. in July and September, so far.) AS the market rises you need more and more factors to explain the variance of stock returns which...

To those who trade (equity or any non-exchange) spreads using IB: I am wondering what you use for your order execution. Are there any good autospreaders that work with IB (the kind where you seek to buy/sell the spread at a certain price, and work both/all leg limit orders simultaneously)...

i also mostly trade intraday pairs.

how big is ptfinder? does anyone have any idea how many subscribers (roughly speaking, order of magnitude guess) they have? Are there any alternative similar services?

I was describing something I had already done. Maybe rudimentary, but very useful for me. If you use ptfinder, what are the features you find most useful for your trading?