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in most, if not all, testing i have done, a stop always costs you something, if not in terms of direct profits, at the very least the cost is slippage - so you have on one side the cost of the stop and on the other side you have a reduction in volatility of your returns (assuming that this is...

both marketwatch and briefing have daily coverage of up/downgrades; it seems the content is only slightly different. does anyone use one vs the other? are there any other good info sources for up/downgrades? thx in advance. p.s. just looked again and looks like there while is a large...

q1. yes, volume and volatility are positively correlated. q2. yes, volume is autocorrelated. q3. same as (q2) above. q4. yes, volatility is autocorrelated. despite these relationships, their predictive value, which you are trying to figure out, is not easy to establish, at least not...

agreed; although ensign is excellent software, backtesting is probably one of its few weaker areas. i think you can create entry/exit signals but it doesn't have the detailed reporting (such as equity curve, profit factors, drawdowns etc.); i have had to write my own routines for this.

are you basically trying to find out if returns over the past x days have predictive value for the next x days? most, if not all, studies i have read on the subject say "no", based on statistical analysis. my guess is that if there is a predictive relationship, it is a lot more complex...

good trade. the whole consumer discretionary sector has been selling off for a while. - you have outlined a hedging strategy for your long portfolio, i.e. using mdy trackers - what would you consider as a hedge for this short strategy? my guess is that your long strategy returns profile is not...

i haven't seen all the details, but is there any knowledge if there were any significant named counterparties on the other side of these spreads? there must be some happy faces out there.

indeed, you are going to a significant level of detail here - the right answers to your questions will depend on the requirements of your trading system, so in reality only you will be able to decide what level of detail and what data aggregation logic is appropriate. for example, you have a...

thanks for the explanation, i look fwd to following the journal. all the best.

alphastocks - i am wondering if your fundamental indicator(s) are mechanical (i.e. some sort of a formula / combination of fundamental inputs) or do you actually have to "manually" sift through 10Ks, financial statements, etc. to do your screening? thanks, and best of luck with your trades.

i have been searching around and quality news archives seem to be hard to find - i am not prepared to pay for the institutional product level, at this stage... - does anyone use a service which has archived data? or any other recommendations for a similar product? "Dow Jones News and...

one cent per share sounds high - what would this figure include?

i have not had to deal with autoliquidate, but here is a recent post from IB's discussion board shedding some light; i don't know about the logistics involved in managing the liquidation algorithm, but certainly it's not great to see some potentially unnecessary liquidations/churning: I...

thanks to all for the feedback and some very useful points for me - i use Interactive Brokers, they simulate stop and stop-limit orders for stocks - rather than taking slippage on a stop, i will test what may be a more efficient scenario: put a stop limit, if the stop is hit but the limit is not...

thanks for the feedback, appreciate it - on some openings, i see very fast moves, and i am trying to figure out how to best accommodate my stops for these situations (1) i set the stop to be triggered only by the primary exchange's prints, it seems ECNs have a lot more one-off prints which do...

question for OO traders - do any of you use stop-loss orders, and how much slippage have you experienced on the more volatile trades in liquid stocks?

qcharts has a few years intraday - i have not used it for backtesting, so i am not sure how reliable it is.

i don't know what's "easier" but a portfolio offers significant advantages over a single instrument, such as: diversification, correlation between instruments, and market neutrality.

i did some testing on this a while ago and i also found that the results were contrary to what i had expected... - i ended up not reading too much into the results because some of the drivers of volatility are period-dependent - for example, i have no idea when they launched the disclosure of...

to be honest, i think Elder's, Douglas's etc. books have cost me a considerable amount of time - specifically their statements about beliefs, analogies with sports etc. - i am still amazed that people who seem to be making a living out of trading refer to this material in any respectful way...