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Curtis Faith (an original turtle) reveals the system in all details. For free ! http://www.originalturtles.org Enjoy, Oliver

Excel should be fine for backtesting. I have 250 stocks with multiyear end-of-day closing data. I don-t regress every stock against each other, but only wthin industry groups, that saves a lot of processing power. Not sure why some people would want to trade MO and IBM (example) as a...

Shareholders which own more than 5% of a company have to file a SC 13G with the SEC which discloses their holdings. Hedge funds/mutual funds which own less than 5% of a company do not have to disclose it, but you may want to try and do a search of SEC filings for a particular hedge fund...

Good work Dan. My link to eSignal works perfectly. Oliver

Hi Vlad try http://www.nasdaqtrader.com/asp/short_interest.asp for a monthly download file or http://www.viwes.com/invest/ Data for NYSE is expensive at $400 / month (www.nysedata.com). PM if you want NYSE data. Oliver

I think every stock today with a published imbalance would have shown up in a pre-opening indicator. Not submitting orders for those stocks would have greatly reduced my overall profitability today. On triple witch, those opening indications don't convey any material information, except that...

Does the bug only apply to charting or also to the DDE link? I'm unsing the exchange filtering in a DDE link, and I thought it worked. Am I wrong ? Oliver

My broker valued my position at $1.5 ( i bought some a couple of days ago when insiders bought some stock :mad: ) S&P uses a value of $0 to calculate the S&P500 value. I guess it opens somewhere in beteween. Oliver

Apart from Multex and Edgar-Online, I have only found www.10kwizard.com to offer "full" balance sheet screening (although the feature is still only in beta testing). Multex and EdgarOnline don't offer full b/s screening in their retail subscriptions. Oliver

experience yes, but only to a limited degree. i like to screen b/s for special items in order to build portfolios. Screening for high leverage and signs of company distress work very nicely in this market , holding period is several months though.

I'm trying to identify companies with weak balance sheets. In particular, I'm looking for companies whose intangible assets are a large percentage of total assets. Unfortunately I have not found one single search engine or stock screener that lets you screen for intangibles in the balance sheet...

i would recommend http://www.cloudmark.com/products/spamnet/ in combination with MS Outloook. Filters 90% of my spam.

A good starting point is: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=141615 It describes how the quants do it.

I calculate my spread as (SharePrice(2)/SharePrice(1))*SharePrice(1) - SharePrice(2) (1) = Lead Stock (2) = Partner Stock My average spread is then calculated over a period of 60, 90 or 200 days. Oliver

That would indeed be intersting, but I don't have enough math background, nor the necessary software packages to do that. Currently I'm studying pair spreads only in the context of a 60 day st dev band and enter the trades at the close of each day. Average holding period can be quite long (30...

You can specify NYSE specialist quotes by using ticker IBM=N instead of IBM (=NYSE, =P for Philadelphia etc) Oliver

What is the advantage of using lest square methodology over normal standard deviation bands ? As fas as I understand, least squares are not "symetric", ie you would get different signals whether you regress FNM vs FRE or FRE vs FNM. Oliver

I have been trading Pairs using entry and exit rules based on a standard deviation band around an average spread. This seems to work fine, but I have heard that you can improve the performance of the system if you choose an additional mean reversion test for the pairs, called "cointegration"...

I'm only looking for specific days where stocks openings were delayed due to imbalances and indicated opening ranges. About 200 tickers for the last 3 months alone.

I checked Bloomberg. They do not have the NYSE print as their opening print. Try Agilent (A) today. It says the OPEN was 16.32 when in reality it opened at 13.55 on the NYSE. The only site that lists the NYSE print is Reuters. But they only do it for today's date, no historical quotes :(