Search results

So maybe I dont fully understand how the open auction works? Also, how do I ensure I get the open price with a limit if I dont know what the open price will be?

I run a system based on getting the open price and got completely slaughtered this morning. I put in a short "at open" order in for 3.5k shares of DRWI this morning. In premarket it was sitting at 3.56. The market opened and I get filled at 3.29 but its still trading at the 3.56, which is a...

Ive been dealing with this alot on the stock side and have found that an "At Close" order works well. If that isnt an option Ive done market orders in the last 5 seconds of trading and got the close or very close pretty much all the time.

I had to think about that second paragraph, Im not sure if the set price point is valid (Saying this for purely discussion purposes, not a right or wrong thing) Systems or at least mine are more of a if X happens then do Y. I dont think we are trying to find a correct price but more make rules...

Isnt backtesting part of forward testing??? Slight optimization of your backtest sample is then used in a different sample AKA forward testing? Forward testing without backtesting would be highly inefficient. Also, when you decide that you have done enough forward testing and look BACK at your...

You're illogical for thinking Im illogical ;)

During backtesting I have found that accidents have provided me some of my best results. I will be tweaking variables trying to represent some idea I have and Ill get a result back that is significantly better. But after reviewing what I adjusted I realize it doesn't match with my logic and was...

In my experience with backtesting with an eye to position sizes....Its alot easier to make a higher return with less money. As your equity increases and you need to utilize stocks with higher volume the return decreases. My hypothesis is that these larger stocks are being played by the major...

Theyve been pretty much a horror story and have cost me quite a bit of money, however, I can avoid the pattern day trader rule and my account is still increasing. I need a bit more to switch. My system is somewhat volatile and can have 35% drawdowns. I dont want to switch and then have it drop...

Thanks for the replies d08..I think there may be some gaps in my understanding. Im currently using suretrader and I originally was doing my opening and closing orders with "At Open" and "At Close" orders. However, occasionally these orders would initiate on their own early. For example, an At...

I believe their ARCA orders go through JPMorgan?

What is the benefit to them, and/or the detriment to me?

Correct...I dont care about the fair market value of the stock or even what the company is. My system is all statistically based but assumes I get the open and close prices. So an update, the last couple of days I have had 1.5% slippage at the open only trading about 13k in a trade. Stocks...

Well its more that my backtested system assumes getting the open and close price within reason. Im just not sure how bad slippage can get and at what amount of volume.

I like your thought process but I may be limiting myself if I follow that exactly. My orders are only at open and close and the volume is significantly higher than the average during those times. I was trying to find a study I was reading earlier that I believe said 70-80% of volume is at the...

Ideally less than .5 % round trip. I have noticed that sometimes slippage is in my direction but I havent gathered enough data to see what averages out to. Has anyone here ever traded 2.5% of the daily trade volume in one trade? What happened?

I trade smaller stocks and the biggest elephant in the room for my system is at what point does slippage start to make my system invalid or become so significant it eats up my profits. I assume the logical way to think about this would be to think of it as a percentage of total daily volume. I...

Trying to figure out how to do this now, Ill get something up shortly.

I believe its because I had to increase my % of equity per trade as it does not generate a whole lot of trades even though they are low risk, high reward. This causes wilder swings. Ideally, I run this system and develop a second later that also generates low risk trades and run both at the same...

The thought about HFT crossed my mind but I wasnt sure if that causes larger short term moves or smoothes them out. I think I recall reading somewhere that HFT has been smoothing the market out at a high level, maybe not day to day. (Minus the oops Flash Crashes) Admittedly I dont know much...