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Thank you for the info. I use OPG on 1x Etfs all the time and do get the opening price. I guess the same happens for the 3x's. Will have to try it live.

You probably found it, but here it is just in case. It is very active. The good thing about AB is that you have hundreds of code examples to learn from. http://finance.dir.groups.yahoo.com/group/amibroker/messages Good luck.

Python: These guys have an open source backtester: https://www.quantopian.com/ https://github.com/quantopian/zipline If you are not a trader, my experience is that Amibroker will get you trading much faster than other languages. You can backtest many ideas very fast against many types of...

My experience is 1. NN's tend to immediately over-fit the data. 2. It's hard to come up with a performance function to train the NNs. 2. You may end up not trading an NN alone since you will not trust it. But they are great to play with!

Hello, Anyone has experience with trading fairly liquid 3x leveraged Etfs with market on Open orders (OPG , preferably through IB)? If yes, what kind of slippage should I expect, assuming I am trying to get the "yahoo" published open? Thanks.

iggy9807, Thanks for sharing the info. That has been my experience, too. IB gets me real close to the yahoo opening using market OPG orders.

Thank you for the response. I will have to look into this. Couple of questions, though: So IB does not withhold dividend. I assume the LLC files and pays closer to 15% at the end of the tax year? What about capital gains tax. Does the LLC fall under the US legislation? (wash rules, etc)? I...

An interesting discussion... I trade 3 strategies amongst 7 assets classes and 15 different instruments. Two are profit making strategies. The third is not meant to make a profit but rather decrease portfolio volatility. I trade EOD only (at the open or the close) so infrastructure, wise...

Is this EOD? Have you backtested?

Yes, I am. Legislation is about to change, though, so I'd rather know exactly what I will be paying. At this point, I am liable for capital gains at my country and I get a 30% haircut at the broker for any dividend from US stocks and etfs. That 30% tax (the maximum) would be less if the...

Hello, Any thoughts or advice on setting up an ibc or trust to trade in the US market through IB. I am EU based and currently pay 30% dividend tax even on bond ETFs. Thanks

Ok. I will look at the T&S and compare. By opening price, I meant what Yahoo would post as "open" 20 minutes after the opening. I understand it does not mean anything but still that open is what lots of people use to backtest strategies.

Anyone knows how OPG orders work with IB when it comes to ETFs? As far as I understand IB OPG's do not participate at the ARCA opening auction but rather IB tries to get a fill as close to the open price as possible. What is that "open" price? Is it auction determined? Time determined? How can...

Hello, I can see that people are having a hard time sharing profitable strategies. Maybe a better approach is to co-develop a few ideas, narrow down and develop just a few of them. This way no one looses. I also believe in running multiple, if possible, uncorrelated strategies with...

Backtest. Backtest. Backtest. Listen to but don't trust people's opinions. Backtest it yourself. It won't tell you how it WILL perform but it will give you an idea of what to expect. If you don't have backtesting software go to http://www.etfreplay.com/combine.aspx It will take you 5...

I have a working (but not de-bugged) Google Documents spreadsheet that takes a trades list and does the basic job of grouping trades by symbols. It calculates pNL by trade, the equity curve, open positions,etc, all using Javascript. It's probably similar to what you have in Excel. If you can...

For fast Backtesting and optimization use Amibroker. It's array based language makes it faster than competitors.

Good luck with the system George. See you around. Sanz

I would say 15% it's 2 to 5 cents but no more than 10 cents on the SPY. 10% of the time I get 1 or 2 cents better fill than the "Yahoo" opening. Mostly I get the opening. I even trade FXY (yen), which is not very liquid and still do ok in slippage. On the other hand if you trade ETF's like...

I have been trading liquid ETF's at the opening (SPY,TLT,IEF,GLD, etc) through Interactive Brokers for 9 months. I do get the opening price that is later published at Yahoo or close to it (say around 70%). I have had no problems trading my system like that. So it is doable (contrary to what I...