botpro (p)

B

botpro

Ok, I'm starting my very first ever journal.

The rules of the game:

This is paper trading using public delayed data (finance.yahoo.com and finance.google.com).
Here, I'm playing an oldschool portfolio manager managing $1M.
Multiple positions will be traded at the same time.
At the moment everything is done manually.
Timeframe is normally about 1 week to about 3 months, keeping every position at least 1 full day.
Trading only US markets (stocks, indices, and their options) during regular market hours only.
The start will be 2016-03-15-Tue before market open, or the day after (Wednesday).

The following methods & formula for the FillPrices will be used:
Code: 
Stocks and Indices:
-------------------
  Opening a position:
    FillPrice = LastPriceAtEOD  [ie. that of the previous market day, ie. opening at prev. EOD]

  Closing a position:
    FillPrice = (Open + High + Low + LastPriceAtEOD) / 4
    [the close action can also occur intraday, then the action will be published neartime with the used FillPrice]

Options (of stocks and indices):
--------------------------------
  Opening a position:
    FillPrice = (Last + Bid + Ask) / 3   [ie. using latest quote of the previous market day, ie. opening at prev. EOD]

  Closing a position:
    FillPrice = (Last + Bid + Ask) / 3
    [the close action can also occur intraday, then the action will be published neartime with the used FillPrice]

  If Bid and/or Ask is missing (for example at weekends) then just taking the Last price.
 
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botpro said:
This is paper trading using public delayed data (finance.yahoo.com and finance.google.com).
More...

As unrealistic as paper trading is, it makes it more so if you are using delayed quotes from yahoo. Don't you have access to a broker?
 
I am interested to know the result hence I am following.

Can you roughly tell what type of strategy you are using?
 
optioncoach said:
As unrealistic as paper trading is, it makes it more so if you are using delayed quotes from yahoo. Don't you have access to a broker?
More...
Yes, delayed quotes as was explicitly made clear in the announcement.
I have IB, but let's first start the way I've announced it.
 
The EOD is a reasonable entry, but the exit seems illogical. How can one know what the average of the day will be without waiting till the end of day. I'd atleast use MOC to enter and exit or MOO if you plan on simulating entries you find in the evening.
 
carrer said:
I am interested to know the result hence I am following.
More...
Thx.

Can you roughly tell what type of strategy you are using?
More...
Yes, it will be to a high degree systematic (of course).
It's portfolio trading (ie. multiple positions open at the same time).
I will try to replicate my other system here.
It cannot be 1:1 replicated because the system is an intraday system.
But I'll try my best. I think it should work also with the contraints of this method (ie. here mostly only EOD).
 
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botpro said:
Yes, delayed quotes as was explicitly made clear in the announcement.
I have IB, but let's first start the way I've announced it.
More...
The concern is you will see what is happening in real time and then go to the delayed quote for a much better fill which stretches the profit on a trade. Just not sure I understand why use delayed quotes which can question your entries.
 
Metamega said:
The EOD is a reasonable entry, but the exit seems illogical. How can one know what the average of the day will be without waiting till the end of day. I'd atleast use MOC to enter and exit or MOO if you plan on simulating entries you find in the evening.
More...
The exit normally happens sometime intraday, but its FillPrice is determined only at market close.
As stated there, sometimes also exceptions from that static rule can occur. Then a neartime announcement (ie. within 15 minutes or so) will be posted.
As said: every position will be held at least 1 day, so opening and closing on the same day will never be made.

Update:
Each close will be announced neartime with the used FillPrice, so waiting till EOD is then no more necessary.
 
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