Don's openings and more for 2005

ECN's- yes, but only when I need to bail on a bad trade as fast as possible. It depends on your software, some packages make it too cumbersome to route specifically, quickly. When I need an immediate out, I spray orders to all the ecn's and nyse with a hotkey.

Regarding PG-G- yes, you can still trade both of them, just be aware that if you get filled on one, you will probably get filled on the other. And since they are so tightly correlated now, you will essentially just have a double-sized position on, except that you will have to enter all your orders twice.

As for Wannabe superstar, let's just say that he's raised a few eyebrows and the ball is in his court.
 
Inspired by Corey and our Wannabe friend, I thought I'd give a summary of my month Corey-style. I've gotten a lot out of these threads and feel I should give something back.

I decided to close my January on the weekend (who wants to do this on a Monday?). Everything here is gross, so you can deduct your own commissions as you wish. I trade at IB.

Days Traded: 17 (2 ski days)
Gross: $5295
Fills: 136
Avg share size: 887
Stocks enveloped each day: up to 22
Gross cents/share: 4.39 (note this is weighted by stock not by shares traded)

I trade anywhere from 100 to 1300 shares depending on the stock. Most stocks under 300 are in the "penalty box" where I'm not quite ready to delete them and want to give them another chance.

Since I'm trading my own capital I've taken a higher fill rate style so that I'm being as efficient with capital as I can. Because of this, I do some things differently:
  • I express everything in standard deviations rather than percentages. It's already how I do lot of my other trading so it was a natural thing for me to do.
  • Every stock has a custom "envelope" that can vary with the S&P futures move.
  • Every stock has been characterized for "trendiness" with a rough guideline of how long the trends can last. I tend to get itchy fingers on my winners and this helps me stay in those trades. I sometimes get burned for holding too long, but it's a trick that I believe works for me.
  • Some stocks are eliminated based on how the futures traded overnight.
  • I use SSF's or collars to allow myself to short stocks on down days if my data shows it's worthwhile (there's cost of carry hurdle to this). And yes, there are some great stocks to do this on. No, I'm not naming names. :D
The point I'm trying to illustrate is that you can take a basic framework, which Don provides, and modify it to meet your needs. In my case it's for efficient use of capital. Guys like Corey are operating with a different set of needs.

I did a quick look back over my previous few months (I started dabbling in August) and with the exception of October, my other months have had comparable gross cents/share totals.

I'm growing my size each month and if I run out of capital I'll be looking for a prop firm. But that's a ways off. I'm probably not growing as fast as I could/should but I've discovered that I'm not one to come bouncing back psychologically from a big loss unless I'm very confident in what I'm doing. I believe I'm growing at the rate that's best for me.

The other issue I'm wrestling with is whether to autotrade it. I believe it could be done within my framework, but I wonder how much I'd give up because I'd likely always eat the spread. Then again, maybe I'm overestimating my abilities at exiting manually!
 
Those are excellent results. Cents per share traded is a good measure of efficiency when taken in the context of how many positions you are managing and if you trade hands-on or are very automated.

Your 4.4 is superb. Over the last two years I've averaged about 3.5 trading a similar number of positions as you. One thing to take note of though, the last three months seem to have been exceptionally good (I didn't trade oo's for Aug-Oct). I averaged 5.3, 7.1 and 5.2 for Nov-Jan, well above historical norms. Let's hope it lasts a bit longer.

Looks like we'll have a sizeable gap up tomorrow. SP 1180 tonight is showing a FV adjusted gap of about .7%, which is the biggest gap we've had since November 3rd. Here are some interesting stats along those lines

Of the ten largest gap-ups of the last year, I won on 9 of them, with some big days. Of the ten largest gap-downs, I won on only 4 of them, for the most part up or down modest amounts. Make of that what you will.
 
Quote from lescor:

Those are excellent results. Cents per share traded is a good measure of efficiency when taken in the context of how many positions you are managing and if you trade hands-on or are very automated.

Your 4.4 is superb. Over the last two years I've averaged about 3.5 trading a similar number of positions as you. One thing to take note of though, the last three months seem to have been exceptionally good (I didn't trade oo's for Aug-Oct). I averaged 5.3, 7.1 and 5.2 for Nov-Jan, well above historical norms. Let's hope it lasts a bit longer.

Looks like we'll have a sizeable gap up tomorrow. SP 1180 tonight is showing a FV adjusted gap of about .7%, which is the biggest gap we've had since November 3rd. Here are some interesting stats along those lines

Of the ten largest gap-ups of the last year, I won on 9 of them, with some big days. Of the ten largest gap-downs, I won on only 4 of them, for the most part up or down modest amounts. Make of that what you will.
More...

Thanks!

I agree it should be an interesting open. I think one problem with big down opens is you get such few fills to the short side. And the ones you do get can often be losers because if they managed an uptick on a big down day it's probably for a reason.

One other statistic I didn't mention. Almost all my profits came from 7 stocks out of those 22. At first glance this might be a troubling statistic. But for me this is great because these also happen to be my 7 biggest share size stocks. These stocks got to be the biggest by being winners in the past. So that tells me that if I can keep chucking the losers and searching for more winners my net cents/share "should" continue to grow.

But your point about the last 3 months being great is taken and I'll be careful not to let my expections get ahead of themselves.
 
Quote from lescor:

Those are excellent results. Cents per share traded is a good measure of efficiency when taken in the context of how many positions you are managing and if you trade hands-on or are very automated.

Your 4.4 is superb. Over the last two years I've averaged about 3.5 trading a similar number of positions as you. One thing to take note of though, the last three months seem to have been exceptionally good (I didn't trade oo's for Aug-Oct). I averaged 5.3, 7.1 and 5.2 for Nov-Jan, well above historical norms. Let's hope it lasts a bit longer.

Looks like we'll have a sizeable gap up tomorrow. SP 1180 tonight is showing a FV adjusted gap of about .7%, which is the biggest gap we've had since November 3rd. Here are some interesting stats along those lines

Of the ten largest gap-ups of the last year, I won on 9 of them, with some big days. Of the ten largest gap-downs, I won on only 4 of them, for the most part up or down modest amounts. Make of that what you will.
More...


When you calculate your cents per share traded, are you going by position size or round trip? For example:

2000 share position, 20000 cent ($200) profit, divided by 4000 (opening and closing the position) = 5 cents per share traded?

Monday: 2 fills, 1 long 1 short, 2 winners, +190
 
Shreddog was talking one-side (position size). My response to him was the same. For my own stats I use per share traded total (round trip), so divide the numbers I mentioned by 2.
 
Quote from lescor:

Shreddog was talking one-side (position size). My response to him was the same. For my own stats I use per share traded total (round trip), so divide the numbers I mentioned by 2.
More...

Good point, thx for the clarification.
 
After nagging in the back of my head for a day I figured out there were some errors in my numbers earlier. My net profit that I generated for personal use was correct and remains unchanged. However, my method for backing the numbers out to get gross numbers to report here was incorrect. Here are the new numbers. These are now weighted per share like Corey. Also I'll now report the numbers per total shares traded like Corey. The higher net cents/share makes sense given my observation that my biggest share stocks were my biggest per share winners.

Gross profit: $3973.4
Total shares traded: 104,400
Gross cents/share: 3.8 (or 7.6 my original way)
Number of trades: 166
Days Traded: 17 out of 19
 
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