Don's openings and more for 2005
- Thread starter Don Bright
- Start date
How are you able to put in all those orders with retial margin?
Heck, I only put in 10 stocks, 2000 to buy, 2000 to sell = 40,000 shares x average price of $40 = $1.6 million?? I would put in more shares, but like to keep "under the radar" ...
Don
Not all retail traders are struggling to stay above the $25K PDT minimum.
Plus IB only counts margin on filled orders.
Since you can't fill both sides of your OPG orders, even your calculations are 2X what they really could be worst case. In your case you'd need 200K in retail equity if all your stocks filled. And when's the last time you've had more than 2 or 3 fills?
I keep a close eye on my margin usage so I don't get in trouble.
That said, I'm starting to shop around for a prop outfit. What can you offer me?
Quote from Shreddog:
Not all retail traders are struggling to stay above the $25K PDT minimum.
Plus IB only counts margin on filled orders.
Since you can't fill both sides of your OPG orders, even your calculations are 2X what they really could be worst case. In your case you'd need 200K in retail equity if all your stocks filled. And when's the last time you've had more than 2 or 3 fills?
I keep a close eye on my margin usage so I don't get in trouble.
That said, I'm starting to shop around for a prop outfit. What can you offer me?
That's interesting, IB not calculating based on order entry like I'm told is required (according to my regulatory people, although I'll admit that I haven't asked in a couple of years).
Feel free to give me a call if you want to take your trading to the next level. 702.739.1393 (mid trading day is fine).
Don
I remember way back when, I was reading the old threads on this. You and Def (from IB) were chatting about this topic and Def had said they fixed that aspect of their margin calculations. Also, I believe that if I were to get fills that exceeded my margin, IB would immediately start liquidating. Haven't tested that and hope I never will. But perhaps this immediate liquidation feature makes them more comfortable with their margin calculations.
When I'm ready to make the jump, I certainly will. Thanks, Don.
Would be interested to know how or why you were long PRU when it opened up 7 cents.
My buy was 66.39 using a .7% envelope, and it opened at 66.76. You bought at the equivalent of .15% envelope. Seems extremely tight to me, and within the range of noise.
I sent orders today with spoos price of 1225.5 and fair value of .92. With an $SPX close of 1221.59, this gives a fair value adjusted gap open of .245% and a FV for PRU of 66.86 using a beta of 1.05.
Are you calculating the stock's FV the same way, or really sending orders that tight? PM me if you don't want to share details in public.
C
I had 1225.75 for the SPOOS and the same FV as you.
You are correct that PRU was a very tight envelope. My data says I typically can run PRU pretty tight with decent average results, but there tends to be a lot of variance.
So as of yesterday I kept the tight envelope but drastically reduced my size (thank god) and put a second envelope of much larger size much further out.
Even with today's move, my statistics say that running a tight envelope on PRU is still profitable if I'm willing to tolerate some variance. It's the historical variance that made me cut back on my size yesterday.
It was not my envelope that got me in trouble today. I was half out of it at a 23 cent profit before the drop. It was my averaging back into it because PRU often has huge illiquid moves and I've gotten some sweet fills from the specialist on them. This drop was much bigger than I was expecting and those sweet fills didn't stay sweet very long. Looking back, the fact that the drop came so late should have been a warning sign. Usually the good fadeable moves happen in the first 3 or 4 minutes.
I got burnt today, but I think my methodology is solid. PRU has been one of my better stocks before today.
Shreddog,
This is an excellent approach and probably _the_ most important reason for keeping stats. It sounds like you are sizing your portfolio very intelligently.
I do want to emphasize these points for anyone planning on following your lead: Make sure you have plenty of data that covers different market conditions (overall market and sector or group conditions). Look at the volatility of your returns, not just the mean.
Some of my biggest average winners were on fairly volatile stocks. While the average win was impressive, the downside is what kept me from getting too large in my position. While my average winner may have been 30 or 40 cents, the average loser might be 25 (and the W/L % was around 50%). I wasn't capitalized well enough to support too many of those in my portfolio. Stats will tell you that six or eight losers in a row are within a 90% confidence interval, assuming a normal distribution. Again, this is worst case, and sure portfolio diversification comes into play, etc. For those that understand covariance and correlation coefficients, consider that when evaluating a portfolio of OPGs for returns. Most experienced traders intuitively realize that when one goes bad, more than a diversified average seem to go bad with it.
So, I guess this is a long way of publicly congratulating you on your approach, but also advocating and highlighting that others who follow keep risk in mind as well.
No fills today...
Don
Don