Don's Opening's Journal....

The above assumptions are correct (.35% over and under FV) is what I am doing today. I'll give you the results in an hour or so.

Your turn...
 
Only got BAC today which I scratched.

BAC long at 60,60, exit at 60,60. Stock went up to 60,70 and turned sour due to the falling future. Ok exit, no problem with that. Had my envelope at .5 but it seems to be to much in this environment. Been without any real fills for 2-3 days now, my trading colleague got 6 fills on .4 envelope. Among the best trades of his was AIG which I was only 1 cent away from at the opening.
 
I'm just following this on paper currently. I seem to be getting alot of fills, so I will give you an example of one the names on my list. One of you guys check my procedure and make sure I'm doing this right.

I don't have SPH quote, so I'm using ESH. At 8:15 its trading at 1140.75 down from yesterday's close at 1149. Down .72%.

BBY closed yesterday at 73.70. I subtract .72% and get 73.17 for fair value. I enter buy and sell orders .5% above (sell) and below(buy) fair value. Buy at 72.8 Sell at 73.54. Stock opens at 73.65 and I am short.

Price trades one penny above the open, goes down to 72.70 before it takes out a 5 minute bar high. Not too shabby. Be nice if they all worked out so nicely.

Am I making any errors here? Yesterday I had 14 filled out of 42, today I have over 20.
 
Originally posted by The edge

IBM, long at 123,75, exit at 123,72, looser (tried to get out at 123,90-123,98-123,99 and would probably have been filled except my line went dead.
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Edge,

I've been going through your trades by comparing to my spreadsheet. They all match up except this IBM trade. I would have gone short with a .7% envelope at open>123.41. Just wondering if I made a mistake...?
 
Don and Edge,

Have you ever considered using a non-symetrical envelope...for example .35 on the buy side and .45 on the sell side? I ask this because I noticed that most stocks have a tendency to gap stronger in one direction than the other. For example BBY over the past two months would have triggered shorts over buys by a ratio of 2:1. So, why not widen the short side envelope everyday?

IBM has 2:1 ratio buy side
PG has 3:1 ratio sell side
GE has 2:1 ratio sell side
HDI has 2:1 ratio sell side
and the list goes on...

I'm just starting to understand this method so please correct me if I'm wrong.
 
I currently use an envelope of .5 so there may be a diff right there:-) Otherwise I may try to use an envelope of .4 on stocks below 80 bucks and .5 above from now on. Hope this helps, let me know otherwise. I am going home, enough og MMM and the asbestos drama
 
Originally posted by Dustin
Don and Edge,

Have you ever considered using a non-symetrical envelope...for example .35 on the buy side and .45 on the sell side? I ask this because I noticed that most stocks have a tendency to gap stronger in one direction than the other. For example BBY over the past two months would have triggered shorts over buys by a ratio of 2:1. So, why not widen the short side envelope everyday?

IBM has 2:1 ratio buy side
PG has 3:1 ratio sell side
GE has 2:1 ratio sell side
HDI has 2:1 ratio sell side
and the list goes on...

I'm just starting to understand this method so please correct me if I'm wrong.
More...

Since you want to get filled, and you are usually filled at a much different price than your order price, it shouldn't make too much difference. I have expanded the sell side a bit when the market is opening down...only because I want the Short Sale to be above the previous close.

Longer window today....filled on 4, 2 profits (after an hour!), 1 break even, and I am waiting for the last one to get back up....(great opening play, eh? Should be out by the close). :-)
 
Originally posted by Don Bright
I have expanded the sell side a bit when the market is opening down...only because I want the Short Sale to be above the previous close.
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Could you expand on this...so if the market opens down -1% and LLY opened down only -.2% you wouldn't take the trade even if it fit your envelope?
 
Originally posted by Dustin


Could you expand on this...so if the market opens down -1% and LLY opened down only -.2% you wouldn't take the trade even if it fit your envelope?
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Since my automated order entry system only enters "short sales" (unless I buy bullets)- I would need to have the selling price above the prior day's closing price. That is what I a am referring to.
 
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