Don's Openings, Part 6 2003

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Just wanted to congratulate our "boot campers" in public (sort of). First day of OO orders, we had 10 winner traders, 4 who lost a little, 4 who were not filled for a profit of 2.32 .

Second day was even better: 11 wnners, only 1 (small) loser, and 5 who were not filled (1 absent). For a profit of $3.82 ....4.04 in winners, and only a 22 cent loss.

I'll post results again near the end of the boot camp. I don't want to put any "pressure" on the troops...:)

Good Job all!!

Don
 
don if you get some time could you discuss your envelopes, how you choose them, and your experience with number of winners and fills comparing small envelope days with bigger envelope days. i know a lot of succesful traders dont vary and prefer this style, but on these flat days i.e. today, when i get no fills i feel maybe i left soem money on the table. of course i dont want too many fills either. i have been using .9 - 1.1 with 20 stocks getting, out of a typical week, two days of no fills, two days of just one or two fills, and just one day with 3-5 fills.
 
I pretty much always use a 1% envelope, but with the flat, quiet openings we've been having lately, I've tightened up to .9%. Trying to keep my fill rate at the historical average of 10%. I'm using about 60 stocks right now.
 
Quote from Ron In-a-sauna:

don if you get some time could you discuss your envelopes, how you choose them, and your experience with number of winners and fills comparing small envelope days with bigger envelope days. i know a lot of succesful traders dont vary and prefer this style, but on these flat days i.e. today, when i get no fills i feel maybe i left soem money on the table. of course i dont want too many fills either. i have been using .9 - 1.1 with 20 stocks getting, out of a typical week, two days of no fills, two days of just one or two fills, and just one day with 3-5 fills.
More...

This is somewhat subjective, as are most things in trading (with due respect to my technical friends). On days when the spot price is within a couple of points of the spoo's I use between a .5 and .75 envelope. From about 2-5 points away, I use .8-.9 or so, and up to 8 points, about a 1.0. I go to 1.2 on real wild days. Again, this is very subjective (based on the beta's of my stocks, the previous day/week activity, the VIX, etc. ).

The idea is to get filled on about 4 or 5 out of 20, with the plan to keep a high winning percentage.

As far as "narrow" vs. "wide" day, I think that they pretty much even out. I am often surprised as to which stocks I'm filled on, and on which side I'm filled on. That is why I try to place nearly every stock nearly every day. I will rarely discard a stock due to news (but do sometimes, again, subjective call).

Good Luck...

Don
 
you know, I was skeptical of this stategy, but gave it a try starting Monday

4 winning days in a row, (starting small) 10+ fills with 1 small loser (@ $5)

nothing is perfect, but I am convinced this has an edge if executed carefully and cautiously

nice contribution to this forum Don!
 
Don had noted that he typically includes news (paraphrasing)...

I noticed that when I exclude news items, I make very little money on a consistent basis... everyday, I make a little, but not much.

When I include news items, I have much more volatility in returns, but on net, I am ahead.

Today, I got wacked on a long fill in ELX (-50 cents) so now I am thinking:

Exclude news items and use a aggresive envelope (i.e. .50)

versus

Include news items and use a conservative envelope (i.e. .90 or greater)


Thoughts anyone?
 
Quote from sshakhshir:

Don had noted that he typically includes news (paraphrasing)...

I noticed that when I exclude news items, I make very little money on a consistent basis... everyday, I make a little, but not much.

When I include news items, I have much more volatility in returns, but on net, I am ahead.

Today, I got wacked on a long fill in ELX (-50 cents) so now I am thinking:

Exclude news items and use a aggresive envelope (i.e. .50)

versus

Include news items and use a conservative envelope (i.e. .90 or greater)


Thoughts anyone?
More...


I'm new to this, so I exclude news so that I dont freak out.

What you could do, as a compromise would be to compute a wider envelope on stocks with news, so that you only catch them if their move is more extreem
 
Quote from swtrader:

you know, I was skeptical of this stategy, but gave it a try starting Monday

4 winning days in a row, (starting small) 10+ fills with 1 small loser (@ $5)

nothing is perfect, but I am convinced this has an edge if executed carefully and cautiously

nice contribution to this forum Don!
More...

Thanks! Always good to hear positive comments. We know the strategy has worked for decades (but don't tell anyone)....

Don :)
 
Quote from swtrader:




I'm new to this, so I exclude news so that I dont freak out.

What you could do, as a compromise would be to compute a wider envelope on stocks with news, so that you only catch them if their move is more extreem
More...

and leave the other stocks with your normal envelope
 
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