Don's Openings Pt. 2

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Don Bright

Baron thought we better start a new thread with the results of the opening only order's, etc. I have posted up Jan and Feb (not the greatest, but ok). We can continue to post daily results. Thanks to Edge and all the rest, we can all see if this strategy is continuing to work for everyone.

So, let's use this one for a while.

Good Luck!!
 
25 orders, 3 fills, 3 small winners. Two of the were shorts, and I got fiiled at low of the day (little luck doesn't hurt). BTW, I have adjusted my envelope to fit some of the more "beta-wild" stocks. So on a normal opening the envelope varies between 1%-.8%.

Don,

we were getting a lot of pages in our former thread, doesn't mind renewing it. Hope though it will be available for future reading, think we got a lot of relevant info there. Take it easy:cool:
 
lost 30 cents net after commission, 3 fills, 3 losers, all short
put in orders on 9 stocks.

the ib limit on open orders are working.
 
lost 30 cents net after commission, 3 fills, 3 losers, all short
put in orders on 9 stocks.

the ib limit on open orders are working.
More...

mgkrebs,

Please let us know what stocks got fills. Also, tell us your envelope(s) and your thinking (as well as your routing and how long it took to get filled on the exit) when you got out.

Maybe we can comment, if you would like.

nitro
 
Originally posted by The edge
25 orders, 3 fills, 3 small winners. Two of the were shorts, and I got fiiled at low of the day (little luck doesn't hurt). BTW, I have adjusted my envelope to fit some of the more "beta-wild" stocks. So on a normal opening the envelope varies between 1%-.8%.

Don,

we were getting a lot of pages in our former thread, doesn't mind renewing it. Hope though it will be available for future reading, think we got a lot of relevant info there. Take it easy:cool:
More...

Send a note to Baron, perhaps he can archive the thread for us..
 
I use a 1% (.5 under .5 over) envelope and don't mess with it too much. I adjust my fair value calc for each individual stock's beta.

Today was filled on axp, bac, and sbc, all short. Lost 6 cents on axp, it kept going up. Lost 15 cents on bac, was a little slow to get out, it kept going up. lost 3 cents on sbc- it rallied a bit after I got out, but collapsed after taking out yesterday's hi by 5 cents.

In the overall scheme, not bad, since I have been profitable for 7 consecutive days before today.

I had order in for kss, but cancelled it when it did not open after more than 5 minutes. It would have been filled short. Might of gotten stopped out, or could have held through initial bounce and made money- hard to tell without actually being in the position.

Unfortunate that I ended up overweighted short financials. Other stocks on my watchlist, but that I do not currently trade, were great performers today. I may add a name or two to my order list as I'm getting pretty comfortable with the technique.

Interesting today that although the s&p was down, not much filled on the long side.

I'd like to know what everyone's thoughts on risk management are. I'm thinking I'm willing to give up 1% or so in a worst case scenario, although in practice my losses have been much smaller.
Don occasionally gives examples of waiting signifigantly larger moves against his position (ie: aol, txn). Any thoughts?
 
mgkreps and Don,

Do you have a "watch list" prior to the open? If you do, what action do you see after the open before it would trigger the decision to place the buy order?

Once the order is filled, do you put in a "stop (market or limit)" right away or do you use a mental stop.

I don't use Direct Access so to place a stop market, sometimes the slippage (0.40) scares me off so I end up use mental stop. This costs me even more sometimes because of fast moving market.

To day trade or swing trade, is Direct Access a MUST have?

Thanks.
 
I brought it up in the other thread, but am still trying to figure out the best way to account for the stock's beta when determining the prices for my orders. Is it best to make the beta adjustment to the envelope or the fair value of the stock?

I've changed my order spreadsheet to adjust the envelope based on beta as follows:

I'm using a 1% envelope (1% above and 1% below the stock's FV). ADI has a beta of 2.4 and closed yesterday at 45.60. Before this morning's open, I calculated the FV of the stock to be 45.61. Normally my buy order would be 45.16 and the sell would be at 46.07. By multiplying the 1% envelope by 2.4, my orders were 44.52 and 46.71.

On MO, which has a beta of 0.2 and closed at 53.00, my unadjusted orders would be 52.48 and 53.54. After applying the beta adjustment, they were 52.91 and 53.12.

Is any one else adjusting for beta this way? If not, what do you think is the best way?

Today was the first day I used these beta adjusted numbers. I sent orders for 33 stocks and got filled long on MO, KO, BHI, and LLY. Filled short on BMY, MMM and FNM. This is a few more fills than I would normally get, and they are all low beta stocks. So I think the way I'm doing it is making the envelope too tight on the low beta's and too wide on the high ones. I had 4 wins out of the 7 fills.

Would sure appreciate comments on this.
 
bluesky- I suggest you go to the original thread and read all the posts. This will give you the basics of this methodology.

http://www.elitetrader.com/vb/showthread.php?s=&threadid=3334

It is a mechanical entry, intuitive exit. Whether you use a hard stop or mental stop is entirely up to you. I may put in a hard stop at a worst case price point, but will likely be out long before it is hit. It is just there in case of data outage.

You need to be able to route orders directly to NYSE, so yes, you need direct access routing capability. You also need low commissions- I don't think anyone participating in this thread pays more than 1 cent per share.

On adjustment for beta- I have been told that the accepted technique is to factor beta into the fair value calculation. If SP is up 1%, and a stock has a 1.5 beta, you multiply that stocks close by 1.015 to get fair value.

Don, how'd I do?
 
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