ES Journal - 2012

[Trvlwanderer]

Quote from bigsnack:

ThinkorSwim. Josh and I have been talking back and forth about the huge difference in the TICK readings between data providers. From what I gather, TOS and Tradestation are pretty similar, but the other data providers look vastly different. Josh's data feed does not show most of the "extreme" readings that I see on ThinkorSwim.

My IB data looks the same as your tick charts when posted.

 

[mastacoli71]

Quote from bigsnack:

Look man, why do you keep writing this and then ignore people's comments when your call fails? I'm not doubting that there is a strategy in this, but you never get to the nitty gritty about the trades that go wrong.

He's doing it to be annoying. Wasted space in this thread but I am sure he is getting a kick out of it when he gets a response. Probably empowers him for some odd reason; to each his own.

 

[bigsnack]

Quote from Trvlwanderer:

My IB data looks the same as your tick charts when posted.

Good to know! So that's 3 feeds that look very similar. For some reason the TICK on IQ barely ever closes above / below the 600 range in either direction. That would be the death blow to my strategy, although I would hope I could adjust with a brand new batch of studying if I ever had to....

 

[chaykapwr]

I will be exiting all longs at 1353

I will start shorting big 1353-1360

First target is a minimum of 15-20 points.

 

[Lawrence Chan]

Quote from bigsnack:

Good to know! So that's 3 feeds that look very similar. For some reason the TICK on IQ barely ever closes above / below the 600 range in either direction. That would be the death blow to my strategy, although I would hope I could adjust with a brand new batch of studying if I ever had to....

IQFeed generate their own version of the tick index. That's why.

Many brokerage feeds are rebroadcasted from the S&P Comstock feed (now it is one and the same as eSignal).

 

[EliteThink]

Quote from ammo:

another 1 mil spy , 50 cents below last

how does a print .50 lower occur? That's 5 spx/es points.

 

[chaykapwr]

seems we will be waking up to another gap up day.

 

[chaykapwr]

50 Up days/88 total days=56.8% of trading days are up days for the Period Oct/11-02//07/12

19/26=73% of trading days are up days for all of 2012

While the first number is in line with where it should be (50/50 split, even though historically it should have a very very slight bias towards up)

The second number is way out of line. Sure you can make the argument that the sample is very small, BUT the fact is, going long at the close of the day, and selling at the close of the next day for a higher price has a probability of 73%

 

[bigsnack]

Quote from bigsnack:

target at 46.75's

Ah well, there are those 47's.

 

[mastacoli71]

Quote from chaykapwr:

50 Up days/88 total days=56.8% of trading days are up days for the Period Oct/11-02//07/12

19/26=73% of trading days are up days for all of 2012

While the first number is in line with where it should be (50/50 split, even though historically it should have a very very slight bias towards up)

The second number is way out of line. Sure you can make the argument that the sample is very small, BUT the fact is, going long at the close of the day, and selling at the close of the next day for a higher price has a probability of 73%

Date this buy the close sell the open strategy back to beginning Dec 2010 through yesterday close. Wish I could go back further but my limited back testing ability does not allow me to. In any case, this buy the cash close sell the cash open yields 10% total return assuming one is laying down the same dollar value bet day after day. Market during that same time frame yields 13.75%, same parameters. I'm sure if you go back further the numbers will be similar.

Let me ask you a question, which one would you choose? Hmmm, head scratcher for me.