Can anyone direct me to a reference on how to optimally exit a basket of stocks? For example, suppose I have 100 long stocks to exit in the next 1-2 hours. My thinking is to submit limit orders 0.5% above the current ask, cancel unfilled orders after 15 minutes, wait 15 minutes, resubmit orders on remaining positions a little closer to the current ask, and so on, increasing the aggressiveness of the order as the end of the exit window nears. There must be some standard approaches that are known to be effective.
Exit Algorithm
- Thread starter jbusse
- Start date
Robert Morse
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We have a basket trader. You can create multiple baskets, use limit orders, market orders, MKT on Close or Vwap and TWAP for larger size.
Depends entirely on the 100 long positions -- are they related? Correlated? Correlated positive? Negative? Are there mirror hedges? Inverses? Are there broad-market index-followers? What have the respective markets done?
The best answer to your question, on any given day, at any given hour, depends on what it is you're holding, and where that market is headed.
If you're tied to 1-2 hours, then dividing them into baskets and working that basket responsively to that market makes sense.
Hopefully, you've got some empirical homework done, know where everybody is-or-should-be, and can trade reflecting that knowledge.
FWIW, and all that........
The best answer to your question, on any given day, at any given hour, depends on what it is you're holding, and where that market is headed.
If you're tied to 1-2 hours, then dividing them into baskets and working that basket responsively to that market makes sense.
Hopefully, you've got some empirical homework done, know where everybody is-or-should-be, and can trade reflecting that knowledge.
FWIW, and all that........
Buy the 10 top performing Nasdaq 100 stocks ( top performing for year ending Dec 31 ) on Feb 1 * . Hold for 2 years and then rescreen, unless the year has been determined "High Risk" *. The 2 year holding period alleviates short term cap gains tax ( unless within Roth IRA ). Then you'll always know to buy or sell on a preselected day ( the first trading day of February ).
* Risk profile = variable #2 under "7 quantitative price based variables" at bottom here: tinyurl.com/z9xddr5 ( paste into browser address )
- Don't quit your day job
- Don't use leverage
- Open a Roth IRA
- Sometimes money is made by sitting in cash
- Don't be a hostage to the markets
- let the markets, profitability of the world's economys work for you
* Risk profile = variable #2 under "7 quantitative price based variables" at bottom here: tinyurl.com/z9xddr5 ( paste into browser address )
- Don't quit your day job
- Don't use leverage
- Open a Roth IRA
- Sometimes money is made by sitting in cash
- Don't be a hostage to the markets
- let the markets, profitability of the world's economys work for you
Thanks. Can one generalize at all? E.g., suppose I am exiting a randomly selected portfolio of relatively liquid stocks?
If you have no time for homework, then (my advice) group by
S&P sector
or
volume as %float
or
bid/ask spread as %mktprice
If you can do a bit of homework, then do a bit of technical work, and group by
new highs
or
new lows
or
recent (30-day) turns from downhill 6-month skids
or
recent (30-day) turns from uphill 6-months ascents.
You get the idea:
to minimize time IN the trade, trade in groups according to (some kind of) similar market characteristic, under the assumption that the *greater* market will treat these stocks, AND YOUR TRADES IN THEM in a similar fashion. Done well, you trades will get hit with consistency, and you can move on to the next grouping/basket.
S&P sector
or
volume as %float
or
bid/ask spread as %mktprice
If you can do a bit of homework, then do a bit of technical work, and group by
new highs
or
new lows
or
recent (30-day) turns from downhill 6-month skids
or
recent (30-day) turns from uphill 6-months ascents.
You get the idea:
to minimize time IN the trade, trade in groups according to (some kind of) similar market characteristic, under the assumption that the *greater* market will treat these stocks, AND YOUR TRADES IN THEM in a similar fashion. Done well, you trades will get hit with consistency, and you can move on to the next grouping/basket.
@tommcginnis just spoonfed it to you. What else do you need? You want us to write the code for you, too? If you need more handholding then it would greatly help to answer the questions, @tommcginnis raised.
Sorry, my reply was to the Lightspeed person's suggestion to use their basket trader.
As far as tommcginnis's suggestion, I don't see how grouping stocks by characteristics speeds up the trades. Please enlighten me.
I am referring to this first post where he asked you some specific questions. Can you bother to answer them?