Greenleaf's Journal

[greenleaf]

Quote from JT47319:

If one traded the e-minis, one could hedge by going short in either YM or ES. You wouldn't benefit from a gap, but you'd at least be hedged against catastrophe and easily unwind from your position on Monday morning.

Thanks for the post. I've been considering hedging my positions with options or something. I don't know if I trade big enough to make it worth my while right now. I think I would spend away more on my puts or calls than how much the rare catastrophic event will cost me.

I blew out for the first time trading options a few years ago. I still have all of the good options books and intend on reading them again now that I know so much more about trading. I wasn't ready back then. It's on my to-do list, but without a target date.

-- DG

 

[rickty]

greenleaf,

Nice thread and nice software. What programmming language have you written your application in? Also what quote service are you using? I assume you are using this service's API?

What is the formula that you use for ranking stocks which involves volatility actually quantifying? I'm just trying to get a basic idea of what your strategy tries to do.

Good luck with your trading. You've had a very good start.

Richard

 

[greenleaf]

Quote from rickty:

greenleaf,

Nice thread and nice software. What programmming language have you written your application in? Also what quote service are you using? I assume you are using this service's API?

What is the formula that you use for ranking stocks which involves volatility actually quantifying? I'm just trying to get a basic idea of what your strategy tries to do.

Good luck with your trading. You've had a very good start.

Richard

Hi Richard,

Thanks for the post and for the compliments.

I wrote my software in C#.net. I use the MyTrack SDK for realtime data. I use IB as my brokerage.

My formula basically takes the ADR and divides it into the price to give me an idea of how much a particular stock moves. The more it moves, the higher I rank it. There's no trick to that part, really.

The assigning scores is the subjective part, and involves me going through every chart and seeing if I like it or not.

 

[greenleaf]

At one point, I had spent a lot of time writing all of this pattern recognition code looking for a bunch of different things and alerting me when prices did this or candlesticks did that or indicators did the other thing. I ended up scrapping it (for now) and just going back to basics and looking at charts.

My concern at the time was that I wouldn't be able to find all of the available stocks with great patterns every day, because it's humanly impossible to look at 400 charts a day, so that's why I tried to automate it. What I found was that looking at 100, or even 50 or 75, gives me enough possibility on a day to day basis. The stocks that don't move enough don't tend to be worth the carrying costs and associated risk (to me) anyway. Look at WEBX above. The pattern looked great, and it will probably still break out, but I can't sit around and wait two weeks for it when I could've made the money on other symbols.

When I post my charts later this weekend, it will probably be pretty clear what I look for.

 

[rickty]

Quote from greenleaf:


I wrote my software in C#.net. I use the MyTrack SDK for realtime data.

I've been using VC++ but I wonder if I should be thinking of learning C#.net? What advantages would C#.net give me?

Did you write the graphics library that allows you to draw your candlestick plots or is that part of C#.net (more or less)?

I've looked into the MyTrack SDK. If heard some good things about it. I'm just a little concerned about the cost. From my understanding one needs to pay $25/month fof the SDK itself as well as the cost of the realtime feed, which for the silver plan is about $20/month. It's not clear to me what how many symbols can be accessed under this plan. Can you help clear this up for me?

Thanks,
Richard

 

[greenleaf]

Quote from rickty:
I've been using VC++ but I wonder if I should be thinking of learning C#.net? What advantages would C#.net give me?

I like it because you don't have to worry about memory management and pointers, the two most difficult parts of C++. C# is a very good, clean language.

Quote from rickty:
Did you write the graphics library that allows you to draw your candlestick plots or is that part of C#.net (more or less)?

I bought a charting package from a company called Dundas. I'm typically not a big proponent of third party controls, but in some cases, like this, it would not have been worth my time to program my own charting library.

Quote from rickty:
I've looked into the MyTrack SDK. If heard some good things about it. I'm just a little concerned about the cost. From my understanding one needs to pay $25/month fof the SDK itself as well as the cost of the realtime feed, which for the silver plan is about $20/month. It's not clear to me what how many symbols can be accessed under this plan. Can you help clear this up for me?

I don't think you will find much cheaper for a realtime feed. Also, I have seen people on the mytrack SDK yahoo group doing it with the basic plan. I personally have the silver. You can access as many symbols as mytrack supports (meaning all 7000 or however many there are) for quotes, history, and intraday bars. You can "subscribe" to ticks concurrently for a couple hundred at a time I think. I have never tested this limit as I haven't needed to. If you want more info, the link to the Yahoo support group is: http://groups.yahoo.com/group/MyTrack_sdk

Hope all of this helped,

Dickie Greenleaf

 

[rickty]

Hi Dickie,

Thanks for all your information, I'm finding it very useful.

Quote from greenleaf:


I bought a charting package from a company called Dundas.

I had come across Dundas a long time ago but now that I can see what it can do I've taken a closer look. Are you using the Pro. or the Enterprise edition? As far as I can gather the big difference between the two for our purposes is that the enterprise edition provides indicators. Are there any other features that the enterprise ed. has that you may have found useful?

I don't think you will find much cheaper for a realtime feed...
You can access as many symbols as mytrack supports (meaning all 7000 or however many there are) for quotes, history, and intraday bars.

I've been looking into using Quotetracker with the DTN IQ feed which allows access up to 500 symbols simultaneously. QT is free (or for a small fee if you register) and DTN IQ is $20/month. The good thing about this setup is that QT supports lots of other data feeds, so one can change feeds very easily if needed.

If you want more info, the link to the Yahoo support group is: http://groups.yahoo.com/group/MyTrack_sdk

Thanks for the link.

Richard

 

[greenleaf]

Quote from rickty:

Thanks for all your information, I'm finding it very useful.
...
Are you using the Pro. or the Enterprise edition? As far as I can gather the big difference between the two for our purposes is that the enterprise edition provides indicators. Are there any other features that the enterprise ed. has that you may have found useful?
...
I've been looking into using Quotetracker with the DTN IQ feed which allows access up to 500 symbols simultaneously.

I'm glad you found the information useful.

I calculated the indicators myself (when I used them), because I wanted to understand what they were doing, so I have the code to do so and don't need this feature of the toolkit. The only thing I wish I had was empty point handling (for weekends), which the enterprise edition has. I had to do a little workaround to have the charts not have gaps in them.

I am always trying to make sure I am using the best and most cost effective resources, so I'll look into that datafeed when I get a chance.

Take care, and I hope you have a good week of trades!

 

[greenleaf]

Here's a symbol I scored an 80 in my rankings this weekend and view as a potential long candidate. I like the fact that the downside risk is not great if I set a stop where the red line is (on the daily chart).

As with all of the charts I post, I will not necessarily take a position in them. It depends on how things play out when the market opens.

As I mentioned above (I think), I have no idea what these companies are. Not even the company name in most cases. Maybe there is more risk assumed with my approach, but I think it is less than the bias I would take on if I read some negative news article about the company.

 

[greenleaf]

On all of these charts, the upper left is daily (usually 66 day -- the number displays above the chart), the upper right is weekly (78 week), and the lower left is intraday (usually a 6 day, 5 minute chart to look at general trends without getting into specific candle patterns).

If you looked at the screen print from above (called manual scan), you'll notice these screen prints are slightly different. I added an indicator (called pos, short for Range Position) which tells me how close to the high or low of the day a particular symbol is. -10 is at the extreme low of the day, 0 is midpoint, and 10 is the extreme high of the day. -10 = red, 0 = yellow, and 10 = green. I'm not sure if this will help me or not in any way yet, but I am hoping I'll be able to quickly spot symbols which are making new highs or lows as realtime data comes in.

There's also a new column called ratio, which is merely the projected daily volume / average volume, so I can see if symbols are trading on above or below average volume.

I mentioned that my software is a work in progress, and I wasn't kidding.

-- DG