I wrote an algorithm that will give you a stock that will make .5% the next day...BUT

[Bob111]

Quote from lindq:

And...you don't need tick by tick data. One minute is fine. Even 5 min is fine, because it will serve the purpose of letting you know when and if a stop or target was hit intraday.

with such tight range in many case it would be impossible to tell which one was hit first. target or stop.

 

[selrod0324]

Quote from lindq:

You don't need to get very granular when looking at data for a portfolio of equities. Your objective should be to see if there are general conditions when it appears your odds of profiting are there...and to define what those are.

Trading offices are littered with the bodies of folks who crushed the hell out of data and thought they'd found the holy grail, but failed to really understand the HOW and WHY of why things were happening in the context of the overall market environment.

So...you are at the first stage of a very multi-stage quest. It is a long path.

A very long quest indeed; I approach it like I do scientific research. Take tons of data, analyze data. Test predictions in idea, controlled environment, lastly test predictions in real world..

I am at the first step, in the process though I enjoy getting as much advice from as many knowledgeable people as possible.

Everyoens help,advice,criticism,etc... is greatly appreciated

 

[promagma]

Is your prediction profitable if you trade (previous close) to close or open to close? This is the initial test.

0.5% target / stop is just money management. It won't turn an unprofitable strategy that fails the initial test, into a profitable one. Optimizing the money management is the last thing you should do.

 

[selrod0324]

Quote from Bob111:

with such tight range in many case it would be impossible to tell which one was hit first. target or stop.

Yup.

This was my line of thought, hence the reason I will be programatically trading if the algorithms prove to be sound.

This is also why I want tick by tick data, I don't want to have to interpolate or extrapolate any data, even if it is just for a minute

 

[selrod0324]

Quote from promagma:

Is your prediction profitable if you trade (previous close) to close or open to close? This is the initial test.

0.5% target / stop is just money management. It won't turn an unprofitable strategy that fails the first test, into a profitable one. Optimizing the money management is the last thing you should do.

This particular algorithm is Close.previous to wherever the exit point is reached.

With enough data, I will be able to optimize the the stop and that optimization may be 0.5% or it could be 10%....Oh, I agree 100% that it wont at all, this stop is for the sole purpose of minimizing loss in real world scenarios and could be anything once I have enough data to analyze to determine this point.

 

[HowardCohodas]

Quote from selrod0324:

I'm currently using yahoo stock quote API for datafeeds for acquiring approximately minute by minute data for all stocks on the Nasdaq and NYSE.

Which Yahoo API are you using?

In addition to the textbook I recommended in an earlier post, consider the following.

• Back testing, like any computer simulation of the real world (think engineering) has its limitations. Even with tick data, you can't assume the trades you want to make will be executed in a timely fashion or at the price you want.
  
• If your system is sufficiently robust, it should not require the universe of financial instruments at tick data level to prove it feasible. With a more limited data set, you may find tick data more economical.
  
• Once your computer simulation shows promise, you should go to paper trading. Paper trading, like an engineering prototype, is good for working out the bugs of interfacing with the real world. Even paper trading has it's compromises. Although you will be filled at the price you request if the market trades at that level, no consideration is given to availability.
  
• Your next step is to trade live (with money) but for small amounts. Consider this preproduction testing.
  
• Now you are ready for full production. Live long and prosper.

 

[promagma]

Quote from selrod0324:

This particular algorithm is Close.previous to wherever the exit point is reached.

Test it close-to-close. Or with daily data, you have enough accuracy to test a wide stop loss/target, say 10%. If these tests aren't profitable I would say 99% it won't work and you won't be able to turn it into a winner with different money monagement.

 

[stock777]

I suggest a 100% stop loss and a 2% profit target for maximum results.

 

[intradaybill]

Quote from selrod0324:

No shit, I have stated a couple of times I don't know the complete intraday picture. Hence the reason I asked for advice...Do you have a point or are you being redundant for the sake of being redundant and annoying?

0.5% for a $100 stock is just 50 cents. For $20 stocks it is a mere 10 cents. I can give you an algorithm that is 99% correct in predicting which stock will make 0.5% next day.

Is this also annoying to you? I am trying to say to you that your 72% is a meaningless number. I am sorry if it is annoying to you. You should have asked for answers that satisfy you only. I would not have posted in that case.

 

[selrod0324]

Quote from intradaybill:

0.5% for a $100 stock is just 50 cents. For $20 stocks it is a mere 10 cents. I can give you an algorithm that is 99% correct in predicting which stock will make 0.5% next day.

Is this also annoying to you? I am trying to say to you that your 72% is a meaningless number. I am sorry if it is annoying to you. You should have asked for answers that satisfy you only. I would not have posted in that case.

Lol then do it, (you clearly have no idea what you are talking about).

a 0.5% daily return would be quite impressive....do you realize what kind of return that is?

You have to be trolling, you can't be so stupid...it's not possible

Any daytrader would give is left nut to make 0.5% a day