Opening Only's 2010

You are playing the imbalance of the NYSE auction opening price. With the FV calculation you are approximately (stocks not being 100% correlated to the S&P futures) taking the open gap into consideration when calculationg you buy/sell prices. Since you are playing the imbalance and not the direction you envelope the FV calculation with both buy and sell orders and dont really care the direction.
This is theory. But some play it with their own rules. I think Don dont like selling on gap downs and buying on gap ups being afraid of buying a weak stock in a gap up or the opposite. This is really the experience and the style that you are going to develop that will tell you how to trade.
And i dont think you read enough. There is an opening thread every year for the last I dont know how many years so there are thousands of post full of informations for you to enjoy :-)
Have fun
 
Quote from total_keops:

You are playing the imbalance of the NYSE auction opening price. With the FV calculation you are approximately (stocks not being 100% correlated to the S&P futures) taking the open gap into consideration when calculationg you buy/sell prices. Since you are playing the imbalance and not the direction you envelope the FV calculation with both buy and sell orders and dont really care the direction.
This is theory. But some play it with their own rules. I think Don dont like selling on gap downs and buying on gap ups being afraid of buying a weak stock in a gap up or the opposite. This is really the experience and the style that you are going to develop that will tell you how to trade.
And i dont think you read enough. There is an opening thread every year for the last I dont know how many years so there are thousands of post full of informations for you to enjoy :-)
Have fun
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Couldn't have said it better...

Don :)
 
Is this still a viable strategy... It certainly has died (on several levels) in 2010?


Quote from Don Bright:

Yeah, I'll post up June and a recap of May hopefully next week to bring things up to speed.

Don
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Quote from Don Bright:

Yeah, I've had some "issues" involving some personal traveling etc. and have missed some of the best openings of the year. Like last Friday...bummer.

I'll post a spreadsheet in June to bring things up to date.

Don
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Don, I was looking at using "ISI Market Buy on Open" this week on NYSE stocks that look like they are likely to trend up first 30-60 minutes ( with a bid imbalance ). On one such day the stocks were all suggesting a gap up premarket. Is this generally a reasonable risk trade for a stock that generally trades very little if at all premarket ( ie they have massive premarket spreads ) ? Or is it better to cross the market around 9:30 am ?

Often if I'm right its hard to get in before the stock starts walking up, but on the flip side a random doji down might put me in a "stop loss" dilemma very early in the day.

My idea would be wade in with minimal shares and see how successful it is. I tend to trade fairly thin stocks looking for big moves early in the morning.
 
Hi Don,

Ive backtested an opg strategy that uses various envelopes obviously. My backtestig tells me that my limit on open orders should have been filled on about 100 stocks but im only being filled on 10. Do you know why?
 
Quote from wvalenta:

Hi Don,

Ive backtested an opg strategy that uses various envelopes obviously. My backtestig tells me that my limit on open orders should have been filled on about 100 stocks but im only being filled on 10. Do you know why?
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:p :p :p
 
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