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Opening Orders - 2008
- Thread starter Don Bright
- Start date
Quote from jones247:
Instead of fading the opening, wouldn't it be better to trend with the opening (especially since this is a scalping system trying to capture 20 cents or so)?
thanks,
Walt
That would be a different strategy. The idea with the opening order tactic is to first figure out where the stock should be opening using the previous day close and add or subtracting a premium percentage based on where the futures are trading in the current day premarket. Then you bracket that fair value for ONE REASON only really. IF the specialist has a lot of buying orders, they will have to sell into this and be net short. They will then "let" prices move back closer to "fair value" and cover their net short position at a profit. The idea is you get filled "with" the specialist, and get out maybe even half a minute later. You are going for fast pennies but if you're bracket is far enough (it seems) the accuracy will be high. It helps to auto trade this for them super fast pennies it seems to me. Over time this tactic is supposedly profitable, then you scale up and do 1000 or 10,000 shares. If you filter the stocks for news that might cause a massive gap likely to be more "real" and not due to the specialists small move, you can avoid taking occaisonal massive losses while only picking up a few hundred dollars most days.
I think that is the idea and I posted this just to see if I am in the ball park.
I'm new at this, I was doing ok then I added COP. I'm going to stick to my slow large caps until I am auto trading my exits, then I want to add a lot more stocks over time.
Quote from total_keops:
Would you mind giving an example cuz I dont really see it.
I think COH was a good example of what he means. COH opened with a gap down and had a trend down during the day. The holding period for a COH short would be much longer compared to what is going on with opening orders. It's possible there was even a small profitable long trade with COH if you can manage to find the specialist opening (not consolidated qoutes) maybe you can see if that is so. One way I try to find the specialist opening is watching time and sales with a block trade filter, and see what price the first block trade after 9.30a is. So far this has given me the specialist opening for the most part.
Anyway. I myself had no fills today.
Quote from total_keops:
Would you mind giving an example cuz I dont really see it.
For example: Today SPY opened at 127.80. Set a long position at 128.00 and a short position at 127.60. Assuming the opening trend will extend at least 50 cents, this gives you enough room to ride the trend for a 20+ cent profit before closing out your position.
Thanks,
Walt
Quote from jones247:
For example: Today SPY opened at 127.80. Set a long position at 128.00 and a short position at 127.60. Assuming the opening trend will extend at least 50 cents, this gives you enough room to ride the trend for a 20+ cent profit before closing out your position.
Thanks,
Walt
This would not use the opening of the NYSE specialist so it's not a real opening strategy. It's more a strategy that you could backtest and automate like millions of other ideas you can get.
3 fills, 2 long winners, 1 short loser. +0.06 average. Could have been better.
Hi Totalkeops,
If you don't mind me asking, what's your Return on capital per month using this system (i.e. 5% per month on capital equals 60% per year, or more if compounding)?
thanks,
Walt
If you don't mind me asking, what's your Return on capital per month using this system (i.e. 5% per month on capital equals 60% per year, or more if compounding)?
thanks,
Walt
Quote from total_keops:
3 fills, 2 long winners, 1 short loser. +0.06 average. Could have been better.
Quote from jones247:
Hi Totalkeops,
If you don't mind me asking, what's your Return on capital per month using this system (i.e. 5% per month on capital equals 60% per year, or more if compounding)?
thanks,
Walt
I haven't been doing it for long enough (4th month I think now) to be confident that my ROE means anything. And I'm still on small volume.
I think Don said somewhere that % are meaningless because there is so much leveraged involved and I would agree with that. It's all about the $$$ and that depends on the size you play.
$/share * volume = $$$
No fills today, well, I did not manage to send the orders. I had a message saying there was problems at the exchange. Anyone else had the same problem?