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Opening Orders - 2008
- Thread starter Don Bright
- Start date
Quote from RhinoTrader:
Hoping some of the vets on this thread can help me with a couple more questions.
First, I am trying to do some basic testing. I am pulling data out of OpenTick. Not sure whether they are giving me the opening print correctly (despite filtering for NYSEexchange) as it differs both from reuters.com and yahoo.com (which look the same re: opening print). Does anyone know if I am right about this? If not, would you mind just throwing out a couple of NYSE opening prices from yesterday / today (any stock will do) and I can check myself if OpenTick is right?
Second, I know the floor opens at 9:30. Arca aprears to open at 4am? I have read elsewhere that there is an uncrossing at 7am? Can anyone clear up the exact schedule for what happens pre-market on the ECNs / ARCA? Anyone have any views on whether pre-market trading levels affect this strategy one way or the other?
Thanks again
Mike
I'm not familiar with OpenTick, but check time and sales filtered for NYSE if you can do it. The opening print will be obvious (a big honking size print around 9:30).
I've never paid any attention to premarket trading unless I'm trying to get a feel for whether a particular news item is having any effect. Even then it's tough to gauge where the stock will open.
No fills yesterday or today. Looks like chiguy took 'em all.
thanks eastside and sucre
i'll report back any conclusions on OpenTick.
i'll report back any conclusions on OpenTick.
just to confirm, assuming the prices eastside posted are the real NYSE official openings prices, opentick does indeed seem to provide the correct prices when filtered for NYSE only.
thanks for the prices eastside. now just the simple matter of downloading a few months of data and getting to work on the testing. lol.
thanks for the prices eastside. now just the simple matter of downloading a few months of data and getting to work on the testing. lol.
Quote from RhinoTrader:
just to confirm, assuming the prices eastside posted are the real NYSE official openings prices, opentick does indeed seem to provide the correct prices when filtered for NYSE only.
thanks for the prices eastside. now just the simple matter of downloading a few months of data and getting to work on the testing. lol.
I second lescor's comment. You are far better off forward testing on small size and tweaking as you go. News pretty makes automated backtesting very difficult.
3 fills (1 long, 2 short): -157
got stuck short in HAL
got stuck short in HAL
lescor / shreddog
thanks for the replies. i completely agree that back-testing for accurate results is difficult.
however, I would like to see that the basic strategy has a simple edge. i.e. trade all stocks with a [1%] envelope to fair value and hold for [15 mins]. maybe add a simple profit target at [10c] or similar.
ideally i would like to see this simple test produce an up-sloping equity curve. wouldn't have to be much, but some sort of up-slope. then I would hopefully improve results with filters for news etc.
i know this is a very simplistic approach but, if the entry really has any edge, it should play out. generally the favouable news events should average out the unfavouable news events over time. the time-out exit should have no positive or negative edge.
just to emphasise, I do not intend to trade OPGs systematically. i just think that a systematic approach should uncover some edge. if it's a case of strong tape-reading skills or other trading skills being needed to show any edge at all, then that's fine. but if that's the case, why bother using OPGs as the entry at all? any entry will do as tape reading skills are making you all the money. hopefully it's a case of "the OPG entry gives you a small edge. trading skills etc enhance that edge". think you have said something similar before lescor and it is what I am looking for.
any thoughts or comments on this very welcome. i know most of the regular posters on the thread are making money...
BTW - inital tests similar to the above on the Dow 30 for Oct07-Jan08 show that Jan has been a good month. Prior to late Dec, returns we much lower (pretty much b/e). does this reflect anyone's experience?
cheers
thanks for the replies. i completely agree that back-testing for accurate results is difficult.
however, I would like to see that the basic strategy has a simple edge. i.e. trade all stocks with a [1%] envelope to fair value and hold for [15 mins]. maybe add a simple profit target at [10c] or similar.
ideally i would like to see this simple test produce an up-sloping equity curve. wouldn't have to be much, but some sort of up-slope. then I would hopefully improve results with filters for news etc.
i know this is a very simplistic approach but, if the entry really has any edge, it should play out. generally the favouable news events should average out the unfavouable news events over time. the time-out exit should have no positive or negative edge.
just to emphasise, I do not intend to trade OPGs systematically. i just think that a systematic approach should uncover some edge. if it's a case of strong tape-reading skills or other trading skills being needed to show any edge at all, then that's fine. but if that's the case, why bother using OPGs as the entry at all? any entry will do as tape reading skills are making you all the money. hopefully it's a case of "the OPG entry gives you a small edge. trading skills etc enhance that edge". think you have said something similar before lescor and it is what I am looking for.
any thoughts or comments on this very welcome. i know most of the regular posters on the thread are making money...
BTW - inital tests similar to the above on the Dow 30 for Oct07-Jan08 show that Jan has been a good month. Prior to late Dec, returns we much lower (pretty much b/e). does this reflect anyone's experience?
cheers