Opening Orders - 2008

Dud expiration provides a dud ending to a dud week.

4 fills but only one above test size and it didn't perform. -88, 2300 shares.

Enjoy the weekend folks. See you all on Monday.
 
Quote from gehko:

Quote from DonKee:

Since your results are from "paper trading", I'm curious as to

1) How many shares have you traded ?

I am basing all of my trades on 1000 shares per stock.

2) Are you including commissions and if so, how much ?

Yes, but the number quoted yesterday was gross. I am factoring in .005/share. This seems to be a good average rate for the type of strategy and number of shares i would be trading.

3) Are you including slippage (this can be a huge factor in real life fills) ?

I am averaging 0.143846154 points of slippage overall, but when factored into positive or negative slippage (i.e. a better or worse fill) i am averaging a positive .03849 point fill. The positive slippage is due to initial jumps on gap ups and drops on gap downs. I am not sure how to interpret the positive fill yet, but it was something that i had noticed and pondered its relevance. I am still collecting other data and though i am keeping an eye on slippage i am not at the point in my plan where it is my main focus. Also, I can not rely on a paper trade setup to help determine slippage for obvious reasons.


Thanks for the update and good luck.

Thanks for the interest and good luck to you too.
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.04 positive slippage? That's more than our actual avg gain in real life. Lescor posted his stats some time ago. Not sure where they are but you should try to find them since they are real life from one of the better OPG traders.

Dud expiration.
 
Understood. I was answering the question, and if you read further i state its "audacity" and denounce the idea that realistic slippage can be found in a paper trade system.

Quote from Shreddog:

.04 positive slippage? That's more than our actual avg gain in real life. Lescor posted his stats some time ago. Not sure where they are but you should try to find them since they are real life from one of the better OPG traders.

Dud expiration.
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Quote from gehko:

Understood. I was answering the question, and if you read further i state its "audacity" and denounce the idea that realistic slippage can be found in a paper trade system.
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At some point you're going to need to open an account with a "prop" firm and start trading 100 lots. At that point you'll get the feel of how your system performs when the book gets closed and re-opens .10-.20 for or against you. Those are the kinds of experiences that test ones' meddle.

Again, good luck. You're doing the "right" thing. Keep at it and maybe it'll work out. If it does, it could be a gold mine....if it doesn't, you just move on. I've done it hundreds of times myself.

As Larry Livingston once said "And when you know what not to do in order to not lose money, you begin to learn what to do in order to win. You begin to learn!"
 
On ET there is a thread that is an interview with Darren Clifford, a Bright Trader. In that interview he said about OPGs;

Darren: ... If I do get into a position where it is running hard against me, I'll find another stock that is sympathetic to it and I'll buy twice as much to balance out the position and turn a profit.
Dave: Buying the stock that is sympathetic to the one that is ripping against you. Do you have software or some sort of program to instantly locate these candidates?
Darren: I have a quote window on my screen that tells me what all the pairs in a sector are doing. If I do hit something like Citibank, and I am struggling with that open, I can just glance at my screen. If Citibank is up a dollar, JP Morgan is up 50 cents, Bank of America is flat. Well maybe JP Morgan is moving much more sympathetically to Citibank.

Anyone of you doing that pairs trading strategy to get out of bad positions on OPGs? Do you think it's a good idea or you should just forget about it and take the loss?
 
Not doing it on openings, but do it throughout the day. Another way to think about it is to buy the best performer and short the weakest.

In otherwords you are buying relative strength, and shorting relative weakness. Its the easiest way to think about pairs for day trades.

I can tell you from learning the hard way, that shorting strength and buying weakness hoping for a mean reversion can be a long road to profitability and often painful as spreads get wider.

But back to openings. Just remember why you are in the trade. If it doesn't work get out. Openings are designed to provide liquidity to the market which is the specialist job. Hedging a position may buy you more time, but if you are caught on the wrong side, you are better off getting out earlier than later and perhaps getting back in later in the morning if the relative strength holds on.

Just my two cents.
 
Quote from yobo:
. . . caught on the wrong side . . .
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I have been thinking about this one for some time now. What do you think about reversing the position, maybe just far enough to net out the earlier loss?
 
Quote from rwk:

What do you think about reversing the position, maybe just far enough to net out the earlier loss?
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I thought about it but I'm not sure.
1- You have to judge when/where how far is far enough to reverse.
2- It can just stay there.
3- It's a really good idea to get involved in revenge trading and pilling up on the wrong side.
With the pairs you have the "beta" hedged at least and count on the "alpha" to net a profit. It can still go against you if the stock is very strong compared to it's paired one but I would be more confident doubling on a pair (with an analysis of the proper indicators) than reversing on a single stock.
Look at this example.
 

Attachments

Quote from total_keops:
. . .
1- You have to judge when/where how far is far enough to reverse.
2- It can just stay there.
3- It's a really good idea to get involved in revenge trading and pilling up on the wrong side.
With the pairs you have the "beta" hedged at least and count on the "alpha" to net a profit. It can still go against you if the stock is very strong compared to it's paired one but I would be more confident doubling on a pair (with an analysis of the proper indicators) than reversing on a single stock. . .
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What got me to thinking about reversing is how quickly, and how far, the market sometimes runs against me. I am using automation, and the the reversal would be done very quickly, probably with some restriction on how fast the price needs to change before I reverse. I would only do one reversal. Unfortunately, it sounds kind of complicated, and I like keeping things simple.

total_keops, do you routinely trade Opening Orders (OO) with correlated pairs? If so, can you tells us more about how you do that? Thanks.

[rwk]
 
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