Organized Systems Sharing
- Thread starter rlb21079
- Start date
Man,
I am going to try and do some programming tonight to test the peers trading. Your summation looks generally correct to me, but I don't understand a couple things you might be able to clear up.
Lowest level? SP Sector Gics?
Just to be sure, in my own words:
1. Stocks with close above $10, avg 5-day volume greater than 250,000
2&3. Okay
4. set all stocks in the two baskets at 100 at t-x.
5. calculate the current normalised average price in basket a
6. calculate the current normalised average price in basket b
-Let's say A1=14.50, A2=25.6; B1=50.2, B2=12.4
What would steps 4-6 do? I realize in general that you are trying to standardize the groups for comparison.
8. if this difference exceeds p %...
-Any suggestions for the level p%? or would one optimize to attain the greatest value?
I am going to try and do some programming tonight to test the peers trading. Your summation looks generally correct to me, but I don't understand a couple things you might be able to clear up.
Lowest level? SP Sector Gics?
Just to be sure, in my own words:
1. Stocks with close above $10, avg 5-day volume greater than 250,000
2&3. Okay
4. set all stocks in the two baskets at 100 at t-x.
5. calculate the current normalised average price in basket a
6. calculate the current normalised average price in basket b
-Let's say A1=14.50, A2=25.6; B1=50.2, B2=12.4
What would steps 4-6 do? I realize in general that you are trying to standardize the groups for comparison.
8. if this difference exceeds p %...
-Any suggestions for the level p%? or would one optimize to attain the greatest value?
I'm flattered you're going to all this effort, however: why are you bothering, when you can see how clearly useless this approach has been for me the last two days?
The main thing was to identify that everything was going to drop like a rock from 10:00 am monday through today. I failed at that.
For what it's worth (if anything), QLGC which I got into yesterday, seems to have tanked less than the other 5 in my group today.
Oh-wha-ta-go-siam.
Well, they say patience is a virtue. It may be that the only virtue of my approach has been patience.
The main thing was to identify that everything was going to drop like a rock from 10:00 am monday through today. I failed at that.
For what it's worth (if anything), QLGC which I got into yesterday, seems to have tanked less than the other 5 in my group today.
Oh-wha-ta-go-siam.
Well, they say patience is a virtue. It may be that the only virtue of my approach has been patience.
As part of making the System Swap idea a little better known around other message boards, I was pointed to
http://groups.yahoo.com/group/tscoop/
which is the same idea as what this group is doing but with a few caveats. Looks like it has the potential to do nice things for intermediate to advanced traders.
1. Only open to Tradestation people since we swap code(not an ego thing just this was formed with Tradestation sharing in mind);
2. Currently only interested in equities but I am sure this will evolve with time;
3. Requires a "substantial" submission of a strategy to get in the door.
Check it out if interested. It is free other than the submission of the strategy.
Eyecheck
http://groups.yahoo.com/group/tscoop/
which is the same idea as what this group is doing but with a few caveats. Looks like it has the potential to do nice things for intermediate to advanced traders.
1. Only open to Tradestation people since we swap code(not an ego thing just this was formed with Tradestation sharing in mind);
2. Currently only interested in equities but I am sure this will evolve with time;
3. Requires a "substantial" submission of a strategy to get in the door.
Check it out if interested. It is free other than the submission of the strategy.
Eyecheck
Wednesday: SONS, YHOO
Thursday: DJ, JNPR
Friday: GE
Thursday: DJ, JNPR
Friday: GE
Tradestation stole our idea! Bastards.
Unfortunately, I use AmiBroker so I can't join. I'll be curious to know how they do.
Hi a,
Nothing like the purgative feeling of self-deprecation, ehh? Seriously though, I will dismiss your idea only when I can prove it doesn't work. So, I'll do some testing and see where it takes me. If your system then fails I will promptly print your posts and system, eat five gallons of chili and use your thoughts to wipe my...
Seriously though Hi a, what's you exit strategy?
Unfortunately, I use AmiBroker so I can't join. I'll be curious to know how they do.Hi a,
Nothing like the purgative feeling of self-deprecation, ehh? Seriously though, I will dismiss your idea only when I can prove it doesn't work. So, I'll do some testing and see where it takes me. If your system then fails I will promptly print your posts and system, eat five gallons of chili and use your thoughts to wipe my...
Seriously though Hi a, what's you exit strategy?
Man, I think I have figured out a bit more of what you posted:
Step 4 means that @ t-x, A1=100, A2=100, B1=100, B3=100
If at t-(x+1) A1=15, A2=25; B1=51.2, B2=13
Then when normalized at t-(x+1) A1=100.50 or 100.03?
I would guess the latter, but am thinking there might be yet a better way.
Step 4 means that @ t-x, A1=100, A2=100, B1=100, B3=100
If at t-(x+1) A1=15, A2=25; B1=51.2, B2=13
Then when normalized at t-(x+1) A1=100.50 or 100.03?
I would guess the latter, but am thinking there might be yet a better way.
My exit strategy is to sit around scratching my head for a day, a week, even a month, waiting for this crap I bought to at least go back to what I paid for it. Patience, my main virtue.
BRCD which I bought two contracts of two weeks ago, didn't do too badly today at all, compared to the other junk I bought.
While I'm scratching my head for a day, week, or month, I'll be saying the word "crap" just about every time I look at my trading pages.
I got a phone call today from the guy who sent me that list of trading systems from striker.com. He seemed nice, wasn't pushy, and explained whatever I asked him.
BRCD which I bought two contracts of two weeks ago, didn't do too badly today at all, compared to the other junk I bought.
While I'm scratching my head for a day, week, or month, I'll be saying the word "crap" just about every time I look at my trading pages.
I got a phone call today from the guy who sent me that list of trading systems from striker.com. He seemed nice, wasn't pushy, and explained whatever I asked him.
Hi a,
I began by trying what Man proposed. At first I picked a random sector and began compiling a watchlist based on the >$10, >250,000 share criteria. After that I began realizing how different the charts appeared.
I decided to take a step back and evaluate how the stocks were being selected b/f trying to test the "system."
I created a new watchlist with only your big 6, and then created a composite called "HI6." Then I ran some correlation tests comparing each of the six at different dates over different periods of time against the composite. All data is based on EOD closing prices. I do not yet have access to intraday data.
The attached file contains some of my results. The tests are pretty easy to run now that it is set up so let me know if you'd like something further.
I began by trying what Man proposed. At first I picked a random sector and began compiling a watchlist based on the >$10, >250,000 share criteria. After that I began realizing how different the charts appeared.
I decided to take a step back and evaluate how the stocks were being selected b/f trying to test the "system."
I created a new watchlist with only your big 6, and then created a composite called "HI6." Then I ran some correlation tests comparing each of the six at different dates over different periods of time against the composite. All data is based on EOD closing prices. I do not yet have access to intraday data.
The attached file contains some of my results. The tests are pretty easy to run now that it is set up so let me know if you'd like something further.