Basket Trading...

Discussion in 'Strategy Development' started by trend_guy, Apr 23, 2003.

  1. Over the last few years I have discovered and tested what I call "Basket Trading."

    Basically, buying or selling a group of stocks in one button push.

    Right from the start this strategy has proved very successful and has gotten even more successful with refinement.

    I have started a group at MSN for people that are interested in this style of trading because I feel the potential of this strategy is huge and I believe many institutions already trade this way.

    In the past, technology and cost issues made it difficult but recently with IB (Interactive Brokers, which I discovered on this board) it has become very easy.

    For all those interested in discussing and helping me to improve on this strategy I would very much like to share thoughts and ideas, both on elite trader and on my group site. I opened the MSN group site so that all the work and improvement can be documented and read by everyone.

    Thanks all and good trading,
  2. What order type do you use to execute your baskets? Limit's, Direct +, Markets, peg orders, etc?

    Also what is your average hold period? Do you often go long one basket of stocks and then short another basket right after?

    Interested in learning more.

  3. 1) I use market orders when I execute the basket. Generally I only trade stocks with >100K average daily volume so slippage isn't usually a problem, plus I am trading intermediate term moves (few days to sometimes a few months, usually somewhere in between, when is goes a few months I am generally making a lot of profit) so 5-10 cents worst case is a small factor.

    2) Average hold is few days to few months.

    3) Mostly I have been going long because I have a great method of picking long stocks when the market gives me a signal to go long. I am still working on a better way to take advantage of the short side.
  4. The current list of leaders is posted under CURRENT BASKET SPREADSHEET on the group site.