8 fills / 1000 shares each 8 shorts / +210.00 - .55 / + .95 % only stinker was ati...-110.00... ati has been uninvited to the party... for whats it's worth ...please post your questions about how this works or my style of trading on the openings so that every one can benifit from the disscussions... i've been getting a lot of PMs lately... thanks...
I've been exploring the journals and was hoping to clarify a few things to see if i understand the core concepts. For this morning I had the FV = +4.90, the S&P from yesterdays close at 1277.93 and the Futures at 1286.75. I therefore took those numbers and added $4.90 to $1277.93 ($1282.83) and subtracted from $1286.75 to get a difference of $3.92. I then took the $3.92 and divided that into the $1277.93 to come up with an adjustment of .003% for stocks this morning. Using AA as an example, I had a closing price of $28.98 so the target starting price would have been $28.98 + .003% or $29.07. From there I need to add the bands above and below. A few quetsions... 1. Am I doing the core caluation right and do I have numbers that otherwise match your numbers for today (1/19/06). 2. Once we get to the bands there seems to be some difference in how or whether people apply volitility or not. Can you comment on how (if at all) you use the stock beta. 3. Finally, if I'm just starting what do you think is the best way from me to build an initial list. I can obviously see some of the stocks you guys are trading but I wasn't sure if there was a "best" profile for a stock in this system. Thanks for any input or guidance. Mike
I have one. How do you decide how you skew your envelopes and have you compared the results to what you'd get with the same envelope on both sides? I always use the same envelope on both sides and am usually pretty well balanced long and short. To me skewing envelopes equates to guessing what the market will do after the open (having a bias). I'd like to hear why you do it that way. Corey
You've got the calculation correct. One thing is to make sure you are using nyse-only data for your closing prices. Most data vendors let you specify the source of the quote. If not you might get screwy ecn prints that will throw your calculations off. I apply the beta # to the multiplier (the .003% in your example). So it would be close * (multiplier * beta) + close. I'd recommend starting with a list culled from the Dow 30, trading no more than 200 shares until you have it down solidly. Keeping good stats is key also.
OK, back in the office....only 3 fills today (bunch of earnings that I cancelled...probably "too chicken"). All profitable, but small. +$350. Month to date +$3500 approx for 10 trading days. I'm getting a new, revised copy of the program....hope to double the number of stocks (to 90) by end of month. Back at ya tomorrow. Don
hey for a while there i thought every body went mute... if this question is directed to me then here is my logic... i take the amount of net change just prior to the nyse open of the esh6 and divide that by last nights regular trading hours close... this gives me the amount plus or minus that i add or subtract from my base envelope...currently - / + .75%... i tried equal skew but it did not work as well.... i do this as the index arb traders only care where the futures are in relation to the opening indications on the nyse stocks... my universe of stocks is the s&p 100 (oex) as this correlates directly to the cash spread value of the oex / spx...once the arbs kick in they push things back to fair value... i use a straight percentage and no beta in my calculations...most of the time it works...but once in a while i get killed... i read all the news i can and block to excess...it took me a while to figure this out but it makes so i that can play another day... very stupid simple...it shouldn't work but it does...
5 fills / 1000 each 3 short / 2 long +615.00 -.8 / + .7 % i can't belive how badly i traded out of my positions today... i put a much too tight stop in gs and basically sold the low of the day only to watch it rally another 1.80... i got a long fill in leh and traded out on the first weakness...only to see that rally another 1.40... max profit is right now @ 4450.00 09:19 cst... even though i made money i still feel rotten... looks like time to throw in the towel for today...
As long as that's not a "Terrible Towel" You've still been doing great; keep it up. One small long loser for me today, -40. Hope the Steelers luck doesn't run out in Denver; I want to go to Detroit (I think that's the only time I've ever said that )