This strategy really does require immediate executions. Once in the trade, you simply watch the "tape" to see an exit point in most cases (stock, premium/discount on S&P, all the usual stuff). When you get multiple fills (making it more difficult to watch all of them), then you put in a "winning exit" vs. a "stop loss" in case the stock does the "slingshot" move (opens down, pops up immediately, then drops right back....pretty common) Mental stops are always better than ordered stops.
In addition to adjusting for beta on the individual stocks, I also take into consideration the actual amount up or down the market is opening. When I see (like today) that the market is opening about 5 S&P points above FV, then I will widen the envelope. 1.0 is the highest I ever go, but I will probably use .9 today. Since beta numbers are historical in nature, you might want to determine a recent beta (30 days or so) in this calculation. Remember, before getting too bogged down in the numbers, the overall concept is what is important...we want to be filled on a "manageable" number of stocks each day. Throw out the consistent losers, adjust your envelope in an attempt to get 3 - 6 fills (in my case).
Today was beautiful have to admit that Don for the OO. I use a much wider envelope than .9 and more stocks got 3 fills that are textbook. Robert Tharp
5 fills, 4 winners (went with gm despite the upgrade) +23 -27 +12 +12 +33 (all net after comission) total +53 cents
Today's action for ya: 27 orders, 5 fills, 4 winners, 1 looser 1 long and 4 shorts, actually lost on the long position, logic though since the spoos went down. Ok, net 400 bucks eventually.
Where is a source for official NYSE historical opening prices? I use tradestation 6 for charting and often when there is a delayed open it prints some ecn trades before the stock opens and makes it hard to figure where you would have been filled.
yahoo finance 52.70 nyse.com 53.00 quote.com 53.00 tradestation 6 daily chart 53.00 Now here are the prints off the tick chart 8:30 53.00 15000 shares 8:30 52.70 2000 shares 8:30 52.71 500 shares 8:31 52.85 40000 shares 8:32 52.85 100 shares 8:32 52.85 100 8:33 52.85 100 8:33 52.83 100 8:33 52.83 100 8:36 53.30 300 8:38 53.00 2000 8:38 53.50 300 8:38 54.00 200 8:39 53.05 5000 8:39 53.05 200 8:39 53.05 4800 8:39 53.05 4800 8:39 53.00 1000 8:39 53.00 100 8:40 53.15 10000 8:41 53.25 300 8:41 53.15 1900 8:42 53.10 10000 8:42 53.10 10000 8:42 53.15 500 8:43 53.10 5000 8:43 53.10 2000 8:43 53.10 5000 8:43 53.10 2000 8:43 53.10 4300 8:43 53.10 4300 8:43 53.11 200 8:44 52.20 1000 8:44 53.00 1000 8:44 53.00 1000 8:44 53.00 100 thinking these may be the opening 8:44 53.00 2200 specialist prints? 8:44 53.00 2200 8:44 53.10 2000 8:44 53.10 2000 8:45 53.25 about 70 prints at this price with blocks of 10k, 20k, and 30k and the rest ranging from 100 to 3k. These could also be the opening specialist prints. In fact now I'm thinking they are. Anybody trade the open on MER today? What was the true New York open?