I wrote an algorithm that will give you a stock that will make .5% the next day...BUT

One of my favorite texts on developing trading systems is Design, Testing and Optimization of Trading Systems by Robert Pardo

There is now a second edition which I have not read. Second Edition

 

Assuming you don't have errors in your analysis, that you factor in spread and commissions:

When the stock doesn't hit the target, what is the distribution of the error?

If it is gaussian, you might figure out how to turn it into a profitable trading strategy (hint: forget stop losses)

If it has fat tails you need to keep working on it.

Ninna

 

"I said I can accurately pick above 70% of the time a stock at end of day today which will at some point in time the next day gain 0.5%"

"The algorithm is correct in picking a stock 70+ percent of the time."

"I need the minute by minute data to determine whether or not this is feasible."

Your statements above imply that after applying your algorithm in minute data you may not be 70% correct in your picks because they may hit stop before target.

So you do not know anything yet. 70% is hope, not fact.

 

No shit, I have stated a couple of times I don't know the complete intraday picture. Hence the reason I asked for advice...Do you have a point or are you being redundant for the sake of being redundant and annoying?

 

imo-0.5% in either direction is way too small..in one system i currently trade the stop is 10%. yes, 10% against me INTRADAY. because smaller stop will be hit extremely often. 0.5%..spread some times greater than this..i do have subscription with IQ feed and i was able to get historical tick data for about 30 a month

 

Well, if you look back at your opening post you did say that you have "approximately" one minute data, did you not?

So that would imply that you ARE looking at intraday data.

So while his question may be annoying, it wasn't redundant.

And...you don't need tick by tick data. One minute is fine. Even 5 min is fine, because it will serve the purpose of letting you know when and if a stop or target was hit intraday.

 

Looks like an interesting read, will check it out

 

Yes, i should have clarified that I am not using this for analysis as I dont have enough data and the data I do have is very unreliable. I would eventually like to use data from another source such as IQfeed or just purchase the data outright.

Thanks

 

Table of my data.

1st column is the day I projected. 2nd column is the day I projected it would gain at least 0.5%. 3rd column is the most percent gain at its highest point that day, 4th column is the lowest point.

this was for the period of May1 - Auguest 20th. Note there are 5 more negatives that i could not get into screenshot. I have ordered by highest gain.

 

You don't need to get very granular when looking at data for a portfolio of equities. Your objective should be to see if there are general conditions when it appears your odds of profiting are there...and to define what those are.

Trading offices are littered with the bodies of folks who crushed the hell out of data and thought they'd found the holy grail, but failed to really understand the HOW and WHY of why things were happening in the context of the overall market environment.

So...you are at the first stage of a very multi-stage quest. It is a long path.