Cancelled a few...no fills Rhino - here are some opening prices for today AA 37.94 AIG 50.86 AXP 45.42 BA 84.48 BAC 42.38 C 24.70 CAT 72.65 CVX 87.90 DD 46.93 DIS 32.84 DOW 38.70 GE 33.87
I'm not familiar with OpenTick, but check time and sales filtered for NYSE if you can do it. The opening print will be obvious (a big honking size print around 9:30). I've never paid any attention to premarket trading unless I'm trying to get a feel for whether a particular news item is having any effect. Even then it's tough to gauge where the stock will open. No fills yesterday or today. Looks like chiguy took 'em all.
just to confirm, assuming the prices eastside posted are the real NYSE official openings prices, opentick does indeed seem to provide the correct prices when filtered for NYSE only. thanks for the prices eastside. now just the simple matter of downloading a few months of data and getting to work on the testing. lol.
It's a tough strategy to backtest because there is a great deal of discretion that goes into dealing with news.
I second lescor's comment. You are far better off forward testing on small size and tweaking as you go. News pretty makes automated backtesting very difficult.
cancelled a few & got no fills also swapped out TYC again (too thin since split) & put back PG (good performer)
lescor / shreddog thanks for the replies. i completely agree that back-testing for accurate results is difficult. however, I would like to see that the basic strategy has a simple edge. i.e. trade all stocks with a [1%] envelope to fair value and hold for [15 mins]. maybe add a simple profit target at [10c] or similar. ideally i would like to see this simple test produce an up-sloping equity curve. wouldn't have to be much, but some sort of up-slope. then I would hopefully improve results with filters for news etc. i know this is a very simplistic approach but, if the entry really has any edge, it should play out. generally the favouable news events should average out the unfavouable news events over time. the time-out exit should have no positive or negative edge. just to emphasise, I do not intend to trade OPGs systematically. i just think that a systematic approach should uncover some edge. if it's a case of strong tape-reading skills or other trading skills being needed to show any edge at all, then that's fine. but if that's the case, why bother using OPGs as the entry at all? any entry will do as tape reading skills are making you all the money. hopefully it's a case of "the OPG entry gives you a small edge. trading skills etc enhance that edge". think you have said something similar before lescor and it is what I am looking for. any thoughts or comments on this very welcome. i know most of the regular posters on the thread are making money... BTW - inital tests similar to the above on the Dow 30 for Oct07-Jan08 show that Jan has been a good month. Prior to late Dec, returns we much lower (pretty much b/e). does this reflect anyone's experience? cheers