7 fills / 5500 shares 4 long / 3 short / + 245.00 ........................... backtesting on this strategy is a non entity... just use small orders on a small group of stocks and work from there... this works due to singular events on the opening...the exact thing you would filter out in backtesting... just my 2 cents....
good news gives you a small pop.... bad news beats you to death...they do not balance out... little wins...very, and i mean very painfull loses... trust me i know...
thanks for the feedback chiguy irrespective of my broader back-testing findings, i will most likely try forward testing the strategy in small size. my office is negotiating equity trading comms etc now (we are primarily a futures house) and, once sorted we'll get the show on the road. i'll let you all know how things progress. i enjoy reading this thread.
Ug. Unfortunately my wins today came on small positions and I was a bit too patient with the losers. 5 long, 2 wins 3 losses, -948, 3300 shares On a three week slump with this strategy. Maybe March will bring better results.