Trading with only EOD data?

Discussion in 'Data Sets and Feeds' started by pvTrader, Sep 23, 2005.

  1. pvTrader

    pvTrader

    Does anyone trade here trade only with EOD data?
    The criteria is that you make all your decisions, submit entry/stoploss/close orders outside of market hours.

    For those of you who do this, would you please elaborate a bit on your style? How long do you end up holding trades and what timeframe are you really trading? (Days/Weeks/Months?). What style works best for EOD-only trading? (Trend/Swing?).

    My dream is to only make trading decisions outside of market hours, submit orders at night, go about my business the next day, until checking results again at night. Does anyone do this successfully? Or is intraday decisions (even if limited) truly necessary in the current markets to be super successful?

    Thanks!
     
  2. I do just this. Check out Spydertraders journal. He talks about holding down a job to build trading account while using EOD data only.
     
  3. pvTrader

    pvTrader

    Thanks for the reply.
    I thought he monitored volume to enter intraday?
     
  4. Get a hold of Doublea. He trades EOD only on the ES contract.
     
  5. pvTrader

    pvTrader

    Thanks. I'll check out doublea's journal.
     
  6. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    Yes it is possible to Trade EOD and make money.

    If you want to trade yourself then you need system which haves its' orders know the night before.

    1) System which enter or exit on the next open
    2) System which enter or exit on a stop based on todays close information for example Buy at Close+.2*range stop
    or Buy Highest(High,20) stop

    This will work for both Futures and stocks.

    If you want to use a system assist broker for commodities then you can have your system enter at the next days open +/- some offset as long as the offset is know the night before.
    Buy at nextopen+.3*range stop for example.

    Yes , I know that sometimes based on how the open is reported you can run into problems but this is only 4-5 times a year, and a good system assist broker can handle this without too many problems.

    The big problem is that if you are developing a system based on end of day data your backtest could be too optimistic.

    On example is that TradeStation assumes if you touch a limit order the order got filled. In TradersStudio we have a switch that either makes it work like TradeStation or requires prices to trade though the limit by 1 tick. You would not believe that in many cases requiring prices to trade though the limit which is much more realistic , reduces profits versus your ( versus just having to touch) TradeStation results by 20% to 30%!.

    Other problems with EOD data is it is cause by allowing protective stops on the day of entry or updating trailing stops and using that updated value on the day they were set. You would not believe how many clients showed me great TradeStation systems because they where using Trailing stops, which could not be used on EOD data in real life.

    Here is a link which discusses some of the issue with EOD data between TradeStation and TradersStudio

    http://tradersstudio.com/Default.aspx?tabid=130

    EOD data can also be used for quick and dirty testing of concepts, as long as you only test the long and short side separately and don't use protective stops, this is for quick and dirty pattern testing. If you have something then take the time to retest on intra-day data.

    If you keep these things in mind , you can be successful trading end of day.
     
  7. fan27

    fan27

    I trade 5 EOD Automated trading systems. However, I make my trades about 7 seconds before the close to simulate a MOC order (for NQ and ES). Some trades are held for one day, some are held longer.

    fan27
     
  8. Good point, Murray, about requiring a trade through your price to record a trade when backtesting. On some occasions (though rare) a stock can even trade through your price and you would not get filled (NASDAQ currently does not have a trade-through rule).