mmaurice
51 posts
msg #104763
- Ignore mmaurice |
2/1/2012 10:09:02 AM
Kevin are you trading this live?
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Kevin_in_GA
4,599 posts
msg #104766
- Ignore Kevin_in_GA |
2/1/2012 1:57:46 PM
Not yet.
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unbias123
9 posts
msg #104776
- Ignore unbias123 |
2/1/2012 8:57:14 PM
Hi Kevin
Thanks for updating filters.
Performance of both systems need update as well?
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Kevin_in_GA
4,599 posts
msg #104777
- Ignore Kevin_in_GA |
2/1/2012 9:07:14 PM
No - the performance graphs and stats already incorporate this criterion.
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unbias123
9 posts
msg #104779
- Ignore unbias123 |
2/2/2012 6:32:24 AM
Thanks for reply
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Kevin_in_GA
4,599 posts
msg #104829
- Ignore Kevin_in_GA
modified |
2/4/2012 8:32:10 PM
Sharedlists updated for week ending 2/3/2012.
Gap Down:
Gap Up:
The trigger column will be correct after the open on Monday.
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Kevin_in_GA
4,599 posts
msg #104835
- Ignore Kevin_in_GA |
2/5/2012 10:13:42 PM
System performance for last week:
Gap Up:
CYTX - closed gap, up 2.88%
TLB - closed gap, up 4.64%
MNTA - did not close gap, down 6.09%
Net: +0.45%
Gap Down:
CPHD - closed gap, up 3.88%
XTXI - closed gap, up 2.11%
Net: +3.00%
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saico
59 posts
msg #104845
- Ignore saico |
2/6/2012 2:31:37 PM
Kevin,
in live trading how do you control the number of fills, since you mentioned there is a maximum number of open positions?
Do you just close trades right after the open, if you have a higher fill rate?
Thanks
Saico
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Kevin_in_GA
4,599 posts
msg #104849
- Ignore Kevin_in_GA |
2/6/2012 3:28:43 PM
For each system there is a maximum number of fills (5). Today there were only 3 in total:
Gap Down: AREX
Gap Up: PPO (already filled this morning) and TSYS.
In order to trade this live and replicate the system accurately, I think you would need to automate this in TradeStation or NinjaTrader. The system would need to track stocks pre-market (or you can do this yourself) and execute BUY orders at the open based on open price. Then set a limit order at the previous friday close and wait.
That's why I am slowly trying to learn Ninjascript ...
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saico
59 posts
msg #104851
- Ignore saico
modified |
2/6/2012 4:46:20 PM
Its easy with IB's OPG orders. You just have to set an OPG Buy/Sell Limit price. If the opening print is within that limit you get a fill. If not the order gets cancelled. Another nice tool there is the Basket Trader. You'd copy the trade parameters from the SF excel sheet into the basket trader excel sheet and all required orders should be ready and done within a couple minutes.
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