duke56468
683 posts
msg #101334
- Ignore duke56468 |
6/23/2011 11:19:17 PM
Kevin ....Thanks for your work and especially this filter. The exit seems to be its strength. Are you trading this in real $ yet. Since I have been paper trading this I notice if I could buy the close of the trigger day instead of the open the next day I would have been better off, but not as easy to do. Also in my backtest from 12/31/2009 to 4/1/2011 a hold period of 10 days was more profitable than a hold of 20 days $27,703 vs. $26,200 and a hold of 5 days was even more profitable at $28,062
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knightvictor
7 posts
msg #101344
- Ignore knightvictor |
6/24/2011 10:25:47 PM
Hi Kevin,
Great work on this filter!
In my paper trades I notice this system only works when you have a large equity to buy like $5,000 of shares per trade. If a person was buying less than $2,500 of shares per trade it seems like the profit wouldn't add up because the commissions offset a lot of the profit on small quantity trades.
Great work though Kevin!
:)
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saico
59 posts
msg #101350
- Ignore saico
modified |
6/25/2011 10:24:01 AM
knightvictor,
at Interactive Brokers I pay around 80 Cents per 100 shares per side. Do the math and you will see it works even with 2000 USD trading size very nicely.
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knightvictor
7 posts
msg #101352
- Ignore knightvictor
modified |
6/25/2011 7:49:11 PM
Hi Saico,
Thanks for the info.
After looking into Interactive Brokers it looks like there is a $10,000 account minimum to open an account plus a lot of other hidden fees that really add up.
I did some more research on other brokers and here is what I found.
OptionHouse = $3 trades with a $1000 account minimum + 100 free trades with FREE100 promo and $3000 deposit
J2Trade.com = $2.50 with 2,500 minimum
SogoTrade - $3 or $3 with 1/2% fee on principle for stocks under $1
TradeKing = $5 with no acc minimum
ChoiceTrade = $5 with no acc minimum
Zecco.com = $5 with no acc minimum but stocks less than $1 have a $7 commission.
Hope this helps.
-Dan
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duke56468
683 posts
msg #101374
- Ignore duke56468 |
6/27/2011 10:27:24 PM
Kevin or anyone..... This filter produces some stocks during the day that are not there at the end of the day. If a person entered these stocks right then with the same exit criteria, can you see any reason they should not play out the same as the stocks that show up at the end of the day?
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Kevin_in_GA
4,599 posts
msg #101378
- Ignore Kevin_in_GA |
6/27/2011 10:55:06 PM
In theory, yes. However, the backtesting was all done with end-of-day data, so I can't actually confirm that this has been historically true.
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duke56468
683 posts
msg #101379
- Ignore duke56468 |
6/28/2011 9:55:41 AM
Thanks for the response Kevin... The same holds true for the exits,during the day some of the exits are hit, but are gone by the end of the day.
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saico
59 posts
msg #101380
- Ignore saico |
6/28/2011 11:13:10 AM
Actually I dont know of any other hidden fees at IB except of a tiny fee for data, if you generate less than 10 USD in commissions per month. Beside of that there are no fees. The 10k are only to open an account. After that initial deposit you're allowed to withdraw 5k, or 6k and use the remaining for trading. However I think after the account falls below 2k it becomes subject to close, but not sure with that.
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Kevin_in_GA
4,599 posts
msg #101383
- Ignore Kevin_in_GA |
6/28/2011 1:42:13 PM
Intraday trades are typical for pairs trading (this is really just half of a pair trade system, with the other stock being SPY). Automation of this type of system to trade intraday would certainly be possible.
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shainadir
25 posts
msg #101385
- Ignore shainadir |
6/28/2011 2:56:51 PM
Has anyone considered using SDS as a hedge for this system? For each position entered, use a 1/2 position of SDS. I would only use this hedge under certain conditions that signaled a downtrend like a SPY 13/26 EMA crossover.
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