Posted by James_Roe on 21st of Feb 2023 at 04:26 pm
System signals have always been confirmed at the close, I let
you guys know 20 minutes before the close that at least one of the
trades was going long today.
Unfortunately I had problems with tradestation, which happens
on huge volume days, and had to reboot my machine about 5 minutes
after the close.
I realize it's not perfect, and it's why we're developing a
next bar open system, but it is what it is, and is outside of my
control and is a non trivial part of why we stopped providing
options signals in the first place.
James, I am sure you have investigated this option. I am curious
whether the next bar option is similar to the previous bar close
option: that is, 30 minutes before the close. This option might be
ideal even though it might get a bit worse stats. Or the best guess
on the trade 15 minutes before the close. Any comments on this
one?
Posted by James_Roe on 21st of Feb 2023 at 05:38 pm
Next bar open would be with entries on the open of the following
trading day. We're currently finding a mix as to whether or not
performance is better or worse using this approach, for subsequent
entries we're actually generating limit orders, but the initial
entry is just always at the open of the subsequent bar.
Our current approach is the best guess trade 20 - 15 minutes
before the close, with confirmation at the close, the message I put
out at around 3:40 EST saying the STrap would go to the wire was
because the trade was turning off and on every few seconds, price
needed to be below about 399.39, we obviously got there at the
close, but leading into the close it wasn't clear we would.
We've played around some with artificial trading days, ie:
excluding the last 30 minutes or rolling that data into the next
day but performance has been worse than doing next bar open, and it
doesn't address a core complaint of some of our users, ie: having
to be around at the market close to execute trades. I suspect most
swing traders will prefer the next bar open approach, while a
minority of day traders will be annoyed by it.
James, this discussion is informative. My last questions is
regarding swing trades versus simple bounce trades, and I second
your observation on the difference between swing traders and
others. I thought the difference would go in the opposite
direction: i.e., swing traders before the close and all others at
the open. And the signal before the close will play out on the next
day if a trade is a swing trade and not as much if it is a bounce
trade.
Posted by James_Roe on 21st of Feb 2023 at 05:55 pm
I was using the definition of swing trade that I am familiar
with which is, "Swing trading refers to the practice of trying to
profit from market swings of a minimum of 1 day and as long as
several weeks."
Which is roughly the time frames most of our systems trade
for. I guess you could classify these as bounce trades as well, but
I suspect our options traders are more likely to be closely
managing their positions than the majority of people just waiting
on email alerts. They're the ones who want to know at the exact
close if a system has signaled, which is impractical from the
administrative side.
James, we mean the same thing. By bounce trades I mean very
short trades of one to 3 days. As such, the price is not likely to
go far on these trades. Thank you very much for your input!
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System signals have always been
systems update
Posted by James_Roe on 21st of Feb 2023 at 04:26 pm
System signals have always been confirmed at the close, I let you guys know 20 minutes before the close that at least one of the trades was going long today.
Unfortunately I had problems with tradestation, which happens on huge volume days, and had to reboot my machine about 5 minutes after the close.
I realize it's not perfect, and it's why we're developing a next bar open system, but it is what it is, and is outside of my control and is a non trivial part of why we stopped providing options signals in the first place.
James, I am sure you
Posted by junkie on 21st of Feb 2023 at 05:13 pm
James, I am sure you have investigated this option. I am curious whether the next bar option is similar to the previous bar close option: that is, 30 minutes before the close. This option might be ideal even though it might get a bit worse stats. Or the best guess on the trade 15 minutes before the close. Any comments on this one?
Next bar open would be
Posted by James_Roe on 21st of Feb 2023 at 05:38 pm
Next bar open would be with entries on the open of the following trading day. We're currently finding a mix as to whether or not performance is better or worse using this approach, for subsequent entries we're actually generating limit orders, but the initial entry is just always at the open of the subsequent bar.
Our current approach is the best guess trade 20 - 15 minutes before the close, with confirmation at the close, the message I put out at around 3:40 EST saying the STrap would go to the wire was because the trade was turning off and on every few seconds, price needed to be below about 399.39, we obviously got there at the close, but leading into the close it wasn't clear we would.
We've played around some with artificial trading days, ie: excluding the last 30 minutes or rolling that data into the next day but performance has been worse than doing next bar open, and it doesn't address a core complaint of some of our users, ie: having to be around at the market close to execute trades. I suspect most swing traders will prefer the next bar open approach, while a minority of day traders will be annoyed by it.
James, this discussion is informative.
Posted by junkie on 21st of Feb 2023 at 05:50 pm
James, this discussion is informative. My last questions is regarding swing trades versus simple bounce trades, and I second your observation on the difference between swing traders and others. I thought the difference would go in the opposite direction: i.e., swing traders before the close and all others at the open. And the signal before the close will play out on the next day if a trade is a swing trade and not as much if it is a bounce trade.
I was using the definition
Posted by James_Roe on 21st of Feb 2023 at 05:55 pm
I was using the definition of swing trade that I am familiar with which is, "Swing trading refers to the practice of trying to profit from market swings of a minimum of 1 day and as long as several weeks."
Which is roughly the time frames most of our systems trade for. I guess you could classify these as bounce trades as well, but I suspect our options traders are more likely to be closely managing their positions than the majority of people just waiting on email alerts. They're the ones who want to know at the exact close if a system has signaled, which is impractical from the administrative side.
https://www.fidelity.com/learning-center/trading-investing/trading/swing-trading-setups
fidelity.com
What Is Swing Trading? - Fidelity
Swing trading refers to the practice of trying to profit from market swings of a minimum of one day and as long as several weeks. Learn how you can utilize swing trading in your investment strategies.
James, we mean the same
Posted by junkie on 21st of Feb 2023 at 06:04 pm
James, we mean the same thing. By bounce trades I mean very short trades of one to 3 days. As such, the price is not likely to go far on these trades. Thank you very much for your input!