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Fred,
I sure don't doubt that you can execute during the closing seconds of any
bell. I've been "wired" into a floor broker and I have still ended up on
the wrong side of the signal (sometimes the closes "shake out" at shocking
levels...the old "imbalance of orders" thing). I've found openings to be
much more "orderly". Some mean reversion oscillatory approaches benefit
from positive slippage...so, the opening of the next day is usually a better
price than the close of today (for those types of systems).
The more piles you trade and the more diversified you are among those
piles...the more execution becomes an issue. If anyone feels comfortable
executing on the close, they should certainly do it. I've danced this
dangerous edge in many successful approaches. Lot's of pressure, you must
be there with your finger on the trigger, you must make the right decision
in a short period of time and most importantly, your action needs to echo
the signal. If the close is not what you thought it was going to be...then
you've compromised your system.
Thanks for stimulating ideas.
Take care,
Steve
----- Original Message -----
From: <fctonetti@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, February 21, 2003 2:41 PM
Subject: [amibroker] Re: Same day signals
> I don't trade stocks or etf's for that matter because the DD's on any
> system I've ever written or seen or just TOO big for my stomach, but
> QQQ trades for a loooooong while after NDX is finished for the day.
>
> As for the mechanics of trade executions with what I do trade, last
> time to trade is 4:00 PM eastern and I NEVER have trouble getting
> trades filled with < 10 seconds to go.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
> wrote:
> > Fred sez:
> > Yes, see the settings, this is how the system is set up and PLEASE
> > don't tell me it's not possible especially with QQQ when the
> driving
> > datastream is NDX.
> >
> > Fred,
> >
> > One last point about any system that trades the same day the signal
> is created. Folks should be aware that: yes, one can trade the QQQ's
> while monitoring the NDX (or anything that calls for entry on the
> close of the day the signal is created). However, this can cause a
> huge execution problem:
> >
> > If your formula is hovering at or near a trigger level and you
> enter a trade before the actual close (because you must enter the
> trade before the close or you don't "get" the close)...you run the
> risk of being on the wrong side of the trade (due to the "action" in
> the closing minutes).
> >
> > Am I missing something about your executions?
> >
> > Take care,
> >
> > Steve
>
>
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