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Steve,
You are entitled to your opinion but I do this EVERY DAY.
As I said however, I do NOT trade stocks or ETF's, with MF's this is
a non issue as the trade is either recorded before 4:00 or it isn't.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Karnish" <kernish@xxxx>
wrote:
> 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@xxxx>
> 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
> >
> >
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> >
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
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