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Hi Mark,
Very interesting approach. How do you limit the volume like how you
do? I am aware you can limit by % of one bar's volume, but not sure
if you could do like 1% of 50 period EMA of volume.
Regards,
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, "Mark H" <amibroker@xxx> wrote:
>
> Yes. My system buys/sells at open since I still have a day job. The
results have been very close to those of backtest.
> I think it contribute to two factors: I use IB which in most cases
can get you the exact open prices; my system limits the shares to buy
to 1% of 50 period EMA of volume.
>
> ----- Original Message -----
> From: intermilan04
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, August 15, 2006 2:30 AM
> Subject: [amibroker] Buying at open -- In Real Life
>
>
> Hi all,
>
> I'm just curious if anyone here are buying and selling securities at
> the open with market orders, i.e. orders are placed BEFORE MARKET OPEN
> and they get executed as soon as the market opens.
>
> I have noticed that buying at the open might help you get cheap
> shares, but the reverse is also true...you might sell your shares at
> really bad bids.
>
> The reason why I'm bringing it up is, my system on Amibroker is
> designed to trade at the open. And strangely enough, my system isn't
> doing too well ever since I started using it...perhaps it's because
> I'm getting bad bids and asks by placing market orders overnight?
>
> I'm not quite sure how the first trade occurs, in theory I sell to the
> highest bidder but with low liquidity of pre-market trading, what if
> the highest bid is absurdly low?
>
> Any thoughts on this is greatly appreciated.
>
> Regards,
>
> intermilan04
>
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