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One thing to consider versus Buying At Open is to buy about 5-30
minutes after opening. This of course requires you to be present at
this time or use automation if you still have a day job. Depending
on the stock, some settle down within the first few minutes and have
much better true liquidity in terms of getting prices closer to the
market average.
When I have tested using AmiBroker I have moved away from Buy at Open
to buying no earlier than 9:35 am. This gives the market 5 minutes
to settle and go thru its morning gyrations. Of course, you can miss
some big moves with this approach. To find out the potential size
of the profit gain or loss, backtest at both open (9:30 am) and a few
minutes later. If you don't see much difference in the backtest
results then there is definitely a strong gain to be made by moving
away from a Buy at Open.
Dave
--- In amibroker@xxxxxxxxxxxxxxx, "intermilan04" <intermilan04@xxx>
wrote:
>
> Hi,
>
> I have that statement placed in my system. I download quotes at
> night, scan for signals and make trades next morning.
>
> What's been bothering me is, my system which has worked marvelously
> the past 10-20 years is just not working nearly as good this year.
>
> My strategy is buying on a dip, i.e. pick up stocks that got shot
down
> recently. However, I've noticed that nowadays, stocks that got shot
> down fall even further because
>
> 1. More shorts jump on, and shorts don't cover fast
> 2. Longs dump shares, some willingly some unwillingly due to margin
calls.
>
> Stock prices usually bounce back after a while, but I don't know, I
> guess my timing of entry has been off lately because of this new
trend
> I just described. Hope it will change soon.
>
> intermilan04
>
> --- In amibroker@xxxxxxxxxxxxxxx, "jacklweinberg" <weinberg@> wrote:
> >
> > You might want to ensure a delay (i.e. rade at tomorrow's open)
with
> > the following statement:
> > SetTradeDelays( 1, 1, 1, 1 );
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@> wrote:
> > >
> > > Are you sure you haven't "look into the future" with one of
your
> > statements
> > > e.g. buy on open with the price of low being known
> > >
> > > _____
> > >
> > > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
> > On Behalf
> > > Of intermilan04
> > > Sent: Tuesday, 15 August 2006 4:31 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > 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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