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Hi Brian,
I think it's part of life. This year has been very unstable due to
rising oil prices and Middle East crisis. I am doing what I can to do
well in such a bad market nonetheless. Learning the pros and cons of
opening trading is one way, and I've learned a few things already
thanks to the great people on this forum.
Regards,
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, "brian.z123" <brian.z123@xxx> wrote:
>
> Intermilan004,
>
> Thanks for your post as it raises some interesting trading issues.
>
> 1. 10 ? 20 year trading systems.
>
> I empathize with you that your `tried and tested' system is not
> going so well.
> The market can appear cruel and capricious at times.
> When I was at school I was not a mathematics geek, but, since
> becoming a `trader' I sleep with a book on probability theory under
> my pillow.
>
> If you toss a coin often enough extreme sequences will occur.
> In fact, statistically speaking, they can occur at any time.
> Even a slightly biased coin will behave in a similar manner.
> Extreme winning sequences or extreme losing sequences can occur in
> average systems or even `good' systems.
> If you have traded a system on a daily basis for 10 years that is a
> statistical set of 2520 trades, which is quite a small set.
>
> I also have a theory that the nature of the markets has changed in
> recent years due to the increased use of computers.
> Look at the trading power that programs like Ami place in the hands
> of retail investors.
> This is a relatively new phenomenon.
> At the least I would expect this to lead to more short-term
> volatility.
> I stress this is only a theory and I have no evidence to prove the
> argument.
>
> 2. Trading at the open.
>
> I have only been taking trading seriously for 4 years.
> Even then my first 2 years were mostly wasted time and money,
> despite the fact that I paid for trading `guru' advice and
> bought 'sure thing' training material.
> Even after 1000's of hours experience I am still just serving my
> apprenticeship.
> So even though I intend to trade the open, as it is a major part of
> the `business', I postponed my studies in that area while I pursued
> easier pickings elsewhere.
>
> Thanks to your topic and the posts of others I have learnt a bit
> more about how different markets and traders treat the open and that
> some markets/brokers may `guarantee' all participants the open
> price, I stress the word might.
> I still have a lot of work to do before I fully understand the
> subject.
>
> So far I have only watched the Australian equity market on this one.
> The ASX site has some very good educational material available.
> From their site:
>
> Calculating OPening & Closing Prices.
>
> The same formula is used to calculate:
> Opening prices at the start of each trading day.
> Closing prices at the end of each trading day.
> Float prices.
> The price of a security after a trading halt or suspension has been
> lifted.
> The price of a security after a new listing.
>
> How are opening and closing prices calculated?
>
> The opening and closing price for a security is determined by a four
> step approach involving the use of conditional decision rules. If a
> clear result cannot be achieved when the first decision rule is
> applied, the model progresses to the second decision rule and so on.
> The decision rules are always applied in the same order.
> Schematically; Principle 1 achieves a subset of potential auction
> prices from the list of overlapping buy and sell order prices.
> If the subset consists of one price only, this becomes the official
> auction price and the process concludes. Should the application of
> Principle 1 achieve more than one potential auction price, the
> algorithm moves to Principle 2 to narrow down the options. If
> Principle 2 eliminates all but one of the options, the remaining
> price becomes the official auction price and the process concludes.
> If however, the auction price is not determined by applying
> Principle 1 or Principle 2, the process moves to Principle 3 and
> then Principle 4 if required.
>
> The full article, including market depth tables can be viewed at:
>
> http://www.asx.com.au/investor/education/basics/open_Close.htm
>
> The problem I had with this particular market was that I couldn't
> see any correlation between the pre-market depth and the actual
> opening price, without access to the algorithm used.
> In all markets, in general, opening gaps have to be handled on the
> fly, and also, if 1000 traders are queued to buy the open, but only
> 10 are queued to sell it, some-one has to miss out.
> There is also the issue of opening volatility.
> In the Australian market, the price after 15 minutes, is often miles
> away from the open, so this needs to be managed.
> Volatility is a two edged sort and can work for or against the
> trader.
> Also opening gaps do not have a significant statistical edge and
> they are often not sustained.
> The opening fast moving trend often fades quite quickly as well, so
> there is quite a bit at t he open to contend with.
> All in all, I need to understand the risks inherent in trading the
> open better and figure out ways of managing that risk before I go
> there.
> I am sure many traders handle it with ease and so will I once I have
> the time to do the requisite homework.
>
>
> BrianB2.
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04" <intermilan04@>
> wrote:
> >
> > 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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