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 [email protected], "intermilan04" <[EMAIL PROTECTED]> 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 > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
