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Register for free to join our community of investors and share your ideas. You will also get access to streaming quotes, interactive charts, trades, portfolio, live options flow and more tools.
Put/Call Ratio Filter problem
I am having an issue with the put/call ratio filters in oddsmaker.
If I enter an unrealistic value like 100 into the minimum put/call filter, or .0001 into the maximum put/call filter, my results will still be just as large as if I hadn't entered any value into either filter. Can you help me with this? Is there an acceptable range of values?
Thanks,
Russell
Dividend Filter problem
I have been having a problem with the dividend filter in backtesting.
To illustrate, I created a scan that looks for stocks with at least $1000 in annual dividends. I did this by entering a "1" in the min dividend filter.
You can see the scan here:
http://www.trade-ideas.com/StockInfo/_ScreenerScan.html?SYMBOLS_PP=25&sort1=MinDividend&sort2=None&sort3=None&MinDividend=1&XN=on&X_NYSE=on&X_AMEX=on
When I looks up some of the stocks that the scan returns in Yahoo finance and view their key statistics, they have N/A listed in the dividend fields, indicating that they do not have a dividend.
Some of the symbols with no dividends are PRAA,PKJ,PJA,GNK,ISSC.
Some but not all of these are ETFs.
Can you explain what's happening here, and why the min dividend filter isn't showing me stocks with dividends?
Thanks,
Russell
Autotrader API?
It would be really helpful to institutions if the autotrader api was published so that the autotrader could be hooked up to other brokerages. Thanks.
Autotrader & Oddsmaker - new releases planned?
Hi -
It's been awhile since there was a major release of the autotrader or oddsmaker, and I wanted to ask if there's any new releases coming up.
Thanks,
Russell
Connections and backtests running slower than normal fyi
averaging 100ms vs my usual 23 ms (located in Dallas,Tx)
Largest Drawdown
Would very much like a stat in oddsmaker for largest drawdown, defined as the largest peak-to-trough decline during a specific record period of an investment. Useful to know because even if a stock finishes >10%, if the drawdown was -20%, probably won't invest in it. Right now you can arrive at this indirectly by gradually moving up a very wide stop-loss order in backtesting.
Hiding large orders
Is this something TI is planning for the robot for the future?
Hidden Stops For Robot users on Ameritrade
FYI - Ameritrade offers hidden stops, ie. not posted to the book, so that your stops are not visible to other market participants. These can be implemented via the "trade triggers" feature.
Recommended chart program for ameritrade?
I'm currently using strategy desk, but it's a bit heavy for just basic realtime charts. Any suggestions for a good charting program to use in conjunction with robot?
Thanks,
Russell
Thanks for the great answer!
Feature Request: Show which strategy generated an order
In the Orders window in the Robot, have a column that tells you which strategy generated an order. Otherwise, there's no way to tell without parsing data from the strategy's debug window.
Feature Request: Hidden Stops for Robot
The robot sends your stops to Ameritrade, and they're then published to the book and promptly taken out by marketmakers.
If you could enter a stop and just have it kept in the robot until the price fell to that point, at which point a market sell order would be sent, that would give you the safety of the stop without worrying about moving the market.
Sell at open after 1 day in backtester question
When you set the backtester to sell after 1 day at open and run it, and look at the most recent day available, it doesn't show the first day minus 1, it shows the first day minus 2. e.g. today is 6/15, and it would show results from 6/10, not 6/11. Thoughts?
Mean Reversion and poor fills
I'm using a mean reversion strategy that looks for stocks with spreads >9c. I have been automatically placing limit orders at bid+1c at the open, and have been getting killed by adverse selection. If the stock moves up, I only get 1/10 of my order, and if the stock moves down, I get the entire order. I did learn that I'm making my time the order is in force too long (2 min) - losers move down in that time span, and will automatically fill my limit order. So if I tighten the TIF to 10 seconds, I probably won't get filled on as many losers.
But there's still a big problem here:
Set limit at bid - only fills on losers
Set limit at ask, or market order - Lose 9-19c per trade (1-4% on stocks from 6-9 dollars!)
So if there's a stock with a large spread, how do you trade it profitably?
Looking to meet TI users in Dallas,TX
Meeting this saturday at Starbucks, 9:30am at West Village. Signup here: http://finance.groups.yahoo.com/group/dallasquants/
What should limit bid be in robot?
I've been using bid minus .01 as the price I'm offering in my limit orders. However I also have a very tight stop, .3%, and this has been generating an error: stop must be below current bid. Sometimes this has resulted in no stop being placed in a live order--with me suddenly wondering why i'm losing so much without the trade ending.
To try and fix this, I've changed the stop to a penny amount instead of a percent. For example, for stocks that trade at $5-7, I'm using bid minus 1 cent, and a 2 cent stop.
Can you advise me on this? Thanks,Russell
Feature Request: Exit Alerts for Robot
Please add alerts as an exit condition for the Robot in the same way that they are implemented in the oddsmaker. [trailing %, trailing bar, and other alert].
Thanks,
Russell
Trade Ideas is awesome
I have been using Trade Ideas for many months now and have found it to be an awesome product. TI is the _only_ product out there that can do high-frequency backtesting over thousands of stocks at once. The Trade Ideas interface is far easier to use than other programming-based products such as tradestation, and has a wide variety of filters, including some great ones not available anywhere else. The automated trading program and backtester (oddsmaker) are also very user-friendly. All together, it makes TI a fantastic power tool for traders.
Extending the TI robot to other brokerages
Hi - is the TI ActiveX control sufficient such that I could have a programmer create a TI based autotrader on another brokerage platform, like REDI?
Thanks,
Russell
Total profit is deceptive - divide by overlap
Some strategies will show huge gains in the net percent column.
However, this is deceptive, as many times the trades will overlap.
So if your holding time is, say fifteen minutes, you might have a strategy that produces a huge net profit. But in actuality, you have trades that start at 9:35,9:36,9:40 etc. and simply summing the results will be misleading, because it's not really attainable. In practice you would have to decide ahead of time that, in order to account for the overlap, you would only invest 1/6 of your capital in any trade (or whatever number makes sense) so that you could take all the trades - or that you would invest in only 1 out of every 6 trades. Either way, your total winnings would be reduced by that number, which I'm calling the Overlap Divisor. Have Trade Ideas guess at this number and reduce net profit accordingly would be a neat feature.
Question on how filter is set up
A few quick questions:
Down % in 5 minutes filter:
Is this being calculated from the open and close of a 5 min bar?
Also, what time level does the backtester use: 5 min bar, 1 min, tick? I've noticed I can't set trades to end before 5 min duration, so I'm assuming it's 5.
Thanks,
Russell
TD Ameritrade Robot request
A feature that bigger players will probably want is the ability to size orders relative to daily volume of a stock to avoid moving the market.
e.g.
"Buy the lesser of {15,000 shares OR .5% of Average Daily Volume}
Idea for new indicator/filter
Another number that could be potentially useful as an indicator is market depth at current price, above it, and below it. which way is it skewed etc.
How to scan for biggest losers from yesterday?
I would like to set up a scan to identify stocks that closed down the previous day by some percentage (say 5%). Can you help me set this up? Thanks!
Trading large spread and low volume stocks
Can other traders out there share their stories with me about trading stocks that have thin volume and large spreads?
While it's fairly easy to create a strategy that backtests well within that universe, I am very doubtful that actual trading results would be nearly as good, especially as amounts of capital over 100k were deployed.
So I have been focusing on stocks that trade 5 mil shares/day with penny spreads. However, it's been extremely hard to find effective strategies for this universe. All the strategies that have over 60% win rate (with 1% =success) produce no more than 1-3 trades every 4-5 days. Thoughts?
For example, would the strategy below be worth trading?
8 / 13 = 61.54% up 1% in 10 minutes; Average winner = 3.94%, Average loser = -0.1%, Net winnings = 31.01%, Best = 7.86%, Worst = -0.1%; Casino Factor = 98.09%
12/26 : 0.00/0
12/29 : 0.00/0
12/30 : 0.00/0
12/31 : 0.00/0
1/02 : 0.00/0
1/05 : 0.00/0
1/06 : 0.00/0
1/07 : 4.05/1
1/08 : -0.10/1
1/09 : 0.00/0
1/12 : 0.00/0
1/13 : 7.86/1
1/14 : 0.00/0
1/15 : 0.00/0
1/16 : 2.92/1
1/20 : -0.20/2
1/21 : 0.00/0
1/22 : 0.00/0
1/23 : 14.18/4
1/26 : 0.00/0
1/27 : 0.00/0
1/28 : 0.00/0
1/29 : 0.00/0
1/30 : 2.50/1
2/02 : -0.10/1
2/03 : 0.00/0
2/04 : -0.10/1
2/05 : 0.00/0
Looking to trade strategies with other developers
One of my strategies' 30 day backtests:
154 / 196 = 78.57% up 1% in 10 minutes; Average winner = 3.67%, Average loser = -0.88% (1% stop loss), Net winnings = 593.97%, Best = 8.42%, Worst = -1%; Casino Factor = 100%
I'm looking to trade strategies with people who have created similar high performers. Email me at russell@adamm.net
Thanks!
How to calculate expectation w/ oddsmaker
To calculate my expectation in terms of percent, I am doing the following: I am setting my success indicator for "up 0.1%".
I am then multiplying the given success rate by the average winner, and (1 - success rate) multiplied by the average loser, and adding the sums together. I'm using .1% as the smallest possible up move.
Is this correct to calculate the expectation of a trade?
Show configuration of exit alerts
Right now, when alerts are used as exit conditions, the alerts you have chosen are not shown to you when you click on configure. Instead, each time you click configure, the previous alerts that you had set up for exit conditions become unchecked. I've gotten around this by noting what my exit alerts are in the Window Name, but it would be really nice if your exit alerts would remain checked when you go back to look at them.
Oddsmaker - "skip days" is a great new feature
The "skip days" feature for the "days to test" is a great way to do out of sample testing. Thanks!
Oddsmaker: another request
Some nice to haves in the output would be expected return and standard deviation. Sharpe and Sortino ratios would also be nice.
However they may also add clutter, so you might want to hide them in an advanced screen.
Are there any plans to cover forex or commodities?
casino score interval
Hi - Thanks for the informative reply. I read all of the information you linked to, but I'm still unclear on a rule of thumb for the casino score. Can you tell me what the associated interval would be for the score: 1%, 5% etc? My gut feeling is that 60% is a good minimum for the true score (which would translate to 61% or 65% reported score depending on the interval).
Oddsmaker: "good enough" win rate and casino rates?
I recently tried the oddsmaker and wanted to find out what would be the minimum recommended for win rate and casino rate in order to start trading with an actual system.
For example, I recently backtested "Stocks with the most upside momentum", and had these results:
433 / 894 = 48.43% up $0.01 in 30 minutes; Average winner = $0.4722, Average loser = $-0.3309, Net winnings = $56.6463, Best = $6.61, Worst = $-3.1836; Casino Factor = 99.35%
This looks very attractive because of the large net winnings per share. The casino factor is 99%, and the win factor was 48%. Given these two scores (a high likelihood of a nearly even bet) is this a system that should be traded in practice? What are some good rules of thumb, and why?
Thanks,
Russell
btw, what is casino factor really? conf interval? kurtosis?