7 replies to this topic

[diogenes227]

From the link:

 

 

A question arose on whether these trades should be initiated on the close of the day they are triggered or on the open of the following day?

 

Both times make money but the open of the next day is better. This is a market-timing system I developed to have its signal register after the close each day so a trader only has look at it once a day and can look the night before to put in an order for the open of the next day. It is geared to both longs and shorts but as it has turned out longs are more important over the long haul and the next day’s open is better than the previous day’s close probably in both cases because of the market’s long-term bullish bias.

 

For discussion and a chart panel:

 

Price, Breadth, Volatility

 

Good luck and good trading.

[NAV]

In a bull market, IMO, i think buying at the day's close when the signal is generated has a slightly better edge. In many cases the market gaps up the day after the signal is generated and often the gaps are substantial, especially when a new swing move gets started. I am mostly talking about the indices. Not sure about the stocks, as i don't trade them.

Edited by NAV, 12 October 2017 - 02:36 AM.

[diogenes227]

In a bull market, IMO, i think buying at the day's close when the signal is generated has a slightly better edge. In many cases the market gaps up the day after the signal is generated and often the gaps are substantial, especially when a new swing move gets started. I am mostly talking about the indices. Not sure about the stocks, as i don't trade them.

 

Just ran a quick test in TradeStation on buying on the day's close instead of the open for this year to date (obviously a bullish year). 

 

Using XIV as the limited example since it's in the link above, on the close XIV is up 24% on the price signal as opposed to 60% on the open signal; up 65% on the close breadth signal compared to 51% on the open; and up 62% on the close volatility signal compared to 71% on the open signal.  Interesting mix?

 

I thought you particularly would appreciate how XIV performs so much better on the close for the breadth signal than the close on the price signal. Breadth over price on the close, price over the breadth on the open...

[NAV]

dio,

 

When you have time, please run the same test on SPX and let us know the results.

[diogenes227]

dio,

 

When you have time, please run the same test on SPX and let us know the results.

 

Will do, but have a lot of appointments and distractions today and tomorrow so might not be until the weekend.

[diogenes227]

dio,

 

When you have time, please run the same test on SPX and let us know the results.

NAV,

 

I set up a TS work space for this so I can pretty much comparison test a lot of stuff.

 

But for now... I set it up so each trade is done with $100k in order to get percentage numbers for the total returns stated in dollars.  The white rectangles on the lower left of each chart contain those numbers which represent closed equity.  Every signal here is a long for YTD, no shorts. There are no commissions or slippage in the results.

 

As I recall, you trade SSO on the SPX so I used SSO here for the comparisons.  If that is wrong, let me know and I'll switch it out.

 

The top row of charts are all based on executing on the open of the next day after the signal triggers.  The lower row of charts are based on initiating the trade on the close of the day the signal triggers. You need only to look up and down at the numbers in the white rectangles to compare the returns. 

 

From left to right the charts show my signals based in order on Price (SPX), PRICE (Nasdaq Comp), Breadth (NYMO), and Volatility (VIX). I included the chart with the blue background in the rows because it has $COMPX as the price trigger and that is what I use all the time (with XIV and TQQQ) so I was curious to see how it stacked here. That's probably more than you asked for but it gives a wider indication of the variances in open trades versus close trades. And besides, I enjoyed doing it.

 

I hope this is clear. Of course, all these numbers are relative.  They vary somewhat with each trade and widely with the character of each market year. If you have any questions, just ask.

 

diogenes

 

P.S. Nothing like a boring market day to get something like this done.

 

[NAV]

Thanks Dio. Appreciate it ! SSO is good.

 

I will look into it after the market hours.

Edited by NAV, 13 October 2017 - 01:32 PM.

[NAV]

Bottomline, open next day has better results in most cases. COMPX price-based seems to be winner in "Open next day" category and SPX price-based seems to be winner in "Close same day" category. Interesting !

 

Thanks for your efforts.