Has anyone considered the following:
When trading a sim, you’re not betting that everying is dependant on rebalancing every 4 weeks (or whatever period you use) exactly. Rather, these are just general parameters that are consistent. Also, the success is not based on entering at a certain price (such as the Monday open) and that price only. Isn’t it fair to assume that if the simulations were to buy and sell based on a 10:37 am price (for example ), the results would be very similar?
Therefore, if one considers that you are also selling at the delayed time, on the average you might lose a fractional amount by not being in the better stocks for an hour and 7 minutes, but most of the market volatility should be canceled out because you are not just buying but selling as well. So if you look at it as just switching from one stock to another rather than as individual trades, doesn’t it make sense to switch at a time that will cost you the least in slippage?
I’m not speaking from experience, so I’m not recommending this. I’m just wondering what everyone thinks about this.
You said;
"I captured the charts for 1 minute intervals, 5 minute intervals and the reported stats from Scottrade which are shown on the attachment (Word) if you want to look closely at them.
The “normal” charts I have been looking at do not show the low trades - see the 5 min chart. The 1 minute chart shows the big dip to 19.50. Even the summary chart shows a low of 20.10 for the day. The Yahoo chart shows about 20.10 as well. "
[color=blue]Take another look at the chart, it looks like the Friday chart in your word document and not the Monday chart. Did you sell on Friday or today, Monday? My broker software shows (20.5 open. 20.5 high,20.36 low, 20.38 close ) for the first min of trading Monday (10,255 shares) [/color]
All the charts were captured “live” at about mid day on Monday 1/30/06 using Scottrades’ Elite real time software. The data "streams’ and is updated in real time.
Maybe i should have explained the charts better. If you start at the right hand side of the chart, say the 1 minute chart for 10 hours, it shows a time of 12:34, that’s about the time that I copied the screen print that was moving (right to left) as time progressed and the trades were updated. Going to the left you see the times decrease until 9:50 at the far left. The trades are in the 19.50 range at about 9.50 AM. The only high volume spike above 5000 occurs just before the 10:27 AM label. This chart shows trades at 19.70, down to 19.50, up to 20.50 between the open and 10:27AM.
Looking at the 5 minute chart for 7 days, you need to sart at the right, 12.50 and move left to 9:50AM which is the closest point to the open. The previous close is shown further left after the 15:40 label which would be Friday. Between 15:40 and 9:40 the activity around the close/open occurs. Note that the range is between 20.50 and 20.10 and no activity is shown below 20.10.
Given the volume ticks at the bottom, I conclude there were some trades within these ranges. There has been a lot of discussion about the volatility of small caps around the market open in recent posts. This led me to look more closely than I have in the past. On opening market sell orders without limits, I have sold at really low prices that did not seem to make sense to me. It now makes sense and I use limits to avoid the swings that I can. Today, I cannot explain why I did not sell some stock at 20.20 but maybe my sell was not reached until the market increased. I think the limit prevented a sale of some shares at below 20.20. The rest is just luck, or the market.
What surprised me was that I was seeing volatility that I have not noticed before. I seldom look at 1 minute intervals on charts. All the bid/ask and high/low data I see does not seem to have the big swing that was recorded this AM.
Attached is a chart copy after the close for 1 minute intervals showing 10 hours, which covers the whole day. As you can see the 20.50 range was never reached nor was the 19.50 low in the range shown on the mid day chart. Something got averaged out or disappeared. I did sell at 20.50 and the high was 20.50.
Maybe others have better access to the data around the close/open today and can verify or clarify what really happened. I seem to have pushed the limits of my trading software but will know tomorrow exactly what time the sell was executed.
), the results would be very similar?