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General Discussion · Finding all tickers which are 5 letters long
msg #114580
7/21/2013 7:45:40 PM

Thanks, but it seems to cut off in the middle of the E's (at 3,000 symbols).

General Discussion · Finding all tickers which are 5 letters long
msg #114578
7/21/2013 7:27:32 PM

Any way to get a list of all symbols > 4 characters in length? I would do it in Excel, but it seems that SF will only let you export 1,000 symbols from a filter, so I cannot get a full list of all tickers in the SF universe.

General Discussion · SOME PAIRS TO CONSIDER
msg #112197
3/12/2013 7:56:39 PM

Thanks for posting. I am assuming this would be too much work, but if not, is there any way to forward test this strategy by using, say, 2011, to identify the qualifying pairs and then 2012 to trade them?

General Discussion · Interactive Brokers
msg #112008
3/2/2013 3:39:01 PM

I don't agree with edellner. I use the CostPlus commission structure and I do not pay multiple minimums for orders that are filled in different pieces. Nor do I pay anything for cancelling an order.

They pass through the rebate that the exchange pays you when you provide liquidity. They offer ridiculously good margin rates and their portfolio margin feature is very useful for getting added leverage ($110k acct. size min.).

The only reason, in my mind, why you would ever want to go elsewhere, is if you were only trading large blocks at one time, esp. lower priced stocks. E.g., if you are trading 10,000 shares of SIRI on the open a lot, you'll definitely pay a lot less at a fee-per-trade broker than you will at IB. But assuming you are providing liquidity a decent amount and are piecing your orders out during the day, IB is a no brainer on the comm savings alone.

General Discussion · Question for BarTune1 re: Pair Trading
msg #110992
2/5/2013 12:15:34 AM

BarTune, Curious what correlation minimums you use for finding pairs, if you don't mind sharing. Also, do you filter out stocks with recent upgrades and/or earnings? Thanks.

General Discussion · ConnorsRSI
msg #110905
2/3/2013 1:32:37 AM

Yeah, that's the whole idea. You need to confirm that excluding certain industries will not degrade you past test results. Based on my testing on other platforms (with other systems), excluding medical/biotech usually improves your reward/risk ratio. My point is that in SF, you are not able to test the hypothesis, which is unfortunate.

As for troubled companies, I haven't suggested to avoid them. I suggested avoiding stocks which are about to experience known high-volatility events that your system probably has no ability to predict. Again, in an ideal world, you would be able to test this; although, getting accurate EPS date data into a backtesting tool is rather difficult. But unless you have reason to believe that your system results are driven by such outlier cases (upcoming earnings or drug trials), I believe it is advisable to exclude them simply bc the variance of your returns for such trades goes through the roof.

It's very different if you have a fundamentals-based or event-based system, of course. There, you are relying on big events and so certainly could not try to exclude them. But when the majority of your tested trades are not subject to major news events, it usually will not hurt to avoid the stocks you think will experience them very soon.

General Discussion · ConnorsRSI
msg #110897
2/2/2013 3:17:42 PM

Thanks for the info. The main reason to have an industry excluded is to be able to backtest a system without it included. I'd be pretty shocked if this system's returns were driven significantly by medical/drug stocks. I personally avoid these stocks in short-term trading for the same reason I avoid stocks about to announce earnings: your risk in these individual trades will be much, much higher than the avg. risk of a trade in the system. Blindly sizing these ultra-high volatility trades as large as you do normal (for the system) trades will result in higher risk of bankroll ruin than you might think. If you reduce the size of all your trades to handle this, you'll be leaving money on the table (going too small on low-risk trades).

Obviously, these are my opinions, and others can trade how they see fit. In any case, I just wish SF would add functionality to omit industries (as well as ADRs, and closed end funds). Would be helpful for a lot of us I believe.

General Discussion · ConnorsRSI
msg #110887
2/1/2013 6:48:47 PM

FYI -- Adding "Not Industry(Medical - Biomedical)" doesn't seem to work; in fact, it selects that industry rather than excluding it. Does anyone know how to accomplish the exclusion of an industry?

General Discussion · Cutler's RSI indicator
msg #110213
1/15/2013 5:26:40 PM

I second this..

General Discussion · Real-time screening software
msg #109933
1/7/2013 4:15:27 PM

Thanks. I need it to be very customized, though (taking traditional technical indicators but applying them to calculated values rather than close prices).

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