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Shared Symbol Lists · Shared List: S
saico
msg #105654
3/25/2012 10:33:21 AM

S

Usage apply to sharedlist(S)
Description Standart and Poors 100 Stock components


General Discussion · How to limit a list.
saico
msg #105644
3/24/2012 11:27:25 AM

Hi duke, thanks for your reply! I think this is only for an email list, when you want SF to send signals by email.

General Discussion · How to limit a list.
saico
msg #105626
modified
3/23/2012 12:03:53 PM

Hi,

is it possible to limit the results of a filter to a certain amount of stocks. Lets say I run a filter sorting the results by volume and I only want the filter to show the first 10 stocks according to the selection criteria?

Much thanks in advance!

saico

Filter Exchange · Intraday Mean reversion of Strong stock.
saico
msg #105104
2/22/2012 9:00:36 AM

Kevin,

what I would find interesting is to have a statistical filter, that looks for those stocks, lets say for the recent 100 days, that hit the S2 and finished the day above it? So the filter should show those stocks with the highest percentage positive expectancy for buying at S2 and selling at the close of the same day. Unfortunately I struggle here at that point. Maybe you have an idea.

Saico

Filter Exchange · Intraday Mean reversion of Strong stock.
saico
msg #105092
modified
2/21/2012 1:43:45 PM

I'm not looking for strong stocks within my list, just trying to keep things simple.

I like the ATR idea alot.

Filter Exchange · Intraday Mean reversion of Strong stock.
saico
msg #105082
modified
2/21/2012 8:42:43 AM

Hi,

under Presets you can set your TWS to execute trades only during regular trading hours. Then you can submit your basket anytime after the close with the orders for the next day. They will rest at IB for the next trading session and you dont have to watch them anymore till around 1 hour prior to the next days close since you want to close the open trades. Once the limit of one of your orders is triggered it gets executed and at the same time the rest of the orders that are in the same OCA group will get cancelled by the system. Please also make sure to advice your TWS in the orders presets column to cancel orders within in the same OCA group instead of just reducing size.

The question now is how to manage the open positions. You can to this by just using moc sell orders manually like I mentioned above, or you'd use an API to manage the open orders.

Unfortunately its not possible with SF to backtest strategies with intraday profit targets, which leaves us only with end of day closing strategies.

At the moment I use a strategy that is just buying Naz100 stocks at S2 and sells at the close. Worked great in backtesting and works great in live trading. I have a basket with 5 OCA groups that guarantees me never have more than 5 open positions. I think its important to choose a number here, not much higher than that. The reason is, if I would set my max amount of open orders lets say to 10, the average daily number of fills would be around 3-5, but in down days 10 with a higher negative amount P/L wise. This will put your overall P/L to a much lower performance. So less is really more in that case here.

Saico

Filter Exchange · Intraday Mean reversion of Strong stock.
saico
msg #105062
modified
2/20/2012 7:57:38 AM

Its not a problem to enter that amount of orders even your actual account size is much less. This is for what I love IB alot., since it gives you lots of flexibility. If you transmit a basket with orders for a cash value of lets say 500k, but ur actual account is 25k you still wont experience any restrictions as long as they are resting orders.

Another way to preset those orders is by using IB's Excel API.

Filter Exchange · Intraday Mean reversion of Strong stock.
saico
msg #105054
modified
2/19/2012 6:03:45 PM

Hi,

thanks for all the input and work you provide here in this thread.

What I noticed is, that stocks that gap down at the open are those , that produce very often the highest returns.



Filter Exchange · Filter that has been working
saico
msg #104895
modified
2/9/2012 5:42:56 PM

If there isnt any selection method defined in the script, what criteria is SF using to sort trades, like in dukes example here....? I'm asking since I saw different stocks coming up, when running the script during the trading session. (Max number of trades 5 per day was set to 5)

market is nasdaq 100
close below s2 1 day ago
and add column s2

Thanks in advance!
saico

Filter Exchange · MONDAY GAP UP AND GAP DOWN TRADING SYSTEMS
saico
msg #104851
modified
2/6/2012 4:46:20 PM

Its easy with IB's OPG orders. You just have to set an OPG Buy/Sell Limit price. If the opening print is within that limit you get a fill. If not the order gets cancelled. Another nice tool there is the Basket Trader. You'd copy the trade parameters from the SF excel sheet into the basket trader excel sheet and all required orders should be ready and done within a couple minutes.

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