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The Top Ten

December 4, 2009

 

Livermore Top 10 [20091204]

7 Comments leave one →
  1. Damian permalink
    December 4, 2009 4:46 pm

    Is the assumption that you’re buying these on a Friday or on a Monday?

    • david varadi permalink*
      December 4, 2009 4:52 pm

      the results we reported were actually rebalanced every tuesday to match QQQQ for the hedging test as early as we could with the data required. There was about 4% variation for the top 10 in either direction depending on the day it was executed. friday had higher results, wednesday had worse results.

      cheers
      dv

      • Damian permalink
        December 5, 2009 6:32 am

        Are you buying the open or the close in each case? My concern would be about slippage though it is unlikely to affect these highly liquid stocks.

      • david varadi permalink*
        December 5, 2009 12:00 pm

        hi damian, we buy on close on the rebalancing date……..yes the slippage etc would be minimal. anything that backtested on the open would be suspect for sure.

        cheers
        dv

  2. dha3936420 permalink
    December 5, 2009 4:29 am

    WCRX looks to have a good CPE since its recent volume surge (PR(Vol/Ave(Vol,50)).

    random thought – I never liked how OBV only looks at that day. Isn’t it the 5 day price persistence after a volume surge that tells you if accumulation is real?

    Dave

  3. Ramon permalink
    December 6, 2009 12:38 pm

    Hi David, why would backtesting using the open be suspect? If you take part in the opening auction using MOO orders then you are going to get the opening price right? Or does this differ amongst the different exchanges? I thought NASDAQ had a fairly solid opening auction.

    There is an interesting article on this topic here, where the use of MOO and MOC orders are tested empirically:
    http://www.puppetmastertrading.com/blog/2008/08/01/execution-quality-at-the-open-close/

    cheers

    Ramon

    • Damian permalink
      December 6, 2009 3:06 pm

      Ramon – just try it – in my experience you’re better off waiting 5-10 minutes after the open if you’re going to trade the open.

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