Basically I was doing research into trading the 3X Financial Direxion ETF
NYSE:FAS (Bull)
NYSE:FAZ (Bear)
This is a good ETF to make some quick money because of the 3X leverage.
Anyways I got some tick data (1 minute) data from 4/20 to 8/18.
What I am trying to do is find a reliable and successful method to get quick revenue with this setup.
So to start what I did was plot all the results into EXCEL and long/short a trade if and only if the OPEN PRICE at 9:30 (EST) and CLOSE PRICE at 9:34 (EST) differed by at least 1%.
If it was greater than or equal to 1% then a trade was initiated at 9:35 (EST) at the opening price.
Here are the results
4.20 - Short
4.21 - Long
4.22 - Long
4.23 - Short
4.27 - Long
4.28 - Long *
4.29 - Long *
5.1 - Short FAIL
5.2 - Long *
5.5 - Long
5.6 - Long
5.7 - Short *
5.8 - Long * FAIL
5.11 - Long FAIL
5.12 - Short *
5.13 - Short
5.14 - Long FAIL
5.15 - Long FAIL
5.19 - Short
5.20 - Short *
5.21 - Long *
5.26 - Long
5.27 - Short
5.28 - Long * FAIL
5.29 - Short
6.1 - Short FAIL
6.2 - Short FAIL
6.18 - Long
6.23 - Long
6.24 - Short FAIL
7.13 - Short FAIL
7.14 - Short
7.15 - Long
7.20 - Long FAIL
7.22 - Long
7.24 - Long FAIL
7.30 - Long FAIL
8.10 - Short FAIL
8.12 - Long
8.14 - Short
The * means a difference less than 1% was found and the Open price at 8:35 was compared with 8:39 Closing price instead.
I didn't write down the profit but it was usually at least between $.75-1.50 per share.
Many dates are missing which indicates that there was a difference of less than 1% those days "Doji"
I am trying to perfect this however additional help would be appreciated. If you want I can send you the 1 min tick data and you can try to analyse the data yourself.
Trading the FAS/FAZ ETF at the Open
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The profit was assumed when the price difference was at least $.50/share
This varied however because on some occasions a gain of $1.50-2.50/share could be achieved.
I attached the data if anyone want to analyze it.
Its the 1 min data from 420 to 818
This varied however because on some occasions a gain of $1.50-2.50/share could be achieved.
I attached the data if anyone want to analyze it.
Its the 1 min data from 420 to 818
- Attachments
-
- FAS_Intraday.zip
- FAS Intraday
- (250.12 KiB) Downloaded 152 times
- rowdy
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Hopefully I understood what you are proposing. I optimized this with a stoploss <= $1.00 per share and used a trailing stop for profit. If neither the stoploss or the trailing stop hits, exit at the end of the day. Here is the code-
Inputs: StopLossAmt1( 0.81 ),FloorAmt(1.00),TrailingPct(55);
SetStopShare ;
SetStopLoss(StopLossAmt1);
SetPercentTrailing( FloorAmt, TrailingPct ) ;
if (Time = 0834 or Time = 0839) and EntriesToday(Date) = 0 and Close >= (Open[4] + (Open[4]*0.01)) then
Buy This Bar on Close ;
if (Time = 0834 or Time = 0839) and EntriesToday(Date) = 0 and Close <= (Open[4] + (Open[4]*0.01)) then
Sell Short This Bar on Close ;
if Time >= 1450 and MarketPosition = 1 then
Sell This Bar on Close ;
if Time >= 1450 and MarketPosition = -1 then
Buy to Cover This Bar on Close ;
The inputs show the optimized values. Yes it is profitable but you would be better off just buying and holding.
See the attached report.
Inputs: StopLossAmt1( 0.81 ),FloorAmt(1.00),TrailingPct(55);
SetStopShare ;
SetStopLoss(StopLossAmt1);
SetPercentTrailing( FloorAmt, TrailingPct ) ;
if (Time = 0834 or Time = 0839) and EntriesToday(Date) = 0 and Close >= (Open[4] + (Open[4]*0.01)) then
Buy This Bar on Close ;
if (Time = 0834 or Time = 0839) and EntriesToday(Date) = 0 and Close <= (Open[4] + (Open[4]*0.01)) then
Sell Short This Bar on Close ;
if Time >= 1450 and MarketPosition = 1 then
Sell This Bar on Close ;
if Time >= 1450 and MarketPosition = -1 then
Buy to Cover This Bar on Close ;
The inputs show the optimized values. Yes it is profitable but you would be better off just buying and holding.
See the attached report.
- Attachments
-
- FAS.JPG (132.74 KiB) Viewed 4149 times
-
- FAS.xls
- (40.18 KiB) Downloaded 158 times
All I need is Supply and Demand
Wow. Thanks a lot of posting this.
I have a question thought.
On 4.21 I went long and you shorted
On 4.22 I went long and you shorted.
On 4.23 I went short and you went long
On 4.27 I went long and you went short.
etc etc
These were some of the unprofitable trades at the beginning. So what was your criteria for entering a short/long position?
I have a question thought.
On 4.21 I went long and you shorted
On 4.22 I went long and you shorted.
On 4.23 I went short and you went long
On 4.27 I went long and you went short.
etc etc
These were some of the unprofitable trades at the beginning. So what was your criteria for entering a short/long position?
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- rowdy
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adaseb wrote:Wow. Thanks a lot of posting this.
I have a question thought.
On 4.21 I went long and you shorted
On 4.22 I went long and you shorted.
On 4.23 I went short and you went long
On 4.27 I went long and you went short.
etc etc
These were some of the unprofitable trades at the beginning. So what was your criteria for entering a short/long position?
Yes, I see. That is good feedback. Let me examine this a little closer and I will post again.
All I need is Supply and Demand
- rowdy
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OK my bad. I had a bad sign plus it is 3 bars back and not 4. Here is the new code-
Inputs: StopLossAmt1( 0.68 ),FloorAmt(0.74),TrailingPct(77);
SetStopShare ;
SetStopLoss(StopLossAmt1);
SetPercentTrailing( FloorAmt, TrailingPct ) ;
if (Time = 0834 or Time = 0839) and (EntriesToday(Date) = 0) and (Close >= (Open[3] + (Open[3]*0.01))) then
Buy Next Bar at Market ;
if (Time = 0834 or Time = 0839) and (EntriesToday(Date) = 0) and (Close <= (Open[3] - (Open[3]*0.01))) then
Sell Short Next Bar at Market ;
if Time >= 1450 and MarketPosition = 1 then
Sell This Bar on Close ;
if Time >= 1450 and MarketPosition = -1 then
Buy to Cover This Bar on Close ;
Also, we still have a few minor differences. On 4/29 at 8:35 My Open was 38.80. The 8:39 Close was 39.10. On my data this did not meet the 1% criteria so I did not trade buy you did. Must be differences in data.
Please confirm. There are a few other differences like this that I suspect are data related. Again this strategy has a "less than pleasing" equity curve and still isnt better than just buy and hold. However, if I am missing something or you can make a suggestion to improve it, let me know.
Inputs: StopLossAmt1( 0.68 ),FloorAmt(0.74),TrailingPct(77);
SetStopShare ;
SetStopLoss(StopLossAmt1);
SetPercentTrailing( FloorAmt, TrailingPct ) ;
if (Time = 0834 or Time = 0839) and (EntriesToday(Date) = 0) and (Close >= (Open[3] + (Open[3]*0.01))) then
Buy Next Bar at Market ;
if (Time = 0834 or Time = 0839) and (EntriesToday(Date) = 0) and (Close <= (Open[3] - (Open[3]*0.01))) then
Sell Short Next Bar at Market ;
if Time >= 1450 and MarketPosition = 1 then
Sell This Bar on Close ;
if Time >= 1450 and MarketPosition = -1 then
Buy to Cover This Bar on Close ;
Also, we still have a few minor differences. On 4/29 at 8:35 My Open was 38.80. The 8:39 Close was 39.10. On my data this did not meet the 1% criteria so I did not trade buy you did. Must be differences in data.
Please confirm. There are a few other differences like this that I suspect are data related. Again this strategy has a "less than pleasing" equity curve and still isnt better than just buy and hold. However, if I am missing something or you can make a suggestion to improve it, let me know.
- Attachments
-
- FAS 2.JPG (135.51 KiB) Viewed 4127 times
-
- FAS 2.xls
- (32.97 KiB) Downloaded 161 times
All I need is Supply and Demand
- rowdy
- rank: 150+ posts
- Posts: 157
- Joined: Fri Feb 20, 2009 1:22 pm
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noone22 wrote:What is FAS and what is FAZ?
Thats a good question. I am pretty sure that we are talking about FAS.
These 3X ETFs just rock! I also like the proshares ultras. Everyone is talking about inflation hitting hard next year. When that happens I want to have a huge stake in UGL ready to go.
All I need is Supply and Demand
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