Trading the FAS/FAZ ETF at the Open

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adaseb
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Trading the FAS/FAZ ETF at the Open

Postby adaseb » Wed Aug 26, 2009 12:20 am

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.

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Postby rowdy » Wed Aug 26, 2009 10:17 am

What is your exit strategy? I can be of more help if I know how you got those profit numbers. I like FAZ/FAS too. If you clearly define your entry/exit rules I can code this in Tradestation and backtest it. Then we could tweak it a little and see how things go.
All I need is Supply and Demand

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Postby adaseb » Wed Aug 26, 2009 2:29 pm

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
Attachments
FAS_Intraday.zip
FAS Intraday
(250.12 KiB) Downloaded 10 times

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Postby rowdy » Wed Aug 26, 2009 10:50 pm

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.
Attachments
FAS.JPG
FAS.JPG (132.74 KiB) Viewed 444 times
FAS.xls
(40.18 KiB) Downloaded 15 times
All I need is Supply and Demand

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Postby adaseb » Wed Aug 26, 2009 11:11 pm

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?

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Postby rowdy » Wed Aug 26, 2009 11:51 pm

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

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Postby rowdy » Thu Aug 27, 2009 12:07 am

Wait a minute. There is a problem on my end. I will check this again.
All I need is Supply and Demand

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Postby rowdy » Thu Aug 27, 2009 1:17 am

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.
Attachments
FAS 2.JPG
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FAS 2.xls
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All I need is Supply and Demand

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Postby noone22 » Thu Aug 27, 2009 1:43 am

What is FAS and what is FAZ?

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Postby rowdy » Thu Aug 27, 2009 1:53 am

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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