Tag Archives: day

using quant statistical analysis in their algo, ie. best time of day, month to buy/sell.

Anyone using quant statistical analysis in their algo, ie. best time of day, month to buy/sell. We’ve all heard “Sell in May and go away!”. Any data out there which is used, or is this a wasted topic?

 

We incorporate similar anomalies. One good example is called “halloween effect”.

 

Anything on best time of day for entry/exit points?

 

experimented with a simple 10 yr backtesting for best hour to buy (close at next hour > current hour) yeilds 1-2 PM and best hour to short (Close of next hour< current hour) yeilds 9-10 AM. Dunno if i can factor it into any trading strategy.

 

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. I will attempt to test in my strategy and provide results, if I uncover anything of interest.

 

We often trade in the last few minutes of the day, but only because we want our actual trades to capture that day’s closing price as closely as possible. We’ve experienced robust volume and very fast execution on all of our positions (exclusievely ETFs).

 

I understand from personal analysis on the S&P 500 over the last 30 years that the market closes just over 50% positive. Something like 50.5% to 51%. I believe this illustrates that the market is “statistically” a true 50/50 shot on any given day. However, I also believe this number is positively weighted because of the absence of de-listed stocks in the data. I was wondering if any other data like this out there exists.

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Best performing stock picks for down market day for Aug 3, 2011? Best stock picks from TSX, NYSE, NASDAQ, and LSE

Best performing stock picks for down market day for Aug 3, 2011? Best stock picks from TSX, NYSE, NASDAQ, and LSE

TRMB ,RDN ,CXM ,MDRX ,IMP.TO ,MCZ.TO ,ISM.TO ,ICS.TO ,ACR.L ,ENGI.L ,TAM.L ,RUBI.L

Get these stocks deeply analyzed here

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

From the mind of Famous Adgrok start up on his thoughts a quant within his Goldman Sachs career day #quant #goldmansachs

From the mind of Famous Adgrok start up on his thoughts a quant within his Goldman Sachs career days

I liked the title of this post
http://adgrok.com/why-founding-a-three-person-startup-with-zero-revenue-is-better-than-working-for-goldman-sachs
It seems the author has given up his quant days at Goldman Sachs. I have posted three items today on Goldman Sachs so it seems kind of unappealing to want to work there. As you may read in this article, there are claims of the average salary at Goldman Sachs to be at five hundred thousand. Last year was six hundred thousand plus, pretty nice! This includes the mail clerk. But let’s get to more juicy gold nuggets and gems from this article:
The traders were crafty and quick-witted, but technically unsophisticated and with the attention span of an ADHD kid hopped up on meth and Jolly Ranchers. And the quants (strategists in Goldman speak)? Mostly failed scientists (like me) who had sold out to the man and suddenly found themselves, after making it through two years of graduate quantum mechanics, with a bat-wielding gorilla peering over their shoulder (that would be the trader) asking them where their risk report was.
To cite a particularly grotesque example, once a year, one of the partners would buy a pallet of White Castle burgers and first-year analysts and associates would have a burger-eating competition (with some nominal amount donated to charity). All trading on the Goldman Sachs trading floor would stop as every man on the floor would gather ’round to watch the plebes stuff themselves.
The odds-on favorite was a young analyst, who’d employ the Kobayashi technique to get the tiny greasepucks down. After sweeping the field with 26 burgers eaten, he’d leave the styrofoam cup containing a congealed scum of burger grease and bun and patty bits floating on top, as mute testimony of his victory. The trading floor smelled like the inside of a deep fryer for the whole day2.
So, come mid-December, everyone on the desk lines up outside the partner’s office, like the communion line at Christmas Mass, and awaits their little crumb off the big Wall Street table. An entire year’s worth of blood, sweat, and tears comes down to that one moment. And the entire New York economy marches to the beat of that bonus drum.
Without that number though, your privileged place in the New York hierarchy goes away. Gone is the house in the East Hamptons. Gone is the $2mm duplex on the Upper West Side. Gone is your kid’s $25K/year pre-school.
And that’s why Wall Street has that roach motel property: people check in, but rarely check out. By the time you’ve been through a couple of bonus cycles and seen that wad of cash hit your bank account in mid-January, you can’t imagine a life without it. And that’s exactly how the senior management at the Wall Street banks like it.
Here are so many more quotes in here I could have gone on about. So it check it out.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!