Intraday Trading : Buying on the minimums, July 29, 2008
This page last changed on Jul 29, 2008 by iank@bearcave.com.
In the trading on July 28 the stop order was hit more than it seemed like it should have. The stop was the buy fill price minus 3 * MAD (Median Absolute Deviation). For July 29 this was changed to 6 * MAD. This seems to have made a difference, as the results below show. However, once again many of the stocks didn't trade because the trading signal value was below their minimums.
Parameters calculated from dates July 22, 23, 24, 25 and 28
| GOOG | -0.56 |
| GS | -0.225 |
| CME | -0.26 |
| FCX | -0.195 |
| OIH | -0.3 |
| RIG | -0.23 |
| AMGN | -0.03 |
| BIIB | -0.055 |
| CMI | -0.09 |
| ERTS | -0.04 |
| ICE | -0.2 |
| CAT | -0.065 |
| BBBY | -0.045 |
| BRCM | -0.065 |
| GENZ | -0.07 |
| AMZN | -0.135 |
