20

Stock Profiling
Each stock that you trade should get a dedicated Excel file to archive all activ
ity,
results and the trade data. Over time this will become a valuable database resou
rce.
We have included a sample of the Excel sheet we use on the CD, in the file STOCK
PROFILING.
Pay special attention to which algos seem to produce better results for the main
optimizing criterion, bp/sec. (Trade return over trade duration.)
If the OMS you choose has the facility to copy the transaction log to your hard
disk, do so at the end of each session.
We target the basis point return at a minimum net of 25 bp, which means that
you have to calculate the winning less losing trades and also subtract the broke
rage
commissions to arrive at a true net figure.
Note the average brokerage commission breaks at a round trip on up to 2500 share
s.
After 2500 shares you pay a fractional price per share extra. Make sure to check
your
brokers tariff.
Please remember the Session Volume smile characteristic of most trading volume
in most sessions. This shape is due to higher volumes at the Open and at the Clo
se.
At the Open it is driven by price discovery as the market seeks to assimilate the
overnight news. At the Close it is driven by traders having to complete or close
out
positions.
This does not mean that our ALPHA ALGOS are designed not to trade at
the outskirts. We are basically time agnostic as our time slices tend to be
small.
Many practitioners, however, prefer for the market to shake itself out in the
morning before they put on a trade, as things can get pretty hectic at the Open.
15
minutes is frequently quoted before putting on the first trade of the day, with
some
practitioners holding off trading even longer until the so-called price discovery
process has stabilized. This may take an hour or more, till about 11:30 am on so
me92
The Leshik-Cralle Trading Methods
days. On the other hand the large swings happen often at the Open, so if you are
on
the right side of them, they can be most profitable.
The algos are designed to take on the turbulence (pay close attention to the spe
ed
of reaction of the stop loss) as the swings may be very rapid indeed at the open
. If
we have tested them thoroughly on the target stock we can simply let our algos t
ell
us what to do.