Mark Holstius![]() Elite ![]() ![]() ![]() ![]() Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL ![]() | Now that a number of people are trading my Elite Portfolios, we have an opportunity to move beyond just discussing what effect we might have on the market and actually begin analyzing some hard data. Collecting the trade data generated by many different users trading the same Strategies should enable us to analyze our effect in more depth. This project might allow us to make more informed decisions concerning possible future “Intelligent Order Processing” capabilities, and also has the potential to help in the selection of more robust / stable ETFs. As I see it, there are 2 major hurdles for those interested in contributing to this project – Ease Of Use and Privacy - and I feel I’ve come up with good solutions to both; 1) Ease of use I propose to initially limit the data collection to those of us trading with IB. I’ve attached a pdf document detailing the process of setting up a specific “Flex Report” in IB that will download a csv spreadsheet in the correct format – allowing you to then easily copy and paste your trade data to a central collection point. You can contribute your data at any time that’s convenient for you, with the only request being that you contribute trade data from different time periods each time – something accomplished by sorting your data by date and not duplicating previous uploads you’ve made. 2) Privacy I feel it will be beneficial to include the time and size of the trades, but I feel it’s essential that the data remains anonymous. There are a number of sharing possibilities (Excel Shared Workbook, Dropbox, Smartsheet, etc.), but they all require the identity of the contributors in one fashion or another – joining a group, email, etc. The solution I found was for me to subscribe to & then post a spreadsheet on Zoho Docs. You can add your data to that correctly formatted spreadsheet at any time, and there’s no way to associate the uploaded data with the person adding it if done correctly in the manner I’ll show. I’ll simply use that spreadsheet as a repository of the information. I’ll copy the data to my Excel analysis spreadsheet, and then delete it on the Zoho spreadsheet to make room for more. Think of the Zoho spreadsheet as a way to “launder” the data and keep it confidential… you'll need to enter a password and other information I’ll explain in the attached Instructions in order to write data to the spreadsheet, but you won’t need to join or subscribe to Zoho to accomplish what I need on their site. ;-) Once I have a sufficient amount of trade data, I can associate the correct trades with the trades taken by my Elite Portfolios and then do additional analysis: Slippage vs OV Movement of the ETF at Open vs movement of the underlying benchmark (if available) Time of trade vs price Size of orders vs price movement on low volume ETFs Etc. There’s also a Yellow “Notes” column at the right edge to let me know if your trade was modified for some reason; You had a problem with the TP or Broker and / or executed the trade at a different time or day. You used a limit order to enter or exit (at a target?) You used a stop (trailing or fixed) Any other information you feel would be helpful or you’d like to pass on to me. It’s an experiment, but I hope that by analyzing the trade sizes and times we’ll be able to extract some useful information. I appreciate that it’ll require a little work for those choosing to participate, but I hope the process will be simple and confidential enough to be acceptable to some of you that are trading with IB. The more data contributed, the better the results should be. If you choose to participate, you don’t even have to tell me (though I’d appreciate knowing). All you need to do is use the step-by-step examples in the attached “Data Collection Instructions” pdf to set things up in IB and then simply add your trade data to the spreadsheet on Zoho. Setting up the Flex Report in IB should take less than 5 minutes (one time only), and it should then only take a couple of minutes each time you choose to add your data to the spreadsheet on Zoho (once or twice a month?). The pdf shows you how to create the Flex Report in IB, what to copy, how to correctly access the spreadsheet on Zoho, and where to paste the data so that I can collect and analyze it. If you look at the process and know what we could do to accomplish this with other Brokers, please let me know… I won’t know whose data it is (it’s always anonymous), and you can add data to the spreadsheet at any time covering any interval that’s convenient for you. While you may choose to filter out trades you’ve taken in IB that aren’t associated with my Elite Portfolios, that won’t be required. My algorithms will find and keep only the correct trades in the data, and I’ll simply delete any that aren’t relevant to the project. Once I have a sufficient amount of data, I’ll make any information I can extract available to everyone. Thank you for considering joining the project, and for taking the time to read the attached pdf… Mark ![]() |