Hi! I thought about shorting... but, although I'd love to short IPOs as well, I decided to not even backtest that. That's because shorting IPOs is difficult. Sometimes not even possible... when possible, the cost of shorting is usually high. To create a good backtest, I would need to know if the IPO was available to short, and at what cost... and I don't have this data. Assuming 100% availability and no cost would be a mistake imho...
I didn't think about shorting SPX...
But just talking here to you, I had an idea: for each IPO, short the worst performer within the sector of that IPO. The economic reason is that if there's a newcomer within that sector, the older players will suffer. Need to test this hypothesis, though... what do you think?
Thank you for the great research! I have some questions around the execution of the strategy I hope you can clarify:
- Do all trades occur exclusively during regular trading hours?
- Is the strategy only trading at open and close or would you have limit orders that can fill intraday?
- If a stock has gapped through the profit target/stop loss I assume you would be exiting at the open; however if it opens lower than lets say our profit target, do you keep the position open until it hits the 20% target intraday?
- I also struggle to understand the big DJT trade. Isn't the breakout only happening on Oct 21?
have you tried a long/short market neutral version of this? how about shorting just spx?
Hi! I thought about shorting... but, although I'd love to short IPOs as well, I decided to not even backtest that. That's because shorting IPOs is difficult. Sometimes not even possible... when possible, the cost of shorting is usually high. To create a good backtest, I would need to know if the IPO was available to short, and at what cost... and I don't have this data. Assuming 100% availability and no cost would be a mistake imho...
I didn't think about shorting SPX...
But just talking here to you, I had an idea: for each IPO, short the worst performer within the sector of that IPO. The economic reason is that if there's a newcomer within that sector, the older players will suffer. Need to test this hypothesis, though... what do you think?
Thanks!!
Do you buy 1 tick higher than the all time high or a close above all time high? Same with stop loss / profit target -close above/below?
Whenever it closes at an all-time high, I buy using a market order at the next day's opening. All orders are at the openings
thanks!
Thank you for the great research! I have some questions around the execution of the strategy I hope you can clarify:
- Do all trades occur exclusively during regular trading hours?
- Is the strategy only trading at open and close or would you have limit orders that can fill intraday?
- If a stock has gapped through the profit target/stop loss I assume you would be exiting at the open; however if it opens lower than lets say our profit target, do you keep the position open until it hits the 20% target intraday?
- I also struggle to understand the big DJT trade. Isn't the breakout only happening on Oct 21?
Thank you in advance!
Hi Klim! Thanks!
- Yes, all trades occur in regular trading hours;
- The strategy only trades at market opening, assuming market open price + 1bps of slippage
- Yes, positions keep opened until the target is hit during the day
- Need to double check this one about DJT, I don't remember the details by heart...
Cheers!
Carlos