Tuesday, December 02, 2008

Josh Brolin on day trading

Actor Josh Brolin ("Milk", "W", "No Country for Old Man") said on Charlie Rose that his trading portfolio had a 57% return this year. His strategy is based on entering on reversal from a trend. Sounds pretty reasonable to me: maybe some of our readers can backtest this.

Below is the full interview, beginning with Sean Penn, then goes on to Gus Van Sant, then finally Josh Brolin mentioned his day-trading at the very end of the 1 hour show.

Interested? He is starting a multi-million dollar hedge fund to manage your money.


spritrig said...

The talk of day trading starts at time 47:30 for those who would like to skip hearing about Hugo Chavez, Fidel Castro, and other leftist agendas.

spritrig said...

There is a written transcript of Josh Brolin's description of his trading strategy, taken from the interview.


I would like to backtest this. However, it requires a high sample rate data set. I only have high sample rate data for the nasdaq 100, which is a rather limited set of stocks.

Ernie, how would you quantitatively identify momentum stocks to apply this strategy?

spritrig said...

Trading pullbacks may be impossible to implement with data sources that have variable delays from zero to 120 seconds.

This is a high frequency strategy. I have a 'real-time' subscription form Yahoo!. I am seeing delays of over 60 seconds for periods sometimes over an hour. I haven't evaluated delays in other data sources. I have also seen delays occasionally near 120 seconds.

Ernie Chan said...

Hi spritrig,
Thanks for posting the transcript of the interview. My opinion on momentum trading is that there are no specific momentum stocks, but there are time periods where the stocks may trend. E.g. right after an earnings announcement. Also, futures may trend better than stocks, if you can find the correct time horizon. High frequency data in futures are of course cheaper to come by than stocks.