durgin
60 posts
msg #81146
- Ignore durgin |
10/15/2009 5:37:01 PM
Bravo Kevin -- this is excellent!
I'm thinking that if I were to use this I would have the 10% stop loss but not a 5% profit stop. I would check on a weekly basis and sell any stock not in the top five of the list.
One of the problems I have is that my account is an IRA and when I sell I can't use the funds for three days until the sale clears. Obviously this is a factor when you're turning around stocks every week.
Thank you!
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Kevin_in_GA
4,599 posts
msg #81147
- Ignore Kevin_in_GA |
10/15/2009 5:42:56 PM
Durgin:
I also trade within a restricted account with a 3-day settlement. What I noticed is that in the majority of the cases seen in the backtest I posted, the target or stop loss was hit within 2 days. That would allow for the 3 day settlement.
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Kevin_in_GA
4,599 posts
msg #81153
- Ignore Kevin_in_GA |
10/15/2009 7:00:02 PM
Durgin:
I think it is important to recognize that this filter does not determine if a stock will run higher for any period of time longer than a week. It only selects stocks with good range from the open to the high. That's all.
The design is predicated on selling by week's end - no promises if you carry the trade over the weekend (or even past the point where it hits 5%).
I would caution you (or anyone) to expect a filter's performance to extend beyond what it was designed to do.
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tmanbone
124 posts
msg #81163
- Ignore tmanbone |
10/15/2009 7:58:29 PM
Nice work Kevin.
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jnafach
74 posts
msg #81176
- Ignore jnafach |
10/15/2009 10:47:14 PM
I am not sure how running this but even for example Nv 3 the winner is SKFand not SRS
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Kevin_in_GA
4,599 posts
msg #81191
- Ignore Kevin_in_GA |
10/16/2009 7:46:56 AM
Please remember that to check for the week of 11/3, you must use the data from 10/31 (the friday before) since that is the weekend data. any data from 11/3 includes the results from the close on 11/3 which would skew the data.
I get the following for 10/31:
9 results from: Friday October 31, 2008
Symbol Last Chg(%) Vol performance reward risk 4 wk reward 4 wk risk 13 wk reward 13 wk risk Since(%) Analysis Chart
SMN - UltraShort Basic Ma... 70.20 -2.90 4975400 1.66 3.00 1.81 4.00 3.00 13.00 4.00 -86.47 historical 3m , 6m , 1y , 2y
SKF - UltraShort Financia... 124.38 -9.36 18375800 2.24 2.92 1.31 4.00 2.00 12.00 4.00 -81.69 historical 3m , 6m , 1y , 2y
SRS - UltraShort Real Est... 115.47 -12.37 4935400 2.24 2.92 1.31 4.00 2.00 12.00 4.00
Actually looks like SMN is the winner, since it has the highest reward score (which is the first selection criterion). Looking at the charts, the result is no different - still hits the 5% gain without breaking a sweat.
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Kevin_in_GA
4,599 posts
msg #81342
- Ignore Kevin_in_GA |
10/18/2009 1:39:49 PM
THE TOP 3 FOR THIS WEEK:
CNO: REWARD IS 3.00, RISK IS 1.31 (R/R = 2.29)
MED: REWARD IS 3.00, RISK IS 0.15 (R/R = 19.50)
KFN: REWARD IS 3.00, RISK IS 0.65 (R/R = 4.59)
NOTE: These are the only stocks rated a 3.00 this week. There were 7 last week.
Last week's top 3 choices (BZ, FCH, MED) did not do all that well - only MED hit its 5% target (and just barely - it's weekly high was exactly 5% from its open, which means if you had any slippage in your buy order, the 5% target was not filled).
Good luck to all.
Kevin
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durgin
60 posts
msg #81346
- Ignore durgin |
10/18/2009 3:16:11 PM
Hi Kevin
In the first message, you say that the theoretical return = 1164% per annum. I'm wondering how one figures that out -- a calculation or a table???
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Kevin_in_GA
4,599 posts
msg #81349
- Ignore Kevin_in_GA |
10/18/2009 3:53:43 PM
calculation: 1.05 raised to the 52nd power.
1.05^52 = 12.643 or 1264.3%. Subtract out your original 100% investment and there you go.
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durgin
60 posts
msg #81355
- Ignore durgin |
10/18/2009 5:15:11 PM
Thanks!
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