campbellb75
101 posts
msg #95797
- Ignore campbellb75 |
8/23/2010 4:25:15 PM
Kevin-
Great work. Noticed that you have target profits based on the MA(10) during your back tests, but no stop losses, right? Did you exit after x amount of days? Otherwise I'm assuming some trades resulted in large drawdowns or were open for quite awhile.
Thanks.
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Kevin_in_GA
4,599 posts
msg #95800
- Ignore Kevin_in_GA |
8/23/2010 4:56:40 PM
I plan to exit by close on Friday each week, but the back test also had a 10 day max hold built in.
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olathegolf
119 posts
msg #95803
- Ignore olathegolf |
8/23/2010 7:07:06 PM
Kevin, you're awesome and provide a great service to this community. Thanks for sharing your knowledge.
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Kevin_in_GA
4,599 posts
msg #95808
- Ignore Kevin_in_GA |
8/23/2010 9:47:29 PM
Update 8/23:
Long Plays selected from the new filters:
NTY (scoring 3/5) - in at 54.13, closed at 54.00 for a loss of 0.33%
MDCO (scoring 3/5) - in at 12.26, closed at 11.90 for a loss of 3.02%
Short Plays selected from the new filters:
DYN (scoring 1/5) - in at 4.74, closed at 4.78 for a loss of 0.93%
Went in on GRS at the open based on the slightly negative Gold futures and the upbeat market futures. Good thing I did as this was the only selection that made any money today.
GRS - in at 7.03, closed at 6.82 for a gain of 2.90%
Net for the day - a loss of 0.35% (down $139.18 on $40,000 invested in these 4 stocks, which includes commissions at $8.95 per trade)
Remember - all exits for these are based on a close above/below the MA(10). I'll post other plays as they are flagged by the filters, but will not trade them unless one or more of these are closed out.
New long play flagged for today - ARNA (2/5)
New short play flagged for today - PCBC (2/5) - up 30% today but it looks like they plan to do some sort of forward stock split for current shareholders next week. Not sure how this will play out short term, but it looks like by this time next week the new valuation will be around 0.20.
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wkloss
231 posts
msg #95817
- Ignore wkloss |
8/24/2010 7:16:20 PM
Kevin,
Is there any way to backtest the composites? I tried, got mixed results then realized that it was difficult if not impossible to duplicate your entries on Mondays and exits no later than Friday's close. There is also the question of how many stocks you would buy in a day and your maximum number of open positions.
Bill
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Kevin_in_GA
4,599 posts
msg #95823
- Ignore Kevin_in_GA |
8/24/2010 10:33:38 PM
You should be able to backtest the new composite filters I posted - just copy and paste. Set the selection criteria to
"composite above X" (set X at whatever threshold you choose - start at 0.5 and go up 1 unit each time)
I would not limit the number of trades for a backtest - more data is better.
all exits are close above/below MA(10). You can also set a max hold for 10 days or less.
No stop loss or profit stop.
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Kevin_in_GA
4,599 posts
msg #95824
- Ignore Kevin_in_GA |
8/24/2010 10:49:26 PM
Update 8/23:
Rough day today - MDCO and DYN both went the wrong way bigtime. Still beating the market for the week, although trading at a slightly lower loss is not warming my heart all that much.
Long Plays selected from the new filters:
NTY (scoring 3/5) - in at 54.13, closed at 53.99 for a loss of 0.35%
MDCO (now scoring 4/5) - in at 12.26, closed at 11.52 for a loss of 6.12%
Short Plays selected from the new filters:
DYN (scoring 1/5) - in at 4.74, closed at 4.94 for a loss of 4.31%
GRS - in at 7.03, closed at 6.68 for a gain of 4.88%
Net so far for the week - a loss of 1.47% (down $589.49 on $40,000 invested in these 4 stocks, which includes commissions at $8.95 per trade)
Remember - all exits for these are based on a close above/below the MA(10).
Other plays flagged this week:
Monday
ARNA (2/5) - Long Play
PCBC (2/5) - Short Play (watch out on this one because of the stock split next week)
Tuesday
DECK (3/5) - Long Play
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wkloss
231 posts
msg #95828
- Ignore wkloss |
8/25/2010 1:12:55 AM
DYN is not a failure of your signal. It is a takeover play by Blackstone Group. You should not expect it to fall in price.
This is a very minor flaw in your strategy and unfortunately not one to be concerned about since you do not have time to research every trade and you only have a very small amount at risk on each one. Some of the losing trades in the backtesting are probably special situations like this one
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Kevin_in_GA
4,599 posts
msg #95829
- Ignore Kevin_in_GA |
8/25/2010 6:35:37 AM
Agreed. Since I didn't finish these filters until late Sunday night, I would normally have had time to look at these and might have flagged this one as risky.
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Kevin_in_GA
4,599 posts
msg #95839
- Ignore Kevin_in_GA |
8/25/2010 9:11:14 PM
Update 8/25:
Better day today - no new long plays, one new short play (CWTR).
Long Plays selected from the new filters:
NTY (scoring 3/5) - in at 54.13, closed at 54.15 for a loss of 0.05% after subtracting commission
This closed above its MA(10) - 54.10. Trade will be closed at the open tomorrow.
MDCO (now scoring 4/5) - in at 12.26, closed at 11.91 for a loss of 2.94%
Short Plays selected from the new filters:
DYN (scoring 1/5) - in at 4.74, closed at 4.88 for a loss of 3.04%
GRS - in at 7.03, closed at 6.88 for a gain of 2.04%
Net so far for the week - a loss of 1.00% (down $399.65 on $40,000 invested in these 4 stocks, which includes commissions at $8.95 per trade).
Compare this to SPY - down 1.94% since the open on Monday.
Possible replacement Long trades (no new ones today, but these are from this week):
Monday
ARNA (2/5) - Long Play
Opened Tuesday at 6.69, closed today at 6.82 for a gain of 1.94%. MA(10) is currently at 6.90.
Tuesday
DECK (3/5) - Long Play
Opened today at 44.90, closed at 46.07 for a gain of 2.60% (already closed above its MA(10), so it is no longer a candidate).
I will wait to see the futures before selling or buying anything tomorrow, but if things look good I'll sell NTY and buy ARNA - not much room left there (about 1% before it closes above its MA(10)).
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