Kevin_in_GA
4,599 posts
msg #95972
- Ignore Kevin_in_GA |
9/3/2010 9:47:49 AM
Out of LULU at 35.42 for a gain of 4.36%.
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Kevin_in_GA
4,599 posts
msg #96021
- Ignore Kevin_in_GA
modified |
9/5/2010 11:37:13 AM
9-3-2010 UPDATE:
LONG PLAYS:
TAP - in at 43.70, SOLD at 45.03 for a gain of 3.04%
PEP - in at 64.09, SOLD at 64.89 for a gain of 1.07%
LULU - in at 33.94, SOLD at 35.42 for a gain of 4.36%
INFY - in at 57.50, SOLD at 59.70 for a gain of 3.64%
ULTA - in at 22.00, SOLD at 23.35 for a gain of 6.01%
SHORT PLAYS:
SUNH - in at 8.57, COVERED this morning at 8.06 for a gain of 5.95%
COT - in at 6.91, closed today at 7.07 for a loss of 2.49%
CRZO - in at 21.26, closed today at 22.97 for a loss of 8.21%
BR - in at 21.37, closed today at 22.29 for a loss of 4.48%
FAF - in at 15.00, closed today at 15.54 for a loss of 3.77%
All trades above include a commission cost of $8.95 per trade.
Net gain/loss so far this week - gain of 0.17% (up $83.77 on $50,000 invested after commission costs of $179.00). Trading costs accounted for 0.36%.
I need to decide on whether or not I use profit stops - in the case of CRZO I could have netted 5% rather than losing 8%, but for ULTA I took a 6% profit rather than the 19.5% I could have had if I just closed it out at the end of this week.
Either approach, applied consistently, would have made me a LOT more this week.
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daggetk
1 posts
msg #96028
- Ignore daggetk |
9/5/2010 8:35:07 PM
Kevin, thanks for all the work you have done on this forum. I would like to re-produce your results. However, I can't seem to see the latest filter you are using. could you please point me to the latest filter? Thanks again.
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Kevin_in_GA
4,599 posts
msg #96047
- Ignore Kevin_in_GA |
9/7/2010 6:36:49 AM
Sure thing:
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Kevin_in_GA
4,599 posts
msg #96048
- Ignore Kevin_in_GA |
9/7/2010 6:39:43 AM
Here's the "mirror image" short version:
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Kevin_in_GA
4,599 posts
msg #96049
- Ignore Kevin_in_GA |
9/7/2010 6:58:48 AM
I’ll be in London this week on business, with a fairly busy schedule. Back on Friday.
Futures are getting ugly today, so no planned trades.
The filters pulled up a couple of short candidates worth tracking however:
BCRD
KV-A
SNIC
PDE
ITMN
Only three long plays were generated:
BNE
AVNR
EUO
Can’t really track these as I usually do, so I’ll sit in cash for this week.
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markd01
10 posts
msg #96680
- Ignore markd01 |
10/1/2010 8:50:25 PM
Great job, Kevin! Nice job backtesting your strategies, and doing public forward testing..
1) Have you tried setting your entry point to be a further intraday pullback of 3.5% to 7.0 % away from yesterday's close, as long as you can identify a support/resistance trendline? You'd have many unfilled orders, but the ones that do fill have much higher profits and lower drawdowns..
2) At portfolio level, is your whole strategy based on always being market neutral, meaning you'd need to have a short position for each long position at all times? Do you have any research that you could share that this is optimal? I always wanted to build market neutral portfolios too, but found that in reality I'd enter positions according to market conditions. For example, if your ultimate goal is to have 10 positions in a portfolio, 5 long and 5 short, you'd enter long positions as markets are oversold, and then enter short positions as markets are overbought.
3) Do you have backtest results that show that exiting after RSI(2) > 70 for longs and RSI(2) < 30 for shorts is not optimal, and a time based stop loss of holding one week at the most is better? I've been struggling to prove it, taking opportunity cost into account. For example, if I went long, my stock kept on dropping for a month, but eventually came back and broke even when RSI(2) > 70, I'd spend 30 days to earn 0%. Taking opportunity cost into account, I could have gotten out at say 10% loss after 10 days, but then traded two more positions with the same cash, each earning me more than 5%, in which case using a time based stop loss and accounting for opportunity cost might be the better option.
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saratur
14 posts
msg #96701
- Ignore saratur |
10/3/2010 4:07:48 AM
Kevin - do you continue to follow the system ? Any new conclusions?
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Kevin_in_GA
4,599 posts
msg #96702
- Ignore Kevin_in_GA |
10/3/2010 10:22:23 AM
Sorry for the lack of recent posts - I have been looking at some new software that is pretty slick (StrataSearch, free fully functional demo available at www.stratasearch.com). It generates millions of combinations of different indicators and backtests them against any set of stocks and time frames the user chooses. Very fast, and I have been evaluating several filters that it has generated.
This approach is less effective of late, due to the high correlation between stocks (upwards of 90% of all stocks move in the same direction each day, making a long/short strategy very challenging to execute profitably).
As I had indicated at the onset, this was an approach I wanted to evaluate and would paper trade for 3 months or so. It did well during July, a little poorer in August, and even less well in September as the stock correlation kept going higher and higher. It crushed the market in overall return early on (from the start on 6/28 through 8/13 it netted 16.3% return versus only 0.7% for the SPY buy and hold) and I think I only had 2 weeks at a fractional percentage loss out of 10 total.
In all honesty I will not be updating this thread any more - I think the filters are good, they trade profitably, and the overall volatility is much less than the market as a whole. Happy to share them with the SF community and hope that others use (and improve upon) them as time goes on.
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wkloss
231 posts
msg #96741
- Ignore wkloss |
10/5/2010 11:15:33 AM
Kevin,
You wrote
"I think the filters are good"
Did you mean the Connor's filters, the Stratasearch filters or both?
This was very educational and I hope you start some new topics soon.
bill
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