Kevin_in_GA
4,599 posts
msg #94858
- Ignore Kevin_in_GA |
7/17/2010 6:11:01 PM
Better to trade a new system on paper for a while (especially in the current market) to be sure that it makes both sense and money for you. Also, each trader has a style and time frame that suits them - I was not sure that this would necessarily work for me, but so far so good.
Also, posting updates like these force me to be sure that I am clear in my rationale for each trade, and have thought through both the entry and exit. Good behaviors for me to develop!
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wkloss
231 posts
msg #94884
- Ignore wkloss |
7/18/2010 12:30:16 PM
Kevin,
Regarding your dollar-neutral strategy, I want to offer a different perspective. I assume you are trying for balanced risk. I have repeatedly seen a metric that says markets fall 2 1/2 times faster than they rise. If that is true, then it would seem to require $25,000.00 in longs to balance $10,000.00 in shorts. I have never attempted a balanced strategy so in fairness, I cannot tell you firsthand that the concept works...but it seems to make sense. Your thoughts?
Also on Connors, I'm sure you read his end of month strategy. I made quite a bit of money in the late 1990's using a variation called seasonality from Market Logic. I believe Connors' variation might work although it certainly is hard to test on SF. This is one of Connors' strategies that I have not seen you try or mention and wondered why.
Watching you develop and modify trading strategies is really interesting.
Bill
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Kevin_in_GA
4,599 posts
msg #94887
- Ignore Kevin_in_GA |
7/18/2010 12:49:48 PM
wkloss:
my thinking on this is that if you want to balance risk, you basically need to do one of two things:
1) Balance long and short trades using "dollar neutrality" - equal investment size for both long and short portfolios
2) Balance your trades using volatility ("beta neutrality") - long and short portfolio investment sizes are based on the aggregate volatility of each.
The former is easier to do than the latter, and so far has worked out reasonably well.
Truth is, I am really using a hybrid of these two approaches- the overall investment is dollar neutral between long and short portfolios, but the stop losses and profit targets are based on each stock's recent volatility.
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optionplayer333
801 posts
msg #94890
- Ignore optionplayer333 |
7/18/2010 5:45:41 PM
kevin if you want to make money you need the profit indicator high- looked at the follwoing stock you were working with 0 stock-- profit value fdo-6 fcn-10 tup-5 rgs-9 mon-8 and apc-- apc is the best stock to trade because it has moved an average of 17% the last 6 weeks-look at the following -chart- your making this to hard-kevin-just use this set and you will make much more money and capture 80% of every move--
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optionplayer333
801 posts
msg #94891
- Ignore optionplayer333
modified |
7/18/2010 5:52:08 PM
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optionplayer333
801 posts
msg #94892
- Ignore optionplayer333
modified |
7/18/2010 5:53:37 PM
kevin anytime you get a pos divergence of >60% that an instant cash machine-- apc was a pos diverg of +71% at 36.70- the chart below shws why it so important to have the higher profit indicator stocks lets look at fdo with only a 6
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optionplayer333
801 posts
msg #94893
- Ignore optionplayer333
modified |
7/18/2010 5:59:59 PM
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optionplayer333
801 posts
msg #94898
- Ignore optionplayer333
modified |
7/18/2010 10:01:25 PM
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optionplayer333
801 posts
msg #94902
- Ignore optionplayer333
modified |
7/18/2010 10:42:34 PM
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optionplayer333
801 posts
msg #94903
- Ignore optionplayer333
modified |
7/18/2010 10:49:24 PM
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