duke56468
683 posts
msg #101805
- Ignore duke56468 |
7/25/2011 10:19:27 PM
@mahkoh.....I'm not real consistent with the trade timing and running the filter, but if I'm around the computer I will try to run the filter 2 or three times a day. If I'm late and the stock has already started to climb too much, I don't take the trade. If it was an intraday find by the filter I mostly try to treat it as a daytrade and try to place stops as soon as it goes above break even. If it keeps dropping I assume it will be an end of day pick (but not always) and try to check it just before close. I did go long GME again on the 13th and just sold it today for a -4.95% loss (worst so far). I have been trying to exit losers in 5-10 days since there are no stop loss settings that work well for this filter. Hope this helps.
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mahkoh
1,065 posts
msg #101824
- Ignore mahkoh
modified |
7/26/2011 6:21:39 PM
Thanks for the explanation Duke
I have downloaded 5 returns during the day and pasted them below with their z-score
11:00
WAT -3.47
MMM -3.05
NFLX -2.96
ZMH -2.71
BDX -2.67
LTD -2.65
UTX -2.45
SNA -2.44
LO -2.36
GWW -2.35
DHR -2.33
DGX -2.19
12:00
BDX -2.84
LTD -2.7
LO -2.56
GWW -2.56
SNA -2.43
DHR -2.33
CAH -2.29
13:30
MMM -3.15
BDX -2.85
GWW -2.6
SNA -2.48
LO -2.44
DHR -2.42
CAH -2.23
15:00
BDX -2.81
GWW -2.65
SNA -2.5
DHR -2.33
CAH -2.31
16:30
VAR -2.82
BDX -2.75
GWW -2.62
CFN -2.6
SNA -2.47
PPG -2.43
CAH -2.31
DHR -2.29
DVA -2.12
COP -2
Funny to analyze and see e.g. that MMM made a move above the 200 SMA in the third scan and since dropped below.
I am currently using 2 filters, the original and the one without S&P and 200 SMA requirements. I do draw the 200 SMA though, as I go through the results visually I can see whether it trades above or below and decide whether I believe there to be sufficient support to justify a trade. For that last purpose I also draw a 50 and 20 SMA and get particularly interested when there is combined support just below. For tomorrow VAR and COP look tempting: for both 50 SMA, monthly pivot point and weekly S2 are all in the 68.50 and 73.50 area resp, outside the S&P WERN and MYGN have the 200 SMA and monthly S1 as combined support at 24.00 and 21.50 resp.
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BillRoberts
10 posts
msg #101827
- Ignore BillRoberts |
7/26/2011 8:39:28 PM
Great Job!!
I just read through all the posts, and find it very interesting.
I just wanted some clarification on how this would actually be traded.
1. Trading is done in "pairs" with the SP500, so If I were trading in blocks of $2,000 I would by $2000 worth of -2 Z stock (say ABC) and $2000 of SPY. When ABC hits -1Z or I've held it for 20 days I sell all of it as well as the number of shares of SPY that I bought when I bought ABC. Is that correct?
2. Is the 20 days calendar day or trading days?
3. Did your results show 5 open "pairs" of stocks for 15 days give about the same results as 10 open "pairs" for 20 days?
Thanks,
Bill
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BillRoberts
10 posts
msg #101828
- Ignore BillRoberts |
7/26/2011 8:42:13 PM
One more.
Filter is only run after the End of the Day, those that are above -1z are sold the next day at the open, and if more stocks are needed, the largest -z is purchased, again at the opening price?
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Kevin_in_GA
4,599 posts
msg #101831
- Ignore Kevin_in_GA
modified |
7/26/2011 9:27:17 PM
I just read through all the posts, and find it very interesting.
I just wanted some clarification on how this would actually be traded.
1. Trading is done in "pairs" with the SP500, so If I were trading in blocks of $2,000 I would by $2000 worth of -2 Z stock (say ABC) and $2000 of SPY. When ABC hits -1Z or I've held it for 20 days I sell all of it as well as the number of shares of SPY that I bought when I bought ABC. Is that correct?
2. Is the 20 days calendar day or trading days?
3. Did your results show 5 open "pairs" of stocks for 15 days give about the same results as 10 open "pairs" for 20 days?
Thanks,
Bill
+++++++++++
1. This is technically half of a pairs trade, but you do not short the market (or go long as you had indicated). You only buy the stock that comes up on the filter. A portfolio of 5 stocks max at any time seems to work the best, even though the filter was optimized for a portfolio of 10 stocks.
2. Use max holding period of 15 trading days (not calendar).
3. No.
And to your final question - no. You sit in cash until a new trade is signaled.
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Kevin_in_GA
4,599 posts
msg #101832
- Ignore Kevin_in_GA |
7/26/2011 9:32:06 PM
7/26/2011 signals:
BUYS:
DHR Danaher Corporation
CAH Cardinal Health, Inc.
PPG Ppg Industries, Inc
SNA Snap-on Incorporated
CFN Carefusion Corporation
GWW W.W. Grainger, Inc.
BDX Becton, Dickinson And Company
VAR Varian Medical Systems, Inc.
MMM 3M
No SELL signals.
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BillRoberts
10 posts
msg #101833
- Ignore BillRoberts |
7/26/2011 9:45:52 PM
Thanks,
That's even easier.
By -Z I get:
VAR -2.82
BDX -2.75
GWW -2.62
CFN -2.60
SNA -2.29
Are you still using the SF code from your original post?
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Kevin_in_GA
4,599 posts
msg #101836
- Ignore Kevin_in_GA |
7/27/2011 6:36:33 AM
Yes.
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mahkoh
1,065 posts
msg #101837
- Ignore mahkoh |
7/27/2011 7:10:06 AM
Kevin, I notice you have MMM on your eod list. Did you let go of the 200 SMA requirement?
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mdaprasad
6 posts
msg #101842
- Ignore mdaprasad |
7/27/2011 11:29:34 AM
Kevin,
Which filter are you using for entry and exit? What is the process of using this filter. Also, are you still using TRO's BUYZONE method?
Thanks in advance
Prasad
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