mahkoh
1,065 posts
msg #103948
- Ignore mahkoh |
12/22/2011 1:49:35 PM
Intraday buy signal BBBY
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Kevin_in_GA
4,599 posts
msg #103950
- Ignore Kevin_in_GA |
12/22/2011 1:54:34 PM
Yup - BUY signal at 56.85.
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novacane32000
331 posts
msg #103988
- Ignore novacane32000 |
12/24/2011 5:28:00 PM
You may find this helpful.
Some stats on this filter I compiled using the SF Backtest.
It does not take into account the not so good time from July 2011 to present
All stats are based on a max portfolio of 7 and a max selection of 4 stocks/day.
1652 trades from 1/2002 thru 6/2011
1070 wins 65%
582 losses 35%
159 trades resulted in gains of .01% to .99% before broker commission. Assuming $20/trade roundtrip, each trade would need to be at least $2000 or you will end up with a loss after commission is paid.
428 trades resulted in gains of 1% to 2.99%
282 trades resulted in gains of 3% to 4.99%
118 trades resulted in gains of 5% to 6.99%
55 trades resulted in gains of 7% to 9.99%
24 trades resulted in gains of 10% to 14.99%
2 trades resulted in gains of 15% to 19.99%
1 trade resulted in a gain of 20% to 29.99%
1 trade resulted in a gain of 49%
98.3% of all trades will result in a gain of 10% or less
87.8% of all trades will result in a gain of 5% or less
Knowing that I only have about a 12% chance of further gains once I have neared a 5% profit is good reason to take profits at these levels.
Below are the stats for losing trades
10 trades broke exactly even which is considered a loss after commission
150 trades resulted in a loss of 0 to .99%
200 trades resulted in a loss of 1 to 2.99%
106 trades resulted in a loss of 3 to 4.99%
45 trades resulted in a loss of 5 to 6.99%
38 trades resulted in a loss of 7 to 9.99%
22 trades resulted in a loss of 10 to 14.99%
4 trades resulted in a loss of 15 to 19.99%
7 trades resulted in a loss of 20 to 29.99%
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coolsf
21 posts
msg #103992
- Ignore coolsf |
12/25/2011 2:05:47 PM
Novacane, Thanks for the stats. What is the average gain (or loss) / trade as a result of net profits and losses?
It looks like, though we had extended sigma moves on both long and short sides, the net was profitable even in the last 6 months. No?
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coolsf
21 posts
msg #103994
- Ignore coolsf |
12/25/2011 2:32:18 PM
Novacane, One more question.
You said the minimum amount for trading an entry is 2000$. That is the minimum size trading capital for what size account? 10k or 100k?
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JinNJ46
22 posts
msg #103999
- Ignore JinNJ46 |
12/26/2011 7:42:19 AM
Kevin et al,
This is a great educational thread and a seemingly profitable strategy so many thanks for sharing. Have you done any ZScore analysis at the sector level with perhaps a relevant ETF as the stock's proxy index?!
(Sorry if you covered this already. I've not read the entire thread)
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Kevin_in_GA
4,599 posts
msg #104002
- Ignore Kevin_in_GA |
12/26/2011 2:02:31 PM
No. This system trades relatively infrequently as it is, even when using all 500 S&P components. If the same strategy were used on the 9 sector ETFs, I think you would not trade very often and therefore limit your gains.
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novacane32000
331 posts
msg #104004
- Ignore novacane32000 |
12/26/2011 7:49:10 PM
Coolsf
During the period I tested the avr gain for 1652 trades was 0.96%
The avr loss for the 582 losers was -3.33%
The avr gain for the 1070 winners was 3.30%
I used the SF backest and put every trade from 2002 thru 6/2011 into an excel spreadsheet to come up with the stats. Very labor intensive but I did get some interesting numbers.
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novacane32000
331 posts
msg #104005
- Ignore novacane32000 |
12/26/2011 9:30:36 PM
Coolsf
Concerning your ? regarding trading acct size.
If you decide on a max portfolio of 7 stocks and have an acct of $14000 each trade will be be $2000. If your max is 10 then each trade will be $1400 and so on.
Now ,if you make 1% on a $2000/trade you made $20 but your broker took $10 from you to get in and $10 on the way out so you essentially broke even. Looking at my stats there were 160 trades that made 1% or less that would have to be considered a loss if your trade size is $2000 .
Of course this is only a problem for those with small accts.The larger your trade size the less broker commisions will effect you.
Another reality that must be realized when trading this system is the fact that you will rarely get in at the opening price unless you put in a limit order right after the opening bell. Problem is I found 78 trades of the 1652 that took off after the open and never came back to hit that limit order. The avr gain on those trades was 4.62%,well above the avr win of 3.30%. So yes -slippage is a concern.
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coolsf
21 posts
msg #104008
- Ignore coolsf |
12/27/2011 8:53:16 AM
Trading with a 2000$ position size per trade just doesn't work. I am sorry to throw water on small accounts but it doesn't work, even if your gain is 50$. I would not trade for a 50$ gain. I am not using the word "50$ average gain", mind you. Average gain and gain are 2 different words.
In my honest opinion, position sizes should be atleast 5000$. May be you may not be able to take 10 trades at the same time, but if the win ratio is good, I would use a decent position size to make an impact on the account. It would also mean fewer trades, 3 instead of 10, but I would have confidence in the win ratio.
2, I know we have to go by the system, but honestly I don't think I would allow any position to go greater than 10% loss unless it is a gap down more than that.
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