novacane32000
331 posts
msg #104010
- Ignore novacane32000
modified |
12/27/2011 9:48:59 AM
I agree and only used $2000 as an example as to why your position size should be larger.
$4000/trade does not allow commissions to eat away as much on your trades and a max portfolio of 10 will keep your risk at a minimum.
If you only have $20K to trade with --you may be best served to keep your max port size to 5 but your drawdowns will be more severe than with a port. of 10.
----10% stop loss does not work well with this system in the long run
Of the 1652 trades I looked at ,140 hit the 10% stop.Holding on to these trades until the z-score triggered a sell resulted in an avr loss/trade of only -6.74%
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Kevin_in_GA
4,599 posts
msg #104034
- Ignore Kevin_in_GA |
12/28/2011 10:09:43 PM
Just noticed that IBM is at a Z-score of -1.06. I would close this trade at the open tomorrow.
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Kevin_in_GA
4,599 posts
msg #104057
- Ignore Kevin_in_GA |
12/30/2011 2:37:01 PM
Intraday SELL for
MAT in at 27.59, out at 27.96 for a gain of 1.3%
BBBY in at 56.85, out at 58.44 for a gain of 2.8%
and yesterday one would have sold IBM at the open price of 184.07 for a gain of 2.3%.
As of now, there are no open trades or intraday BUY signals.
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Billirider321
62 posts
msg #104119
- Ignore Billirider321 |
1/1/2012 1:52:26 PM
After a long time I am back to SF in search of some good filters. Few of my thoughts in improving this filter is.
1. IF the stock has good volume you can trade options and make some good coin.
2. Look for stock which are just above 200 day average and put open orders for next day close to 200 day ma. from my 7 yr experience I see lot of trades stock to 200 day and go higher.
3. slope of ma(70) needs to be positive on spy is a good market direction filter.
4. Enter stock selected today with a 1 to 5 % below the closing price. I am not sure how to test that in backtest.
Problems with these result -
Kevin - does your test account for delisted stocks. how about survivorship bias.
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Kevin_in_GA
4,599 posts
msg #104193
- Ignore Kevin_in_GA |
1/3/2012 1:22:50 PM
Intraday BUY signal for Autozone (AZO) at 319.48. Zscore is -2.76, price is currently below the lower BB(16,2), and the William's %R is at -98.25.
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novacane32000
331 posts
msg #104221
- Ignore novacane32000 |
1/4/2012 3:49:45 PM
Is there a way to have SF notify you when there is an intraday signal for your filter? Or is it up to you to refresh your filter throughout the day?
I have always had to refresh the filter but am hoping for an easier way.
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Billirider321
62 posts
msg #104228
- Ignore Billirider321 |
1/5/2012 9:09:06 AM
If you bought AZO option jan 21 strike 320 for 4.50 you could have sold it for 10 dollars today.
I did watch azo showing up intraday. I am still testing this system.
Looks to be a nice one.
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Kevin_in_GA
4,599 posts
msg #104236
- Ignore Kevin_in_GA |
1/5/2012 5:00:15 PM
End of day SELL signal for AZO. In at 319.40, out at the close today at 333.85 (a gain of 4.5%).
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mahkoh
1,065 posts
msg #104253
- Ignore mahkoh |
1/6/2012 2:59:29 PM
Buy signal for COST at 81.60
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Kevin_in_GA
4,599 posts
msg #104255
- Ignore Kevin_in_GA |
1/6/2012 3:32:15 PM
Yup, now at 81.61. This signal may not be there at the end of the day since the Bolinger %B(16,2) is at -0.01 and it may move back within the bands before the close. I'll add this as an intraday BUY at 81.61 an we'll see how it plays out.
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