| StockFetcher Forums · Filter Exchange · BOLLINGER BAND TRADING STRATEGY | << 1 ... 25 26 27 28 29 ... 39 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #80688 - Ignore Kevin_in_GA |
10/5/2009 10:26:43 PM Now I've got a problem ... 11 stocks hit the CONFIRMATION BUY filter today. AEPI - AEP Industries Inc. EEFT - Euronet Services, Inc. GENT - GENTIUM SPA ADS ITWO - I2 Technologies LAD - LITHIA MOTORS INC MHS - MEDCO HEALTH SOLUTI... RBA - RITCHIE BROS AUCTIO... SMRT - Stein Mart, Inc. SWKS - SKYWORKS SOLUTNS TNS - TNS INC UHS - UNIVERSAL HEALTH SV I'm going to run out of cash soon - I typically am in for ~$1000 per stock, and don't want to go much lower since the return is eaten up by trading costs. Stocks have not turned over all that fast, and several are bleeding red, so it's time to think a bit about what is the best course forward. I'm also concerned about an imminent reversal in the markets, which would put me at a distinct disadvantage relative to playing the inverse ETFs for a while. The goal is to grow principal, not prove a theory. Decisions, decisions .... |
| gabestogie 79 posts msg #80689 - Ignore gabestogie |
10/5/2009 10:43:46 PM Kevin: Can't play em all. Why not pick a max # for this portfolio and replace when you close a position and it will be consistant? Gabe |
| richo 74 posts msg #80699 - Ignore richo |
10/6/2009 5:52:38 AM The number of hits has increased dramatically during the recent past which reflects the short term change in market direction. Are there other indicators that you could employ to tease out the "best of the confirmed" Additionally, you could set up a paper acct and your actual trading acct |
| Kevin_in_GA 4,599 posts msg #80701 - Ignore Kevin_in_GA |
10/6/2009 8:09:33 AM Kevin: Can't play em all. Why not pick a max # for this portfolio and replace when you close a position and it will be consistent? Gabe +++++++++ In backtesting, my max was 50 open positions, which was my thinking on this at $1000 per position. However, that would be an AWFUL lot of money to tie up and keep 100% in the market right now. Current portfolio has 23 open positions, but has only returned about 1% over the past 6 weeks, because of the past two weeks being negative (it was up 7+% three weeks ago). While it is technically a successful strategy, it's return is modest. Being a long-only approach with some buy-and-hold elements (like no stop loss and hold for as long as it takes to hit the exit conditions) makes it vulnerable to a protracted downturn. Will decide what to do before the end of this week. Tempted to try the slow cooker strategy I posted last night. |
| Kevin_in_GA 4,599 posts msg #80702 - Ignore Kevin_in_GA |
10/6/2009 8:12:29 AM The number of hits has increased dramatically during the recent past which reflects the short term change in market direction. Are there other indicators that you could employ to tease out the "best of the confirmed" Additionally, you could set up a paper acct and your actual trading acct +++++++ Yes, but then the paper account is identical to a backtest, which is easier to do. As for other indicators to sort possible "best trades", I should probably do that - already we are sorting by IBD ranking, but it may also be necessary to look at typical support/resistance levels as well to help find good picks. |
| Kevin_in_GA 4,599 posts msg #80710 - Ignore Kevin_in_GA |
10/6/2009 9:19:21 AM Have not had time to evaluate these new stocks - will not pull the trigger on any today. Still trying to decide on what to do here - continue to trade this one mechanically or set up alternative strategies with a mix of longs and inverse ETFs as hedges? Futures look promising right now Dow +62, S&P +9, Nasdaq +10.5. |
| VenturaTrader 44 posts msg #80749 - Ignore VenturaTrader |
10/6/2009 8:57:30 PM Kevin, I thought you were on to something when you were attempting to trade leveraged long and short EFTs with the MACD crossovers which you referenced on the "best short term indicator" thread. A bi-directional trading strategy to profit whether the market is trending up or down! You appear to be leaning in that direction again which is good! Mike |
| BarTune1 441 posts msg #80751 - Ignore BarTune1 |
10/6/2009 9:26:57 PM I am a fan of bi directional trading also. Thats why I thought it might be interesting so see what the results of the BB trading strategy were in reverse. However, its not that simple because the stock list used in Kevin's strategy are the IBD's top stocks which should be inheirently good. If one were to test the strategy in reverse, for shorting, it would be nice to use stocks that were inheirently bad - such as the worst stocks in the universe as ranked by IBD. Crossing the upper BB would signal the short of an overbought bad stock. The optimal low risk portfolio might be comprised of equal long / short holdings - if they could be balanced. I would then further hedge by adding the leveraged SPY etfs whenever the VIX significantly diverged under the BB(9,2) Variance Strategy. It would be nice if you could do all this stuff automated. |
| Kevin_in_GA 4,599 posts msg #80753 - Ignore Kevin_in_GA |
10/6/2009 10:03:54 PM Why do you need bad stocks to short when the price closes above the upper BB? I might wait for it to close red the next day as a confirmation, but other than that this set up should work with any stock. A quick backtest on this idea, over the last four months (hard time to effectively short in the uptrend we have had): Test started on 06/05/2009 ended on 10/05/2009, covering 84 days Filter used: close is below close 1 day ago close 1 day ago is above upper bollinger bands(16,2.5) 1 day ago average volume(50) is above 50000 stock is optionable and apply to watchlist(IBD1,IBD2,IBD3) Trade Statistics There were 70 total stocks entered. Of those, 21 or 30.00% were complete and 49 or 70.00% were open. Of the 21 completed trades, 10 trades or 47.62%resulted in a net gain. Your average net change for completed trades was: -2.46%. The average draw down of your approach was: -20.04%. The average max profit of your approach was: 10.82% The Reward/Risk ratio for this approach is: 0.69 Annualized Return on Investment (ROI): -14.48%, the ROI of ^SPX was: 29.47%. Not good. A slightly better timeframe for shorting: Approach Name: unnamed approach Test started on 01/05/2009 ended on 05/05/2009, covering 83 days Filter used: close is below close 1 day ago close 1 day ago is above upper bollinger bands(16,2.5) 1 day ago average volume(50) is above 50000 stock is optionable and apply to watchlist(IBD1,IBD2,IBD3) Trade Statistics There were 86 total stocks entered. Of those, 36 or 41.86% were complete and 50 or 58.14% were open. Of the 36 completed trades, 34 trades or 94.44%resulted in a net gain. Your average net change for completed trades was: 16.40%. The average draw down of your approach was: -7.50%. The average max profit of your approach was: 19.28% The Reward/Risk ratio for this approach is: 41.75 Annualized Return on Investment (ROI): 246.80%, the ROI of ^SPX was: -8.13%. Still works. Not optimized of course, but the basic concept is valid. All depends on the timeframe. |
| chetron 2,817 posts msg #80760 - Ignore chetron |
10/7/2009 6:41:38 AM you don't necessarily short bad equities, though it can help. the better thought is overpriced, because when you buy an equity below a lbb, aren't you saying it is underpriced??????? hth |
| StockFetcher Forums · Filter Exchange · BOLLINGER BAND TRADING STRATEGY | << 1 ... 25 26 27 28 29 ... 39 >>Post Follow-up |
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