Kevin_in_GA
4,599 posts
msg #79074
- Ignore Kevin_in_GA |
9/11/2009 3:51:44 PM
In on UNFI at $24.36. There is no question it will close below the lower BB today, and it had started moving up from its low, so I crossed my fingers and bought in.
Will add it to the portfolio and update tonight.
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Kevin_in_GA
4,599 posts
msg #79076
- Ignore Kevin_in_GA |
9/11/2009 3:53:01 PM
Thanks, xxcheck! I saw that, but still am not sure why the stock is selling off.
I hate buying on Friday afternoons ... but I did it anyway.
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stratiG
147 posts
msg #79078
- Ignore stratiG |
9/11/2009 4:51:15 PM
eh Kevin,
I have the latest IBD 100 in a watch list and RKT just closed below BB 16-1.5. If you want the latest list, let me
know and I'll e-mail it to you.
stratIG
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gaurav
11 posts
msg #79080
- Ignore gaurav |
9/11/2009 4:56:53 PM
stratig,
Do you mind posting the list here?
Thanks
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DLB7
43 posts
msg #79083
- Ignore DLB7 |
9/11/2009 5:31:46 PM
AAP:
Looking at the 1 year weekly chart it's interesting to note that there was a volume surge on earnings on 2/17/09 with a high of $37.97ish.
Because of the volume video that you posted (fantastic, thanks) I drew a horizontal line from the 2/17 high to todays low. It almost matches the low of $38.08. If the volume video is correct this could become a significant support line, be interesting to see.
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Kevin_in_GA
4,599 posts
msg #79084
- Ignore Kevin_in_GA |
9/11/2009 5:59:20 PM
eh Kevin,
I have the latest IBD 100 in a watch list and RKT just closed below BB 16-1.5. If you want the latest list, let me
know and I'll e-mail it to you.
stratIG
+++++++++++++++++++++++++++++++++++++++
No need, I used one from about two weeks ago as part of the 458 stocks on the 3 watchlists. Most likely that all of this week's stock are in there already.
As to using 1.5 SD instead of 2.5 SD, I will post a comparison of the two systems in a few minutes from the optimization program I have been using. It will compare all 458 stocks including transaction costs over the last year for both systems.
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Kevin_in_GA
4,599 posts
msg #79085
- Ignore Kevin_in_GA
modified |
9/11/2009 6:02:30 PM
Here you go:
Optimization: BB-OPT-TS (09/11/2009 18:01:34)
Trading System: BB-OPT
Iterations: 12
Time: 1:16
Symbols Tested: 458 (QP:ibd stock list)
From [09/11/2008 09:30] to [09/11/2009 16:00]
Average: 65.197, Best: 141.73
V#1 V#2 [APT] Net %PROF TRADES
16 2.5 $141.728 $136767.19 64% 965
17 2.5 $140.490 $131076.77 63% 933
15 2.5 $134.846 $132014.50 64% 979
16 2 $61.204 $105271.46 66% 1720
15 2 $60.262 $108230.59 66% 1796
17 2 $58.449 $95271.36 65% 1630
17 1.5 $37.891 $90066.62 68% 2377
16 1.5 $33.868 $83654.58 67% 2470
15 1.5 $32.140 $84142.91 67% 2618
16 1 $27.781 $92399.55 68% 3326
17 1 $27.470 $86064.75 68% 3133
15 1 $26.232 $92256.96 68% 3517
16,2.5 System:
Note that the average profit per trade was $141.73 (on an initial $2000 investment) = 7.08% after trading costs. On 965 trades you netted $136,767 and were right 64% of the time.
16,1.5 System:
Note that the average profit per trade was $33.87 (on an initial $2000 investment) = 1.66% after trading costs. On 2470 trades you netted only $83,654 and were right 67% of the time.
I'll take the 2.5 system over the 1.5 system.
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Kevin_in_GA
4,599 posts
msg #79091
- Ignore Kevin_in_GA
modified |
9/11/2009 6:51:25 PM
Not to beat a dead horse here, but here is a side-by-side backtest over the last four months using SF:
BOLLINGER(16,1.5) TEST
Test started on 05/08/2009 ended on 09/09/2009, covering 85 days
Filter used:
close is below lower bollinger bands(16,1.5)
close is above 1
average volume(50) is above 50000
and apply to watchlist(IBD1,IBD2,IBD3)
Trade Statistics
There were 235 total stocks entered. Of those, 185 or 78.72% were complete and 50 or 21.28% were open.
Of the 185 completed trades, 164 trades or 88.65% resulted in a net gain.
Your average net change for completed trades was: 8.76%.
The average draw down of your approach was: -6.54%.
The average max profit of your approach was: 10.91%
The Reward/Risk ratio for this approach is: 14.26
Annualized Return on Investment (ROI): 144.52%, the ROI of ^SPX was: 38.77%.
BOLLINGER(16,2.5) TEST
Test started on 05/08/2009 ended on 09/09/2009, covering 85 days
Filter used:
close is below lower bollinger bands(16,2.5)
close is above 1
average volume(50) is above 50000
and apply to watchlist(IBD1,IBD2,IBD3)
Trade Statistics
There were 80 total stocks entered. Of those, 31 or 38.75% were complete and 49 or 61.25% were open.
Of the 31 completed trades, 31 trades or 100.00% resulted in a net gain.
Your average net change for completed trades was: 19.71%.
The average draw down of your approach was: -5.74%.
The average max profit of your approach was: 23.19%
The Reward/Risk ratio for this approach is: 0.00
Annualized Return on Investment (ROI): 150.74%, the ROI of ^SPX was: 38.77%.
Anybody can do the same test. The message here is that I have looked at other combinations, and think the data compellingly argues for the current settings. You may, of course, trade this in any fashion you want, but then you are not trading the system I laid out. Your call.
Kevin
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Kevin_in_GA
4,599 posts
msg #79095
- Ignore Kevin_in_GA
modified |
9/11/2009 8:23:40 PM
UNFI up $0.45 to $24.75 in after hours trading (+1.85%). I bought in at $24.36 before the close today.
AAP up $0.17 in after hours trading (+0.43%). May pick this one up on Monday - still a little concerned about the large volume and lack of closes above the upper BB, though.
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jnafach
74 posts
msg #79097
- Ignore jnafach |
9/11/2009 8:47:48 PM
is the entry on open of following day and exit same or at the close as I looked at two pick on backtesting and it did not match the open and close price
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