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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duke56468
683 posts
msg #101845
- Ignore duke56468 |
7/27/2011 2:12:26 PM
You can increase the % wins by using max of 2 trades a day and 10 total portfolio and the following for selection
set{p, close - ma(200)}
set{percnt, p/ma(200)}
select by percnt descending
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mahkoh
1,065 posts
msg #101855
- Ignore mahkoh |
7/28/2011 5:03:17 PM
Thanks, Duke. I've added this to the filter
set{p, close - ma(200)}
set{above200, p/ma(200)}
set{%above200,above200*100}
add column %above200
This way I can sort by both z-score and %above200.
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