Kevin_in_GA
4,599 posts
msg #95519
- Ignore Kevin_in_GA
modified |
8/8/2010 10:50:58 PM
A little frustrated by my recent inability to get equal long and short trades placed, because I am waiting for a pullback or rise that does not come.
Thus, I am going back to a simpler system – 1) buy at open, 2) set a 3% stop loss and a 6% profit target, 3) close all trades by end of trading on Friday.
LONG plays for this week (4 for Monday):
ABMD
STAA
CRR
ABV
SHORT plays for this week (4 for Monday):
PXP
AUXL
RGLD
ZLC
Let's see how this goes - this is basically what I did in the beginning, but I used stops based on the ATR(10).
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duke56468
683 posts
msg #95522
- Ignore duke56468 |
8/9/2010 9:28:17 AM
Thanks Kevin, I appreciate you sharing all that work with us on this filter.
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Kevin_in_GA
4,599 posts
msg #95527
- Ignore Kevin_in_GA |
8/9/2010 10:35:24 AM
In at the open on all 8 trades - easy to do when you are paper trading!
I will most likely wait till the end of the day to put stops in - last week I got hit too quickly on them. If any are more than 3% down from the open at the end of the day, I'll close them out as if they were stopped out.
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Kevin_in_GA
4,599 posts
msg #95567
- Ignore Kevin_in_GA |
8/10/2010 9:36:54 PM
Still holding all 8 trades for now - no stops put in place (I'm feeling lazy ...)
LONG plays for this week:
ABMD - DOWN 1.36%
STAA - DOWN 3.21% (WILL GIVE THIS ONE MORE DAY)
CRR - DOWN 1.87%
ABV - DOWN 0.13%
SHORT plays for this week:
PXP - UP 3.16%
AUXL - UP 2.82%
RGLD - UP 0.92%
ZLC - UP 1.46%
Net gain/loss so far this week - +0.22% ($89.80 on a total of $40,000 invested).
Net gain/loss so far this week for the SPY - -0.48%.
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Eman93
4,750 posts
msg #95569
- Ignore Eman93 |
8/11/2010 12:11:05 AM
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1350193
An interesting paper on Momentum..... via the Woodsheder, who has been known to lurk these boards.
Keep up the good work.
It might be interesting to you Kevin, he has a blog on I bank coin . com.
He build system trading platforms.
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Kevin_in_GA
4,599 posts
msg #95581
- Ignore Kevin_in_GA |
8/11/2010 3:54:08 PM
Will close out 4 trades at the end of the day today:
Longs - STAA and CRR
Shorts - ZLC and PXP
These are the top winners (the shorts) and the top losers (not surprisingly, the long plays). Will close out at wherever they end up today for a small gain on these four.
Will review filter results tonight and probably fill these orders with new trades for Thursday and Friday.
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Kevin_in_GA
4,599 posts
msg #95582
- Ignore Kevin_in_GA |
8/11/2010 4:08:42 PM
An interesting paper on Momentum..... via the Woodsheder, who has been known to lurk these boards.
Keep up the good work.
It might be interesting to you Kevin, he has a blog on I bank coin . com.
He build system trading platforms.
++++++++++++++++
I have read the paper already (no, honestly) ... it was one of several that helped me to form the basis of my 401k investment strategy. I had not seen his blog, which I will definitely be reading.
The idea of momentum (or relative strength versus the broader market) providing sustained returns over time has been demonstrated in markets all over the world in across many different trading environments and timeframes. While it runs counter to the Efficient Market hypothesis, it nonetheless seems to be real - no reason not to make money from it if you can.
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Kevin_in_GA
4,599 posts
msg #95592
- Ignore Kevin_in_GA
modified |
8/11/2010 8:13:14 PM
Update - 8/11/2010
LONG plays for this week:
ABMD - DOWN 2.82%
STAA - DOWN 6.98% (SOLD at the close today)
CRR - DOWN 5.73% (SOLD at the close today)
ABV - DOWN 1.97%
SHORT plays for this week:
PXP - UP 7.56% (COVERED today at the close)
AUXL - UP 6.51%
RGLD - UP 2.58%
ZLC - UP 9.71% (COVERED today at the close)
Net gain/loss so far this week: +1.11% ($445.27 on a total of $40,000 invested).
Net gain/loss so far this week for the SPY: -3.20%.
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Kevin_in_GA
4,599 posts
msg #95599
- Ignore Kevin_in_GA
modified |
8/11/2010 10:11:57 PM
I am not sure if I will put in any new trades to replace the four exited today – lots of possible long plays, but not a lot of short plays to pair them with. My current thinking is as follows:
Potential Long Plays for tomorrow:
GET - Gaylord Entertainment
IVN – Ivanhoe Mines Ltd
and possibly
CPX – Complete Production Services (testing a new set of Bollinger Band-based filters for this call)
Potential Short Plays:
Not a lot to choose from – most of the short plays are actually the 2x inverse ETFs, which would at least be a good thing for the long plays! Anyway, from the stocks that did show up on my composite short filter I would probably choose
BAX – Baxter Scientific
CYPB – Cypress Biosciences
And keep an eye on EMIS – Emisphere (this is from another BB-based filter set I am developing for short plays that gives great results back-testing since 1/1/2007 – about 84% win rate and average return of 3-4% in about 5 days).
Frankly it all depends on where the futures and numbers are in pre-market tomorrow. 50/50 chance I'll just let the 4 remaining trades play out as they will.
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Kevin_in_GA
4,599 posts
msg #95615
- Ignore Kevin_in_GA |
8/12/2010 10:16:14 PM
Did not open any of the potential trades I listed last night. Probably should have ...
Long Plays:
GET - Gaylord Entertainment - opened at 26.51, closed at 27.03 (up 1.96%)
IVN – Ivanhoe Mines Ltd - opened at 16.49, closed at 16.85 (up 2.18%)
CPX – Complete Production Services - opened at 16.80, closed at 17.50 (up 4.17%)
Short Plays:
BAX – Baxter Scientific - opened at 45.09, closed at 45.80 (down 1.55%)
CYPB – Cypress Biosciences - opened at 3.76, closed at 3.85 (down 2.34%)
EMIS – Emisphere - opened at 1.30, closed at 1.34 (down 2.98%)
Not outstanding, but it would have been profitable to play these 6 (up 0.24% for the day).
Anyway, what really happened was this:
LONG plays for this week:
ABMD - DOWN 4.38%
ABV - DOWN 1.38%
SHORT plays for this week:
AUXL - UP 4.72%
RGLD - UP 1.16%
Net gain/loss so far this week: +0.59% ($236.40 on a total of $40,000 invested).
Net gain/loss so far this week for the SPY: -3.80%.
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