Kevin_in_GA
4,599 posts
msg #95957
- Ignore Kevin_in_GA |
9/2/2010 10:31:03 AM
ULTA - scored 2/6 on the new Connors filters, and is more than 2 SD below its usual relationship with the SPY. Entry would be at 22.00, stop loss at 21.35, and profit target at 23.35
++++++
Order filled at 22.00. Already hit profit target (6%) at 23.35. SOLD at 23.35.
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Kevin_in_GA
4,599 posts
msg #95970
- Ignore Kevin_in_GA |
9/3/2010 9:15:37 AM
9-2-2010 UPDATE:
LONG PLAYS:
TAP - in at 43.70, closed today at 44.75 for a gain of 2.22% CLOSED ABOVE MA(10) - WILL SELL TODAY, BUT WILL WAIT TO SEE IF IT GOES ABOVE 45 BASED ON FUTURES LOOKING VERY POSITIVE
PEP - in at 64.09, SOLD today at 64.89 for a gain of 1.07% CROSSED MA(10)
LULU - in at 33.94, closed at 34.36 for a gain of 1.06%
INFY - in at 57.50, SOLD at 59.70 for a gain of 3.64% CROSSED MA(10)
ULTA - in at 22.00, SOLD at 23.35 for a gain of 6.01% (PROFIT TARGET HIT).
SHORT PLAYS:
SUNH - in at 8.57, COVERED this morning at 8.06 for a gain of 5.95%
COT - in at 6.91, closed today at 7.08 for a loss of 2.63%
CRZO - in at 21.26, closed today at 22.37 for a loss of 5.39%
BR - in at 21.37, closed today at 21.87 for a loss of 2.51%
FAF - in at 15.00, closed today at 15.66 for a loss of 4.57%
All trades above include a commission cost of $8.95 per trade.
Net gain/loss so far this week - gain of 0.21% (up $106.01 on $50,000 invested after commission costs of $125.30).
Should have used profit targets on several of the shorts this week. CRZO was at 5+% profit earlier this week, now trading at a 5+% loss.
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Kevin_in_GA
4,599 posts
msg #95971
- Ignore Kevin_in_GA |
9/3/2010 9:40:43 AM
Out of TAP at 45.03 for a gain of 3.04%.
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Kevin_in_GA
4,599 posts
msg #95972
- Ignore Kevin_in_GA |
9/3/2010 9:47:49 AM
Out of LULU at 35.42 for a gain of 4.36%.
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Kevin_in_GA
4,599 posts
msg #96021
- Ignore Kevin_in_GA
modified |
9/5/2010 11:37:13 AM
9-3-2010 UPDATE:
LONG PLAYS:
TAP - in at 43.70, SOLD at 45.03 for a gain of 3.04%
PEP - in at 64.09, SOLD at 64.89 for a gain of 1.07%
LULU - in at 33.94, SOLD at 35.42 for a gain of 4.36%
INFY - in at 57.50, SOLD at 59.70 for a gain of 3.64%
ULTA - in at 22.00, SOLD at 23.35 for a gain of 6.01%
SHORT PLAYS:
SUNH - in at 8.57, COVERED this morning at 8.06 for a gain of 5.95%
COT - in at 6.91, closed today at 7.07 for a loss of 2.49%
CRZO - in at 21.26, closed today at 22.97 for a loss of 8.21%
BR - in at 21.37, closed today at 22.29 for a loss of 4.48%
FAF - in at 15.00, closed today at 15.54 for a loss of 3.77%
All trades above include a commission cost of $8.95 per trade.
Net gain/loss so far this week - gain of 0.17% (up $83.77 on $50,000 invested after commission costs of $179.00). Trading costs accounted for 0.36%.
I need to decide on whether or not I use profit stops - in the case of CRZO I could have netted 5% rather than losing 8%, but for ULTA I took a 6% profit rather than the 19.5% I could have had if I just closed it out at the end of this week.
Either approach, applied consistently, would have made me a LOT more this week.
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daggetk
1 posts
msg #96028
- Ignore daggetk |
9/5/2010 8:35:07 PM
Kevin, thanks for all the work you have done on this forum. I would like to re-produce your results. However, I can't seem to see the latest filter you are using. could you please point me to the latest filter? Thanks again.
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Kevin_in_GA
4,599 posts
msg #96047
- Ignore Kevin_in_GA |
9/7/2010 6:36:49 AM
Sure thing:
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Kevin_in_GA
4,599 posts
msg #96048
- Ignore Kevin_in_GA |
9/7/2010 6:39:43 AM
Here's the "mirror image" short version:
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Kevin_in_GA
4,599 posts
msg #96049
- Ignore Kevin_in_GA |
9/7/2010 6:58:48 AM
I’ll be in London this week on business, with a fairly busy schedule. Back on Friday.
Futures are getting ugly today, so no planned trades.
The filters pulled up a couple of short candidates worth tracking however:
BCRD
KV-A
SNIC
PDE
ITMN
Only three long plays were generated:
BNE
AVNR
EUO
Can’t really track these as I usually do, so I’ll sit in cash for this week.
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markd01
10 posts
msg #96680
- Ignore markd01 |
10/1/2010 8:50:25 PM
Great job, Kevin! Nice job backtesting your strategies, and doing public forward testing..
1) Have you tried setting your entry point to be a further intraday pullback of 3.5% to 7.0 % away from yesterday's close, as long as you can identify a support/resistance trendline? You'd have many unfilled orders, but the ones that do fill have much higher profits and lower drawdowns..
2) At portfolio level, is your whole strategy based on always being market neutral, meaning you'd need to have a short position for each long position at all times? Do you have any research that you could share that this is optimal? I always wanted to build market neutral portfolios too, but found that in reality I'd enter positions according to market conditions. For example, if your ultimate goal is to have 10 positions in a portfolio, 5 long and 5 short, you'd enter long positions as markets are oversold, and then enter short positions as markets are overbought.
3) Do you have backtest results that show that exiting after RSI(2) > 70 for longs and RSI(2) < 30 for shorts is not optimal, and a time based stop loss of holding one week at the most is better? I've been struggling to prove it, taking opportunity cost into account. For example, if I went long, my stock kept on dropping for a month, but eventually came back and broke even when RSI(2) > 70, I'd spend 30 days to earn 0%. Taking opportunity cost into account, I could have gotten out at say 10% loss after 10 days, but then traded two more positions with the same cash, each earning me more than 5%, in which case using a time based stop loss and accounting for opportunity cost might be the better option.
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