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a24ali
15 posts
msg #79671
Ignore a24ali
modified
9/19/2009 7:28:33 PM

Kevin,

I agree with you, no need to modify/or change the system. I am just thinking to use the effective volume as confirmation method. i havent back tested long enough to see if this works, but i am hoping by using the effective volume, i wont buy the stock in its early pull back stage.

Here are some examples of using the effective volume/active boundary..

http://i34.tinypic.com/15rihkw.gif

and here's the Active Boundary
http://tinypic.com/view.php?pic=29beywy&s=4

as you see, from this graph.. There was large sell off (BY Large Players) around Sept. 2/3 which caused the price to drop, however, by Sept. 4, the effective volume regained most of its loss..

For OTEX
http://i34.tinypic.com/15rihkw.gif

http://i37.tinypic.com/30k6e5e.gif

While prices were going down, from Aug. 25 to sept. 1, the effective volume was increasing..this seemed to be a healthy pullback.

This is the case with MANT:
http://i37.tinypic.com/30k6e5e.jpg
It seems, Large Players are selling off..looking at this, most likely i would wait for the effective volume to stablize and show sign of buying before i get in.

Finally, looking at STEC
http://i33.tinypic.com/2gy8yah.gif

STEC is giving mix signals... the effective volume is picking up but prices continues to go down.

As I said before, i need to do more testing to validate this method. I will do actually trading starting next week.. Use your system to screen for the stocks and then use the effective volume as additional confirmation method.


Kevin_in_GA
4,548 posts
msg #79676
Ignore Kevin_in_GA
9/19/2009 8:30:37 PM

http://i34.tinypic.com/15rihkw.gif

and here's the Active Boundary
http://tinypic.com/view.php?pic=29beywy&s=4

as you see, from this graph.. There was large sell off (BY Large Players) around Sept. 2/3 which caused the price to drop, however, by Sept. 4, the effective volume regained most of its loss..

For OTEX
http://i34.tinypic.com/15rihkw.gif same link as for AMED

http://i37.tinypic.com/30k6e5e.gif same as below for MANT

While prices were going down, from Aug. 25 to sept. 1, the effective volume was increasing..this seemed to be a healthy pullback.

This is the case with MANT:
http://i37.tinypic.com/30k6e5e.jpg

It seems, Large Players are selling off..looking at this, most likely i would wait for the effective volume to stablize and show sign of buying before i get in.

Finally, looking at STEC
http://i33.tinypic.com/2gy8yah.gif
++++++++++++++++++++++++++++++++

I get the picture here - interesting technique. Looks like you could run this at the end of the day to keep track of stocks you have invested in, and pull out when the big boys do.

How hard is this to generate? Looks like you are doing this in Excel, right?

klynn55
425 posts
msg #79678
Ignore klynn55
9/19/2009 8:34:44 PM

a24: how did you produce the charts, what software uses villian's scans?

gabestogie
79 posts
msg #79679
Ignore gabestogie
9/19/2009 8:50:01 PM

A24:
Looks like a no brainer.How do we pull up charts such as these? This is how the smart money plays, they get in & out before the avg. investor does.
Gabe

a24ali
15 posts
msg #79686
Ignore a24ali
9/19/2009 11:27:34 PM

I am not used posting images here, my appologies..here are the correct graphs for Otex and MANT.

MANT
http://tinypic.com/view.php?pic=2ib1c9y&s=4

OTEX
http://tinypic.com/view.php?pic=2jdm44g&s=4

a24ali
15 posts
msg #79689
Ignore a24ali
9/19/2009 11:40:43 PM

klynn55
- Ignore klynn55 9/19/2009 8:34:44 PM

a24: how did you produce the charts, what software uses villian's scans?



gabestogie
- Ignore gabestogie 9/19/2009 8:50:01 PM

A24:
Looks like a no brainer.How do we pull up charts such as these? This is how the smart money plays, they get in & out before the avg. investor does.
Gabe
----------------

Klynn55 and gabestogie,
These graphs are from Willain website, not mine..his method and calculation of the effective volume is detailed in his book Value in Time. I first came across his method through reading Alexander Elder's Entry and Exist book.

there are Plug-ins that calculate the Effective Volume for most trading softwares, such as Tradestation, amibroker,esignal.and excel add-on. '


Kevin_in_GA
4,548 posts
msg #79738
Ignore Kevin_in_GA
9/20/2009 8:04:43 PM

Looking at the Active Boundaries data for AMED, the maxima and minima (upon which the best trade signals would be generated) corresponded almost exactly with the Bollinger Band signals as well. I used 2 SD in this case, to try to get the current active boundary values as close as possible to a set of upper and lower BBs.

My thinking is that the Effective Volume data is unique, but the Active Boundaries can be easily reproduced using Bollinger Bands.

Kevin_in_GA
4,548 posts
msg #79740
Ignore Kevin_in_GA
9/20/2009 8:15:40 PM

A quick backtest of this approach over the past four months -

Just like to be sure that this system is working OK. Will do this periodically to keep the system honest.

Scenario 1 - No stops at all (profit, trailing or loss):

Name: BOLLINGER BAND(16,2.5) IBD STOCKS
Initial portfolio Size: $100000.00
Maximum Open Positions: 50
Initial transaction size: $2000.00
Start Date: 06/01/09
End Date: 09/18/09
# Trading Days: 77


There were 84 total stocks entered. Of those, 44 or 52.38% were complete and 40 or 47.62% were open.
Of the 44 completed trades, 44 trades or 100.00% resulted in a net gain
.
Your average net change for completed trades was: 29.82%.
The average draw down of your approach was: -4.18%.
The average max profit of your approach was: 32.41%
The Reward/Risk ratio for this approach is: 0.00
Annualized Return on Investment (ROI): 277.74%, the ROI of ^SPX was: 56.31%.

Equity Summary
Invested In Stock: $-0.00
Market Value of Stock: $0.00
Market Value - Invested: $0.00
Available Cash: $140526.93
Total (Cash + Market): $140,526.93


Scenario 2 - 20% profit stop (what I am currently using):

Name: BOLLINGER BAND(16,2.5) IBD STOCKS
Initial portfolio Size: $100000.00
Maximum Open Positions: 50
Initial transaction size: $2000.00
Start Date: 06/01/09
End Date: 09/18/09
# Trading Days: 77

There were 98 total stocks entered. Of those, 61 or 62.24% were complete and 37 or 37.76% were open.
Of the 61 completed trades, 61 trades or 100.00%resulted in a net gain.
Your average net change for completed trades was: 19.31%.
The average draw down of your approach was: -4.57%.
The average max profit of your approach was: 21.44%
The Reward/Risk ratio for this approach is: 0.00
Annualized Return on Investment (ROI): 266.40%, the ROI of ^SPX was: 56.31%.

Equity Summary
Invested In Stock: $-0.00
Market Value of Stock: $0.00
Market Value - Invested: $0.00
Available Cash: $131305.45
Total (Cash + Market): $131,305.45

drew9
171 posts
msg #79746
Ignore drew9
9/20/2009 11:47:41 PM

Hi Kevin,

Really nice job on your filter and thanks for sharing! Just noticed your last two backtest results had 84 stocks in Scenario 1 and 98 in Scenario 2. Any idea why these are different when the only variable appears to be a profit stop?



ronun
27 posts
msg #79753
Ignore ronun
9/21/2009 5:24:16 AM

Kevin_in_GA,
Nice work on your Bollinger(16,2.5) filter. It seems to match up with many of the Value Chart trading signals from "Dynamic Trading Indicators." Take a look:

* Calculate FLOATING AXIS*/
SET{VAR1,HIGH + LOW}
SET{VAR2,SUM(VAR1,5)}
SET{FLOATINGAXIS,VAR2 / 10}
AND ADD COLUMN FLOATINGAXIS

/*Calculate VOLITILITY UNIT*/
SET{DIFF1,HIGH - LOW}
SET{DIFF2,SUM(DIFF1,5)}
SET{VOLITILITYUNIT,DIFF2 / 25}
AND ADD COLUMN VOLITILITYUNIT

/*Calculate VALUE CHART HIGH*/
SET{VALUEHI,HIGH - FLOATINGAXIS}
SET{VALUECHARTHIGH,VALUEHI / VOLITILITYUNIT}

AND DRAW VALUECHARTHIGH
AND DRAW VALUECHARTHIGH LINE AT 4
AND DRAW VALUECHARTHIGH LINE AT 8

/*Calculate VALUE CHART LOW*/
SET{VALUELO,LOW - FLOATINGAXIS}
SET{VALUECHARTLOW,VALUELO / VOLITILITYUNIT}

AND DRAW VALUECHARTLOW
AND DRAW VALUECHARTLOW LINE AT -4
AND DRAW VALUECHARTLOW LINE AT -8

AND ADD COLUMN HIGH
AND ADD COLUMN LOW
AND ADD COLUMN VALUECHARTHIGH
AND ADD COLUMN VALUECHARTLOW

SHOW STOCKS WHERE VALUECHARTLOW IS BELOW -8
SHOW STOCKS WHERE CLOSE IS BETWEEN 1 AND 300
AND AVERAGE VOLUME(30) IS ABOVE 100000


Sorry, I haven't figured out how to make it clickable.

ronun

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