StockFetcher Forums · Filter Exchange · BOLLINGER BAND TRADING STRATEGY<< 1 ... 22 23 24 25 26 ... 39 >>Post Follow-up
gabestogie
79 posts
msg #80463
Ignore gabestogie
10/1/2009 3:56:37 PM

Nice,another good call.
Gabe

drew9
171 posts
msg #80465
Ignore drew9
10/1/2009 4:51:20 PM

Kevin, this is by far one of the most professional and well done threads ever for SF. Great Job! Just wanted to chime in a bit on the stop loss that a few folks have voiced. You mentioned that you are only trading small dollar amounts and are fine with potentially losing your initial investment. If you look at any good trade strategy - including IBD, they will tell you to take losses quick and move on (8-10%). The results that you show NOT using a stop loss are not accurate as they only take into account closed trades. Unfortunately, the trades that remain are those that are mainly down and in some instances a lot. If you look at the Backtest Equity Summary you can see the final day closes out all the remaining trades and it is a big loss which puts the system into a losing status. This assumes they were all closed out that day but if traded for real, any account equity would still be negative for that day. I have done some tweaking and played with the stop loss (not trailing stop). If you want to look at the worst case scenario (11/6 - 3/6) using an 8% stop loss and changing the exit to "Price touched upper Bollinger Band(16,2.5), this basically allowed the system to break even during this timeframe. Again, look at the Equity Summary not the win loss results. Overall, this is still a huge accomplishment and a system I would and probably will consider trading. During the better times such as the last 6 months, it typicall shows W/L % of 70+ and it is very profitable. I did notice during this timeframe, it was better to use your exit of "close above BB" and it gave better results in an up market. Just wanted to add my insights as I really like what you have done but feel other traders like myself may not be willing to accept your level of risk. If you or others care to tweak this further for better results please pass them along.

One other question, how are you obtaining your IBD list and how often does it get revised. I have read it a lot usually while traveling but have never subscribed. Do you subscribe to the online version? Is the IBD 100 Relative Strength revised weekly or daily? I was just curious what I needed to do and how often to update the list.

Kevin_in_GA
4,553 posts
msg #80466
Ignore Kevin_in_GA
modified
10/1/2009 5:25:56 PM

Drew9:

Great questions. Let me try to answer:

I do look at Equity Summary. Here it is for the two time frames I used to look at trailing stop losses:

BOLLINGER CONFIRMATION BUY WITH 10% TRAILING STOP, 20% PROFIT STOP

3/10/09 TO 7/10/09

EQUITY SUMMARY: Total (Cash + Market): $101,343.49 ($100,907.92 without profit stop)

11/06/08 TO 3/06/09

EQUITY SUMMARY: Total (Cash + Market): $94,359.45 ($93,325.18 without profit stop)


BOLLINGER CONFIRMATION BUY WITH NO TRAILING STOP, 20% PROFIT STOP

3/10/09 TO 7/10/09

EQUITY SUMMARY: Total (Cash + Market): $106,067.59 ($104,506.41 without profit stop)

11/06/08 TO 3/06/09

EQUITY SUMMARY: Total (Cash + Market): $99,573.97 ($102,027.07 without profit stop)

Obviously you do better without any stops under both good market conditions and bad. I make this statement based on both the annualized ROI versus ^SPX and the Equity Summary.

The IBD lists I compiled by hand, using the top 100 as well as any in the 2500 stocks they rate that were above 85 as of Mid-September. I do not update this list at the moment, since the IBD rankings should be based on longer term fundamental performance (EPS rising last three quarters, sales increases, cash, etc).

Kevin_in_GA
4,553 posts
msg #80467
Ignore Kevin_in_GA
modified
10/1/2009 6:02:38 PM

A little more on equity and backtesting:

Backtesting against the time I have been trading (since 8/26 until the open today, when all held stocks are sold - so it doesn't take today's big hit into account)

Approach Name: BOLLINGER BAND CONFIRMATION BUY
Test started on 08/26/2009 ended on 10/01/2009, covering 25 days

10% Trailing Stop, 20% Profit Stop

There were 27 total stocks entered. Of those, 13 or 48.15% were complete and 14 or 51.85% were open.
Of the 13 completed trades, 12 trades or 92.31% resulted in a net gain.
Your average net change for completed trades was: 10.40%.

The average draw down of your approach was: -2.41%.
The average max profit of your approach was: 15.69%
The Reward/Risk ratio for this approach is: 27.09
Annualized Return on Investment (ROI): 230.22%, the ROI of ^SPX was: 2.40%.


Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 5 times or 38.46% of the time.
Trailing Stop Loss was triggered 5 times or 38.46% of the time.
You held for the maximum period of time (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 3 times or 23.08% of the time.


Total (Cash + Market): $102,309.80

+++++++++++++++++++++++++++++++++++++++++++++++++++++++++


Approach Name: BOLLINGER BAND CONFIRMATION BUY
Test started on 08/26/2009 ended on 10/01/2009, covering 25 days

No Trailing Stop, 20% Profit Stop

There were 26 total stocks entered. Of those, 10 or 38.46% were complete and 16 or 61.54% were open.
Of the 10 completed trades, 10 trades or 100.00% resulted in a net gain.
Your average net change for completed trades was: 17.27%.

The average draw down of your approach was: -1.99%.
The average max profit of your approach was: 19.07%
The Reward/Risk ratio for this approach is: 0.00
Annualized Return on Investment (ROI): 358.52%, the ROI of ^SPX was: 2.40%.


Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 7 times or 70.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 3 times or 30.00% of the time.

Total (Cash + Market): $102,512.50


kmcninvest
43 posts
msg #80472
Ignore kmcninvest
10/1/2009 7:38:28 PM

Anyone have thoughts on STEC? Stay with it or bail...I think it will go up based upon everything I read about the industry but that is if the market is not tanking. It still has a 99 rating on IBD. I believe in what Kevin said about stops with this strategy but the market has to be taken into consideration. Thoughts?

Kevin_in_GA
4,553 posts
msg #80476
Ignore Kevin_in_GA
10/1/2009 7:55:46 PM

LOTS of possible trades coming out of today's market evisceration.

Here are some thoughts - one thing I look for recently is if the stock has closed below the lower BB within the last year, and if so what did it do. I look at more than this, but this helps me undestand how the stock has responded similarly in the past.


TAST - closed below lower bb on 6/23, confirmed on 6/25, 20% Profit stop hit on 7/8

BAMM - closed below lower bb on 6/15, confirmed on 6/18, 20% Profit stop hit on 7/2

CBOU - closed below lower bb on 11/8, confirmed on 11/10, 20% 20% Profit stop hit on 12/12

LAD - closed below lower bb on 10/27, confirmed on 10/28, 20% Profit stop hit on 10/29

MFB - closed below lower bb on 6/22, confirmed on 6/24, 20% Profit stop hit on 7/30

SMSI - closed below lower bb on 11/20, confirmed on 11/24, 20% Profit stop hit on 12/17, then again closed below the lower bb on 2/18, confirmed on 2/24, 20% Profit stop hit on 3/24

RBA - closed below lower bb on 1/14, confirmed on 1/15, 20% Profit stop hit on 4/14

CHDX - closed below lower bb on 11/20, confirmed on 11/21, 20% Profit stop hit on 12/18

JDAS - closed below lower bb on 2/23, confirmed on 2/24, 20% Profit stop hit on 4/17

SMRT - closed below lower bb on 11/20, confirmed on 11/21, 20% Profit stop hit on 11/26, then again closed below the lower bb on 3/2, confirmed on 3/3, 20% Profit stop hit on 3/10

BBV - closed below lower bb on 1/14, confirmed on 1/15, 20% Profit stop hit on 5/8

RADS - closed below lower bb on 12/29, confirmed on 12/31, 20% Profit stop hit on 1/6

EEFT - closed below lower bb on 2/17, confirmed on 2/18, 20% Profit stop hit on 3/2

MHS - closed below lower bb on 2/26, confirmed on 3/3, upper bb hit on 11/26 (+16% profit)

AEPI - closed below lower bb on 11/25, confirmed on 11/26, upper bb hit on 3/19 (-26.5% loss)

ACTG - closed below lower bb on 2/26, confirmed on 2/27, 20% Profit stop hit on 3/19

SWKS - has not closed below lower bb in the past year.

Kevin_in_GA
4,553 posts
msg #80477
Ignore Kevin_in_GA
modified
10/1/2009 8:02:47 PM

Anyone have thoughts on STEC? Stay with it or bail...I think it will go up based upon everything I read about the industry but that is if the market is not tanking. It still has a 99 rating on IBD. I believe in what Kevin said about stops with this strategy but the market has to be taken into consideration. Thoughts?
+++++++++++++++++

Where do you think this company will be in 3 months? or six? They have no competition, and just reported two new contracts for SSD drives in the last 10 days. I'm in and staying in.

Look at the one year charts for the stocks that came up in todays' BUY scan. They often dropped 20-30% before taking off again in March, hitting new highs.

If it takes a year to hit the 20% profit stop, is that a bad return?

kmcninvest
43 posts
msg #80478
Ignore kmcninvest
10/1/2009 8:09:40 PM

Thanks Kevin. That was my thought but wanted to see what others were thinking. I would be buying more today if I had more liquid funds.

drew9
171 posts
msg #80483
Ignore drew9
10/1/2009 9:16:04 PM

Thanks Kevin! Just wanted to clarify as we have two stops to work with - stop loss and trailing. I used an 8% stop loss, not the trailing for my test. Again, changing the exit to "touched" upper BB made the system break even during the incredible down turn. Once again, I wondered about the online version of IBD. Do you use it or just get the paper. I was considering subscribing but wondered if you could get all the same information online?

Kevin_in_GA
4,553 posts
msg #80486
Ignore Kevin_in_GA
10/1/2009 9:29:56 PM

SYSTEM PERFORMANCE OVER THE LAST FOUR MONTHS (BACKTEST)

Approach Name: BOLLINGER BAND CONFIRMATION BUY
Test started on 06/01/2009 ended on 10/01/2009, covering 86 days

Filter used:

close is above close 1 day ago
close 1 day ago was below lower bollinger bands(16,2.5) 1 day ago
close is above 1
and apply to watchlist(IBD1,IBD2,IBD3)
average volume(50) is above 50000

Trade Statistics

There were 81 total stocks entered. Of those, 58 or 71.60% were complete and 23 or 28.40% were open.

Of the 58 completed trades, 58 trades or 100.00% resulted in a net gain.
Your average net change for completed trades was: 18.04%.


The average draw down of your approach was: -4.50%.
The average max profit of your approach was: 19.86%
The Reward/Risk ratio for this approach is: 0.00

Annualized Return on Investment (ROI): 228.94%, the ROI of ^SPX was: 33.16%.

Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 38 times or 65.52% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (0 days) 0 times or 0.00% of the time.
An exit trigger was executed 20 times or 34.48% of the time.


Total (Cash + Market): $121,097.83

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