novacane32000
331 posts
msg #104004
- Ignore novacane32000 |
12/26/2011 7:49:10 PM
Coolsf
During the period I tested the avr gain for 1652 trades was 0.96%
The avr loss for the 582 losers was -3.33%
The avr gain for the 1070 winners was 3.30%
I used the SF backest and put every trade from 2002 thru 6/2011 into an excel spreadsheet to come up with the stats. Very labor intensive but I did get some interesting numbers.
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novacane32000
331 posts
msg #104005
- Ignore novacane32000 |
12/26/2011 9:30:36 PM
Coolsf
Concerning your ? regarding trading acct size.
If you decide on a max portfolio of 7 stocks and have an acct of $14000 each trade will be be $2000. If your max is 10 then each trade will be $1400 and so on.
Now ,if you make 1% on a $2000/trade you made $20 but your broker took $10 from you to get in and $10 on the way out so you essentially broke even. Looking at my stats there were 160 trades that made 1% or less that would have to be considered a loss if your trade size is $2000 .
Of course this is only a problem for those with small accts.The larger your trade size the less broker commisions will effect you.
Another reality that must be realized when trading this system is the fact that you will rarely get in at the opening price unless you put in a limit order right after the opening bell. Problem is I found 78 trades of the 1652 that took off after the open and never came back to hit that limit order. The avr gain on those trades was 4.62%,well above the avr win of 3.30%. So yes -slippage is a concern.
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coolsf
21 posts
msg #104008
- Ignore coolsf |
12/27/2011 8:53:16 AM
Trading with a 2000$ position size per trade just doesn't work. I am sorry to throw water on small accounts but it doesn't work, even if your gain is 50$. I would not trade for a 50$ gain. I am not using the word "50$ average gain", mind you. Average gain and gain are 2 different words.
In my honest opinion, position sizes should be atleast 5000$. May be you may not be able to take 10 trades at the same time, but if the win ratio is good, I would use a decent position size to make an impact on the account. It would also mean fewer trades, 3 instead of 10, but I would have confidence in the win ratio.
2, I know we have to go by the system, but honestly I don't think I would allow any position to go greater than 10% loss unless it is a gap down more than that.
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novacane32000
331 posts
msg #104010
- Ignore novacane32000
modified |
12/27/2011 9:48:59 AM
I agree and only used $2000 as an example as to why your position size should be larger.
$4000/trade does not allow commissions to eat away as much on your trades and a max portfolio of 10 will keep your risk at a minimum.
If you only have $20K to trade with --you may be best served to keep your max port size to 5 but your drawdowns will be more severe than with a port. of 10.
----10% stop loss does not work well with this system in the long run
Of the 1652 trades I looked at ,140 hit the 10% stop.Holding on to these trades until the z-score triggered a sell resulted in an avr loss/trade of only -6.74%
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Kevin_in_GA
4,599 posts
msg #104034
- Ignore Kevin_in_GA |
12/28/2011 10:09:43 PM
Just noticed that IBM is at a Z-score of -1.06. I would close this trade at the open tomorrow.
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Kevin_in_GA
4,599 posts
msg #104057
- Ignore Kevin_in_GA |
12/30/2011 2:37:01 PM
Intraday SELL for
MAT in at 27.59, out at 27.96 for a gain of 1.3%
BBBY in at 56.85, out at 58.44 for a gain of 2.8%
and yesterday one would have sold IBM at the open price of 184.07 for a gain of 2.3%.
As of now, there are no open trades or intraday BUY signals.
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Billirider321
62 posts
msg #104119
- Ignore Billirider321 |
1/1/2012 1:52:26 PM
After a long time I am back to SF in search of some good filters. Few of my thoughts in improving this filter is.
1. IF the stock has good volume you can trade options and make some good coin.
2. Look for stock which are just above 200 day average and put open orders for next day close to 200 day ma. from my 7 yr experience I see lot of trades stock to 200 day and go higher.
3. slope of ma(70) needs to be positive on spy is a good market direction filter.
4. Enter stock selected today with a 1 to 5 % below the closing price. I am not sure how to test that in backtest.
Problems with these result -
Kevin - does your test account for delisted stocks. how about survivorship bias.
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Kevin_in_GA
4,599 posts
msg #104193
- Ignore Kevin_in_GA |
1/3/2012 1:22:50 PM
Intraday BUY signal for Autozone (AZO) at 319.48. Zscore is -2.76, price is currently below the lower BB(16,2), and the William's %R is at -98.25.
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novacane32000
331 posts
msg #104221
- Ignore novacane32000 |
1/4/2012 3:49:45 PM
Is there a way to have SF notify you when there is an intraday signal for your filter? Or is it up to you to refresh your filter throughout the day?
I have always had to refresh the filter but am hoping for an easier way.
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Billirider321
62 posts
msg #104228
- Ignore Billirider321 |
1/5/2012 9:09:06 AM
If you bought AZO option jan 21 strike 320 for 4.50 you could have sold it for 10 dollars today.
I did watch azo showing up intraday. I am still testing this system.
Looks to be a nice one.
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