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Kevin_in_GA
4,553 posts
msg #95338
Ignore Kevin_in_GA
modified
8/3/2010 8:31:55 AM

HMC was the only one that I was not sure how to call - I assumed that it would not have triggered the entry because it jumped over it, but in all likelihood the brokerage would have filled that at the open price, then stopped me out.

If I were to be placing these trades manually I would probably have passed on this until later in the day or tomorrow, just to see where it settled out.

In my original approach, I bought at the open price, then entered stops manually based on +/- 1.5 ATR(10). This worked well, but required more input. My goal was to move this to an automated system where one could enter all of the trade parameters and contingencies, then ignore it.

saratur
14 posts
msg #95363
Ignore saratur
8/4/2010 3:41:04 AM

Kevin - same here, I have a strong preference to automated systems. It is possible to automate your original approach as well, with some effort and/or expense. So a key question in my mind is whether one approach will yield significantly better risk-adjusted returns than the other: (A) buy at open, wide stops, or (B) limit buys on some pullback, tight stops, or (C) something else.

In general mean reversion systems work better with wide stops. It might be though that in the context of a long-short system the tight stops with higher targets work well - especially when there are daily moves that trigger both the stops and profit targets.
The answer might be different under different market conditions, and I would like to backtest . Still trying to figure out if I could automate the backtest , or will have to do that manually.

saratur
14 posts
msg #95364
Ignore saratur
8/4/2010 3:45:45 AM

Cross-posting from backtest support forum - maybe someone here knows the answers:

===
The default setting of the backtester uses for exit upon Exit Tests the open price following the date of the exit trigger.
How do I set the exit price to be the close on the same day of the exit trigger?

If I set Exit Price (in "Advanced") to "close" - I am not sure if it will use the close of the trigger day, or the following day...

====

How do I define for a backtest an exit criteria dependent on the entry price - beyond simple percentage?
In other words, exit dependent on an indicator calculated at the entry trigger date.
For example, how would I set a stop for entry price less 2 * ATR (10) which are calculated at the time of entry.

Kevin_in_GA
4,553 posts
msg #95367
Ignore Kevin_in_GA
8/4/2010 8:59:10 AM

PLANNED TRADES FOR THE WEEK OF 8/2 - 8/6

ONLY PLCE AND WERN FILLED SO FAR THIS WEEK.


PLCE - Scored 5/6 on the Connors filters, and closed below the lower BB(20,2), and has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 41.13 (requires a 1.72% pullback)
Stop loss at 40.41 (risk of 1.75%)
Target exit (r2) at 43.93 for a potential profit of 6.81%.
Reward-to-Risk ratio: 3.89
ORDER FILLED AT 41.13. STOPPED OUT AT 40.41 FOR A LOSS OF 1.75%.



WERN - Scored 5/6 on the Connors filters.
Limit order entry at 22.69 (requires a 1.46% pullback)
Stop loss at 22.36 (risk of 1.48%)
Target exit (r2) at 23.76 for a potential profit of 4.69%.
Reward-to-Risk ratio: 3.16
ORDER FILLED AT 22.69. CLOSED AT 22.69 FOR A GAIN OF 0.00%


HAVE TAKEN THE OTHER TRADES OUT OF CONSIDERATION FOR NOW. NOT HAD TIME TO REVIEW NEW ONES, SO I AM GOING ONLY WITH WERN FOR TODAY.

Kevin_in_GA
4,553 posts
msg #95386
Ignore Kevin_in_GA
8/4/2010 11:05:51 PM

Update - 8/04/2010

PLCE - Scored 5/6 on the Connors filters, and closed below the lower BB(20,2), and has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 41.13 (requires a 1.72% pullback)
Stop loss at 40.41 (risk of 1.75%)
Target exit (r2) at 43.93 for a potential profit of 6.81%.
Reward-to-Risk ratio: 3.89
ORDER FILLED AT 41.13. STOPPED OUT AT 40.41 FOR A LOSS OF 1.75%.



WERN - Scored 5/6 on the Connors filters.
Limit order entry at 22.69 (requires a 1.46% pullback)
Stop loss at 22.36 (risk of 1.48%)
Target exit (r2) at 23.76 for a potential profit of 4.69%.
Reward-to-Risk ratio: 3.16
ORDER FILLED AT 22.69. CLOSED AT 23.14 FOR A GAIN OF 1.98%


On two $5,000 trades, the system is up $11.88 for the week. Pretty lame, but at least it's not a loss!


Kevin_in_GA
4,553 posts
msg #95387
Ignore Kevin_in_GA
8/4/2010 11:35:54 PM

SIX NEW TRADES FOR CONSIDERATION


Short Plays:

EMKR - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), RSI(2) above 99, closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 1.09 (requires a 2.18% move higher)
Stop loss at 1.12 (risk of 2.13%)
Target exit (s2) at 0.98 for a potential profit of 10.67%.
Reward-to-Risk ratio: 5.00


VRTX - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 37.50 (requires a 3.41% move higher - unlikely to fill)
Stop loss at 38.73 (risk of 3.30%)
Target exit (s2) at 34.69 for a potential profit of 7.48%.
Reward-to-Risk ratio: 2.27


CVH - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), RSI(2) is almost 99, and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 21.87 (requires a 1.55% move higher)
Stop loss at 22.21 (risk of 1.52%)
Target exit (s2) at 20.51 for a potential profit of 6.25%.
Reward-to-Risk ratio: 4.10




Long Plays:

VQ - Scored 5/6 on the Connors filters, and RSI(2) below 1.
Limit order entry at 16.50 (requires a 2.16% pullback)
Stop loss at 16.13 (risk of 2.20%)
Target exit (r2) at 18.03 for a potential profit of 9.32%.
Reward-to-Risk ratio: 4.23


ABMD - Scored 4/6 on the Connors filters, and has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 10.21 (requires a 3.88% pullback - unlikely to fill)
Stop loss at 9.91 (risk of 2.87%)
Target exit (r1) at 11.03 for a potential profit of 8.03%.
Reward-to-Risk ratio: 2.80


BVN - Scored 2/6 on the Connors filters, and closed below its lower BB(20,2).
Limit order entry at 35.75 (requires a 1.07% pullback)
Stop loss at 35.37 (risk of 1.08%)
Target exit (r2) at 37.55 for a potential profit of 5.02%.
Reward-to-Risk ratio: 4.64



ham1198
172 posts
msg #95398
Ignore ham1198
8/5/2010 10:16:07 AM

kevin, hope you got filled on vq @ 16.50$. i was hoping to get it at 16.25$ never got there. good luck.

Kevin_in_GA
4,553 posts
msg #95425
Ignore Kevin_in_GA
modified
8/5/2010 10:14:59 PM

Update - 8/05/2010

PLCE - Scored 5/6 on the Connors filters, and closed below the lower BB(20,2), and has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 41.13 (requires a 1.72% pullback)
Stop loss at 40.41 (risk of 1.75%)
Target exit (r2) at 43.93 for a potential profit of 6.81%.
Reward-to-Risk ratio: 3.89
ORDER FILLED AT 41.13. STOPPED OUT AT 40.41 FOR A LOSS OF 1.75%.


WERN - Scored 5/6 on the Connors filters.
Limit order entry at 22.69 (requires a 1.46% pullback)
Stop loss at 22.36 (risk of 1.48%)
Target exit (r2) at 23.76 for a potential profit of 4.69%.
Reward-to-Risk ratio: 3.16
ORDER FILLED AT 22.69. CLOSED AT 22.73 FOR A GAIN OF 0.18%



NEW POSITIONS OPENED TODAY:

VQ - Scored 5/6 on the Connors filters, and RSI(2) below 1.
Limit order entry at 16.50 (requires a 2.16% pullback)
Stop loss at 16.13 (risk of 2.20%)
Target exit (r2) at 18.03 for a potential profit of 9.32%.
Reward-to-Risk ratio: 4.23
ORDER FILLED AT 16.13. CLOSED AT 16.75 FOR A GAIN OF 1.52%


ABMD - Scored 4/6 on the Connors filters, and has moved more than 2 SD below its usual relationship with the SPY.
Limit order entry at 10.21 (requires a 3.88% pullback - unlikely to fill)
Stop loss at 9.91 (risk of 2.87%)
Target exit (r1) at 11.03 for a potential profit of 8.03%.
Reward-to-Risk ratio: 2.80
ORDER FILLED AT 10.21. CLOSED AT 10.26 FOR A GAIN OF 0.49%


BVN - Scored 2/6 on the Connors filters, and closed below its lower BB(20,2).
Limit order entry at 35.75 (requires a 1.07% pullback)
Stop loss at 35.37 (risk of 1.08%)
Target exit (r2) at 37.55 for a potential profit of 5.02%.
Reward-to-Risk ratio: 4.64
ORDER FILLED AT 35.75. CLOSED AT 36.27 FOR A GAIN OF 1.45%



POSITIONS NOT FILLED:

EMKR - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), RSI(2) above 99, closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 1.09 (requires a 2.18% move higher)
Stop loss at 1.12 (risk of 2.13%)
Target exit (s2) at 0.98 for a potential profit of 10.67%.
Reward-to-Risk ratio: 5.00
ORDER NOT FILLED


VRTX - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), closed above the upper BB(16,2.5), and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 37.50 (requires a 3.41% move higher - unlikely to fill)
Stop loss at 38.73 (risk of 3.30%)
Target exit (s2) at 34.69 for a potential profit of 7.48%.
Reward-to-Risk ratio: 2.27
ORDER NOT FILLED


CVH - Scored 6/6 on the Connors filters, closed above the upper BB(20,2), RSI(2) is almost 99, and has moved more than 2 SD above its usual relationship with the SPY.
Limit order entry at 21.87 (requires a 1.55% move higher)
Stop loss at 22.21 (risk of 1.52%)
Target exit (s2) at 20.51 for a potential profit of 6.25%.
Reward-to-Risk ratio: 4.10
ORDER NOT FILLED


Net gain for the week - 0.38% ($94.73 on a total of $25,000 invested).

ham1198
172 posts
msg #95483
Ignore ham1198
8/6/2010 1:10:50 PM

...got my 16.25$ today. patience pays off. glta

ham1198
172 posts
msg #95491
Ignore ham1198
8/6/2010 4:04:49 PM

....saw this on seeking alpha:

The Chart of the Day

Venoco (VQ) is a new position as of this afternoon.

The pick is a bit more aggressive than I would normally like, but I expect shares will find support at $16, which had been resistance for most of this winter. Volume picked-up in June as shares broke past $16.20 resistance and later found support at that same level back in July.

A bearish engulfing candle and the gap down last week are a concern. The stock should at least backtest the 50 day moving average (which is moving higher) at $17.40. The downside risk is minimal provided that commodities remain hot. To the upside we could be looking at a quick move to $19 resistance. The next few days will be very telling for this company.



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