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Kevin_in_GA
4,548 posts
msg #95515
Ignore Kevin_in_GA
8/8/2010 3:53:56 PM

UPDATE FOR WEEK OF 8/2-8/6

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. STOPPED OUT AT 22.36 FOR A LOSS OF 1.48%


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 17.13 FOR A GAIN OF 3.82%


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. STOPPED OUT AT 9.91 FOR A LOSS OF 2.87%


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 36.44 FOR A GAIN OF 1.93%



NO SHORT POSITIONS FILLED AT ALL THIS WEEK


Net loss for the week - -0.07% ($19.23 on a total of $25,000 invested).


This is the first week since I began tracking this approach that it has ended up in negative territory, although in this case the loss is awfully small.

Kevin_in_GA
4,548 posts
msg #95519
Ignore Kevin_in_GA
modified
8/8/2010 10:50:58 PM

A little frustrated by my recent inability to get equal long and short trades placed, because I am waiting for a pullback or rise that does not come.

Thus, I am going back to a simpler system 1) buy at open, 2) set a 3% stop loss and a 6% profit target, 3) close all trades by end of trading on Friday.

LONG plays for this week (4 for Monday):

ABMD
STAA
CRR
ABV


SHORT plays for this week (4 for Monday):

PXP
AUXL
RGLD
ZLC


Let's see how this goes - this is basically what I did in the beginning, but I used stops based on the ATR(10).

duke56468
683 posts
msg #95522
Ignore duke56468
8/9/2010 9:28:17 AM

Thanks Kevin, I appreciate you sharing all that work with us on this filter.

Kevin_in_GA
4,548 posts
msg #95527
Ignore Kevin_in_GA
8/9/2010 10:35:24 AM

In at the open on all 8 trades - easy to do when you are paper trading!

I will most likely wait till the end of the day to put stops in - last week I got hit too quickly on them. If any are more than 3% down from the open at the end of the day, I'll close them out as if they were stopped out.

Kevin_in_GA
4,548 posts
msg #95567
Ignore Kevin_in_GA
8/10/2010 9:36:54 PM

Still holding all 8 trades for now - no stops put in place (I'm feeling lazy ...)


LONG plays for this week:

ABMD - DOWN 1.36%
STAA - DOWN 3.21% (WILL GIVE THIS ONE MORE DAY)
CRR - DOWN 1.87%
ABV - DOWN 0.13%


SHORT plays for this week:

PXP - UP 3.16%
AUXL - UP 2.82%
RGLD - UP 0.92%
ZLC - UP 1.46%



Net gain/loss so far this week - +0.22% ($89.80 on a total of $40,000 invested).

Net gain/loss so far this week for the SPY - -0.48%.

Eman93
4,659 posts
msg #95569
Ignore Eman93
8/11/2010 12:11:05 AM

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1350193

An interesting paper on Momentum..... via the Woodsheder, who has been known to lurk these boards.

Keep up the good work.

It might be interesting to you Kevin, he has a blog on I bank coin . com.

He build system trading platforms.

Kevin_in_GA
4,548 posts
msg #95581
Ignore Kevin_in_GA
8/11/2010 3:54:08 PM

Will close out 4 trades at the end of the day today:

Longs - STAA and CRR

Shorts - ZLC and PXP

These are the top winners (the shorts) and the top losers (not surprisingly, the long plays). Will close out at wherever they end up today for a small gain on these four.

Will review filter results tonight and probably fill these orders with new trades for Thursday and Friday.

Kevin_in_GA
4,548 posts
msg #95582
Ignore Kevin_in_GA
8/11/2010 4:08:42 PM

An interesting paper on Momentum..... via the Woodsheder, who has been known to lurk these boards.

Keep up the good work.

It might be interesting to you Kevin, he has a blog on I bank coin . com.

He build system trading platforms.
++++++++++++++++

I have read the paper already (no, honestly) ... it was one of several that helped me to form the basis of my 401k investment strategy. I had not seen his blog, which I will definitely be reading.

The idea of momentum (or relative strength versus the broader market) providing sustained returns over time has been demonstrated in markets all over the world in across many different trading environments and timeframes. While it runs counter to the Efficient Market hypothesis, it nonetheless seems to be real - no reason not to make money from it if you can.



Kevin_in_GA
4,548 posts
msg #95592
Ignore Kevin_in_GA
modified
8/11/2010 8:13:14 PM

Update - 8/11/2010

LONG plays for this week:

ABMD - DOWN 2.82%
STAA - DOWN 6.98% (SOLD at the close today)
CRR - DOWN 5.73% (SOLD at the close today)
ABV - DOWN 1.97%


SHORT plays for this week:

PXP - UP 7.56% (COVERED today at the close)
AUXL - UP 6.51%
RGLD - UP 2.58%
ZLC - UP 9.71% (COVERED today at the close)



Net gain/loss so far this week: +1.11% ($445.27 on a total of $40,000 invested).

Net gain/loss so far this week for the SPY: -3.20%.

Kevin_in_GA
4,548 posts
msg #95599
Ignore Kevin_in_GA
modified
8/11/2010 10:11:57 PM

I am not sure if I will put in any new trades to replace the four exited today lots of possible long plays, but not a lot of short plays to pair them with. My current thinking is as follows:

Potential Long Plays for tomorrow:

GET - Gaylord Entertainment
IVN Ivanhoe Mines Ltd
and possibly

CPX Complete Production Services (testing a new set of Bollinger Band-based filters for this call)

Potential Short Plays:

Not a lot to choose from most of the short plays are actually the 2x inverse ETFs, which would at least be a good thing for the long plays! Anyway, from the stocks that did show up on my composite short filter I would probably choose

BAX Baxter Scientific
CYPB Cypress Biosciences
And keep an eye on EMIS Emisphere (this is from another BB-based filter set I am developing for short plays that gives great results back-testing since 1/1/2007 about 84% win rate and average return of 3-4% in about 5 days).

Frankly it all depends on where the futures and numbers are in pre-market tomorrow. 50/50 chance I'll just let the 4 remaining trades play out as they will.

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