StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER<< 1 2 3 4 5 ... 22 >>Post Follow-up
Kevin_in_GA
4,553 posts
msg #94574
Ignore Kevin_in_GA
modified
7/6/2010 9:56:38 AM

Shorted 153 shares of BJ at 43.79 to replace the ATHN trade closed on Friday.

Looks like BWEN is going to be a big pain for me today - it is up almost 30% this morning, which will wipe out most of last week's gains all by itself.

johnpaulca
11,312 posts
msg #94576
Ignore johnpaulca
7/6/2010 10:20:44 AM

BWEN...is at EMA100, a good possibility it will be rejected here, a close above will be bullish

Kevin_in_GA
4,553 posts
msg #94577
Ignore Kevin_in_GA
7/6/2010 10:25:49 AM

Dude - how is its current action NOT bullish??? It is up 28% right now.

I guess this make it an even more attractive short play .... thank god this is only a paper trade.

of course, all other trades are net positive on the day -

optionplayer333
801 posts
msg #94583
Ignore optionplayer333
7/6/2010 12:03:20 PM

kevin who do your think connors got the rsi-2 from- me dude in 2003 dishonestly

Kevin_in_GA
4,553 posts
msg #94595
Ignore Kevin_in_GA
modified
7/6/2010 7:37:51 PM

7/6/2010 Update:

Long trades:

SHW (Sherwin-Williams Co) - bought 95 shares on 6/30 at 70.06 ($6605.70). Closed today at 69.82 (down 0.34% for a loss of $22.80)

PNRA (Panera Bread Co.) bought 88 shares on 6/30 at 75.23 ($6620.64). Closed today at 74.08 (down 1.53% for a loss of $101.20)

RCI (Rogers Communications) - bought 201 shares on 6/30 at 33.15 ($6663.15). Closed today at 32.70 (down 1.36% for a loss of $90.45)


Short trades:

GAME (Shanda Games) shorted 1128 shares on 6/30 at 5.91 ($6666.48). Closed today at 5.61 (up 5.08% for a gain of $338.40)

BJ (BJ's Wholesale Club) shorted 153 shares on 7/6 at 43.79 ($6699.87). Closed today at 43.21 (up 1.32% for a gain of $88.74).

BWEN (Broadwind Energy) shorted 2323 shares on 7/2 at 2.87 ($6667.01). Closed today at 3.23 (down 12.54% for a loss of $836.28).


Net loss for today of $904.46 or 1.56%.

Cumulative net gain of $1497.89 or 3.74% since 6/28/2010 (6 days).


BWEN lost $1022.12 today, which was partially offset by the other five trades' net gain of $117.66. However, BWEN is now the top short play from my composite filter, so I will stay in it for at least another day. No exit signals were generated, and none of these have made a high enough profit to cash out yet. All trades remain in play for tomorrow.


campbellb75
101 posts
msg #94596
Ignore campbellb75
7/6/2010 7:43:20 PM

Kevin-

What filters are you using to find these stocks? I noticed that you're coming up with ones that aren't in the long/short filters from the first post in this thread. Wondering if you're using the ones from your other Conner's thread.

Thanks.

gmg733
623 posts
msg #94597
Ignore gmg733
modified
7/6/2010 7:57:54 PM

What you are doing is delta neutral trading on a portfolio basis. This is a good strategy in a sideways market, but for trending bull or bear, you need to construct your delta hedge in the direction of the market to help you out. In other works, long stock is a delta of 1 and short stock is a delta of -1. If the market is bearish, you may take a net position delta of -.6 to -.7. And in bullish, a NPD of .6 to .7.

But hedging this way is a good thing to do as it mitigates to some degree overall portfolio risk.

Kevin_in_GA
4,553 posts
msg #94598
Ignore Kevin_in_GA
7/6/2010 8:22:03 PM

gmg:

Yes and no - I'm dollar neutral, but investing in long and short stocks that have a high probability of reversion to the mean (either by moving from outside the BB and back to the center, or because they are more than 2 SD away from their usual ratio to the SPY and are likely to mean-revert). Which should mean that even in trending environments, one set of trades will outpace the other and the combination should be profitable.

Both of these tend to reinforce a movement in the direction of the trade. But your point is well taken. That is why I plan to paper trade this for at least a few months and am willing to show every trade, my rationale for each entry and exit, and a running tally based on a max investment of 40,000 without reinvestment (profits, if any, are banked). Maybe if I get the overall account up to 50K I'll plow the profits into expanded trades, but not putting more than 10K into any trade at any time.



Kevin_in_GA
4,553 posts
msg #94599
Ignore Kevin_in_GA
7/6/2010 9:15:21 PM

Kevin-

What filters are you using to find these stocks? I noticed that you're coming up with ones that aren't in the long/short filters from the first post in this thread. Wondering if you're using the ones from your other Conner's thread.

Thanks.
++++++++++

Yes, I have taken the simple filter used at the start of this thread and expanded it to include the 6 Connors filters I posted already, as well as 2 bollinger band criteria (either a close above/below the standard (20,2), or a close outside the BB(16,2.5) followed by a close the next day back inside those bands). Finally, I included looking at whether or not the current price has moved more than two SD from the 10 day mean relative to the SPY (thik of it as the ratio of the stock to the SPY, plotted as a single price, then using Bollinger Bands (10,2) on it).

The end result is a possible score of 10 (6 from Connors filters, 1 if the RSI(2) is below 1, 1 if it closed above the upper BB(20,2), 1 if the ratio is more than 2 SD from its mean, and 1 for the relatively uncommon (16,2.5) BUY/SELL signal).

Complex? Yes, but the filters are written so that only good candidates are selected and the best scoing ones are at the top.

The idea is to use historical performance for each filter to select those few stocks that hit on multiple signals, hopefully resulting in not necessarily a higher yield by a higher probability of being a win versus a loss.

Example: Yesterday I posted 4 long and 4 short trades, and why I thought they were high probability trades. Here's how they played out today:

Long Plays

KEY - scored 6/6 on the Connors filters, closed below the lower BB(20,2), gave a confirmation BUY on the BB(16,2.5) - close below the lower band on Thursday, then closed back inside the bands on Friday - and has moved more than 2 SD from its usual relationship with the SPY.
Opened a long position at 7.38, closed today at 7.41 for a gain of 0.41%.

SLE - scored 6/6 on the Connors filters, closed below the lower BB(20,2), gave a confirmation BUY on the BB(16,2.5).
Opened a long position at 14.08, closed today at 14.08 for a gain of 0.00%.

OC - scored 6/6 on the Connors filters, closed below the lower BB(20,2), and has an RSI(2) below 1.
Opened a long position at 28.44, closed today at 27.69 for a loss of 2.64%.

MSPD - scored 6/6 on the Connors filters, closed below the lower BB(20,2), and has moved more than 2 SD from its usual relationship with the SPY.
Opened a long position at 6.78, closed today at 6.73 for a loss of 0.74%.

Not great. No real gain here, but look at the short plays:

Short Plays

AVNR - Closed above the upper BB(20,2), and has moved more than 2 SD above its usual relationship with the SPY.
Opened a short position at 3.19, closed today at 2.98 for a gain of 6.58%.

BJ - Closed above the upper BB(20,2), gave a confirmation SELL on the BB(16,2.5) - close above the upper band on Thursday, then closed back inside the bands on Friday - and has moved more than 2 SD above its usual relationship with the SPY.
Opened a short position at 43.79, closed today at 43.21 for a gain of 1.32%.

ARNA - Closed above the upper BB(20,2), and has moved more than 2 SD above its usual relationship with the SPY.
Opened a short position at 3.93, closed today at 3.49 for a gain of 11.20%.

ESV - scored 2/6 on the Connors filters, and has moved more than 2 SD above its usual relationship with the SPY.
Opened a short position at 41.84, closed today at 40.36 for a gain of 3.54%.

Only two trades were losers, and the average yield for today was +2.41%. Remember, these are dollar neutral positions so that you are managing volatility and are protected from a sudden change of temperment in the market.

bman99
6 posts
msg #94601
Ignore bman99
7/6/2010 9:52:09 PM

Kevin, Great job.

As a newbie here who just finished reading the book by Connors "High Prob ETF trading", I have really enjoyed your post -- and learned alot about SF. The question I have is: when you mention the 6 Connors screens that you are using to verify your results, Do you mean the 6 listed for etf's under your other post called"HIGH PROBABILITY ETF TRADING\" BY LARRY CONNORS - GET YOUR FILTERS HERE!". In other words, are you using those etf screens but just taking out the part limiting it to etf's and running it on stocks. Thanks and good luck !

StockFetcher Forums · Filter Exchange · MODIFIED CONNORS RSI(2) FILTER<< 1 2 3 4 5 ... 22 >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus