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Kevin_in_GA
4,548 posts
msg #94817
Ignore Kevin_in_GA
7/15/2010 8:21:25 PM

Update for 7/15:

Note that I have updated my stop loss and profit targets to be based on 1.5 * ATR(10) rather than just 1.0 * ATR(10) - stops seemed too tight and profits might have been taken too soon. Only time will tell ...

Long Plays


FDO - scored 2/6 on the Connors filters, and closed below the lower BB(20,2).
In on the open at 36.02, stop loss at 34.77 and profit target at 37.88
PROFIT TARGET HIT at 37.88, for a gain of 5.16%


FCN - Closed below the lower BB(20,2).
In on the open at 32.69, stop loss at 30.00 and profit target at 35.40
Closed at 33.29, for a gain of 1.84%


RGS - closed below the lower BB(20,2), and has moved more than 2 SD from its usual relationship with the SPY.
In on the open at 13.78, stop loss at 12.72 and profit target at 14.84
Closed at 14.11, for a gain of 2.39%



Short Plays

MON (Monsanto) - Scored a 5/6 on the Connors short filters, closed above its BB(20,2), its RSI(2) is above 99, and it has moved more than 2 SD from its usual relationship with the SPY.
In at the open on 7/15 at 54.59, stop loss at 57.28, profit target at 51.48
Closed at 56.03 for a loss of 2.64%

APC - Scored 6/6 on the Connors filters, and RSI(2) is above 99.
In on the open at 47.59, stop loss at 50.66 and profit target at 44.52
Closed at 49.08 for a loss of 3.13%


TUP - Scored a 6/6 on the Connors short filters, closed above its BB(20,2), its RSI(2) is 98.67, and it has moved more than 2 SD from its usual relationship with the SPY.
In on the open at 43.59, stop loss at 45.77 and profit target at 41.49.
Closed at 43.40, for a net gain of 0.44%


Net change for today - a loss of 0.25%
Net change for this week - a gain of 1.73%

Was doing well today until APC suddenly went through the roof once they announced that the BP well had been successfully capped.

I'll need a new long play to maintain neutrality. Only one decent stock coming out of the composite long filter -

CPE (Callon Petroleum Co.) - Scored 5/6 on the Connors long filters, and is more than 2 SD from its usual relationship with the SPY.

Kevin_in_GA
4,548 posts
msg #94836
Ignore Kevin_in_GA
modified
7/16/2010 12:47:19 PM

Did not get a chance on enter any trades at the open today - I know that this is currently only a paper exercise, but I am trying to be as realistic as possible.

Good thing - like most of the market, CPE took a nose dive right out of the gate, and is trading down ~4% right now. Still a good long play.

No need to add it right now, since my short play on MON just stopped out at 57.28. Will most likely close out these trades at the end of today, taking a small gain for the week.

mystiq
650 posts
msg #94846
Ignore mystiq
7/17/2010 3:58:56 AM

optionplayer333
msg #94771
- Ignore optionplayer333 7/14/2010 7:43:12 AM

i know 10 ways to make you 5-10% every week- you need to talk to me over skype and team viewer5- i 30 minutes- you will see a very clear picture


!what a piece of work! now you have a buddy to share reco's>?

optionplayer333
801 posts
msg #94848
Ignore optionplayer333
7/17/2010 8:02:02 AM

Title: Re: The Linear regression and RSI (2)
Post by: TheRumpledOne on March 03, 2007, 09:43:06 AM
--------------------------------------------------------------------------------

StockHolyGrail ( aka Lerogee777 on yahoo) is the one who "invented" RSI(2) as far as I know. He taught me RSI(2) around 2002.

There are many posts on the yahoo message boards talking about RSI(2).

You can find our free RSI(2) filters if you google therumpledone.

I don't know if posting links are permitted so I won't. I have been banned from enough message boards for posting links to FREE information.

I just want to make sure StockHolyGrail gets the credit he deserves for RSI(2).

He taught others and they have published his work WITHOUT acknowledging the source. The record needs to be set

Kevin_in_GA
4,548 posts
msg #94849
Ignore Kevin_in_GA
7/17/2010 8:54:36 AM

Update for 7/16:

Did not get to trade CPE - thankfully. I would not have taken any longs right at the open anyway looking at the futures.


Long Plays


FCN - Closed below the lower BB(20,2).
In on the 7/12 open at 32.69, stop loss at 30.00 and profit target at 35.40
Closed at 33.62, for a gain of 2.84%


RGS - closed below the lower BB(20,2), and has moved more than 2 SD from its usual relationship with the SPY.
In on the 7/12 open at 13.78, stop loss at 12.72 and profit target at 14.84
Closed at 13.64, for a loss of 1.02%



Short Plays

MON (Monsanto) - Scored a 5/6 on the Connors short filters, closed above its BB(20,2), its RSI(2) is above 99, and it has moved more than 2 SD from its usual relationship with the SPY.
In at the 7/15 open at 54.59, stop loss at 57.28, profit target at 51.48
STOPPED OUT at 57.28 for a loss of 4.70%

APC - Scored 6/6 on the Connors filters, and RSI(2) is above 99.
In on the 7/13 open at 47.59, stop loss at 50.66 and profit target at 44.52
Closed at 47.46 for a gain of 0.27%


TUP - Scored a 6/6 on the Connors short filters, closed above its BB(20,2), its RSI(2) is 98.67, and it has moved more than 2 SD from its usual relationship with the SPY.
In on the 7/14 open at 43.59, stop loss at 45.77 and profit target at 41.49.
Closed at 42.69, for a net gain of 2.06%


Net change for today - a small gain of 0.03%
Net change for this week - a gain of 1.76%

For those who have been following this, the overall performance so far for each of the past three weeks has been:

6/28 - 7/2: +6.01% ($2402.35 on an initial $40,000 in 11 trades)
7/6 - 7/9: +4.58% ($1842.88 on an initial $40,000 in 8 trades)
7/12 - 7/16: +1.76% ($706.15 on an initial $40,000 in 16 trades)

Net gain of $4951.38 or 12.38% since 6/28 (note - no compounding here, and most trades were below $6667 in total investment). After taking commissions into account @$8.95 per side, one still netted $4324.88 or 10.8%.

Remember, this is a dollar-neutral approach that significantly reduces portfolio volatility.

The overall performance for the SPY during this same time period? 107.53 -> 106.66 (a loss of 0.81%).

misfithab
6 posts
msg #94857
Ignore misfithab
7/17/2010 5:51:23 PM

Great work Kevin. I appreciate the time and effort it takes to do this -- even if it's only paper trading at this point. Very promising...

Kevin_in_GA
4,548 posts
msg #94858
Ignore Kevin_in_GA
7/17/2010 6:11:01 PM

Better to trade a new system on paper for a while (especially in the current market) to be sure that it makes both sense and money for you. Also, each trader has a style and time frame that suits them - I was not sure that this would necessarily work for me, but so far so good.

Also, posting updates like these force me to be sure that I am clear in my rationale for each trade, and have thought through both the entry and exit. Good behaviors for me to develop!

wkloss
230 posts
msg #94884
Ignore wkloss
7/18/2010 12:30:16 PM

Kevin,

Regarding your dollar-neutral strategy, I want to offer a different perspective. I assume you are trying for balanced risk. I have repeatedly seen a metric that says markets fall 2 1/2 times faster than they rise. If that is true, then it would seem to require $25,000.00 in longs to balance $10,000.00 in shorts. I have never attempted a balanced strategy so in fairness, I cannot tell you firsthand that the concept works...but it seems to make sense. Your thoughts?

Also on Connors, I'm sure you read his end of month strategy. I made quite a bit of money in the late 1990's using a variation called seasonality from Market Logic. I believe Connors' variation might work although it certainly is hard to test on SF. This is one of Connors' strategies that I have not seen you try or mention and wondered why.

Watching you develop and modify trading strategies is really interesting.

Bill

Kevin_in_GA
4,548 posts
msg #94887
Ignore Kevin_in_GA
7/18/2010 12:49:48 PM

wkloss:

my thinking on this is that if you want to balance risk, you basically need to do one of two things:

1) Balance long and short trades using "dollar neutrality" - equal investment size for both long and short portfolios

2) Balance your trades using volatility ("beta neutrality") - long and short portfolio investment sizes are based on the aggregate volatility of each.

The former is easier to do than the latter, and so far has worked out reasonably well.

Truth is, I am really using a hybrid of these two approaches- the overall investment is dollar neutral between long and short portfolios, but the stop losses and profit targets are based on each stock's recent volatility.

optionplayer333
801 posts
msg #94890
Ignore optionplayer333
7/18/2010 5:45:41 PM

kevin if you want to make money you need the profit indicator high- looked at the follwoing stock you were working with 0 stock-- profit value fdo-6 fcn-10 tup-5 rgs-9 mon-8 and apc-- apc is the best stock to trade because it has moved an average of 17% the last 6 weeks-look at the following -chart- your making this to hard-kevin-just use this set and you will make much more money and capture 80% of every move--

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