duke56468
683 posts
msg #103937
- Ignore duke56468 |
12/22/2011 9:44:26 AM
coolsf
10 posts
msg #103931
- Ignore coolsf 12/22/2011 2:36:23 AM
Thanks, Kevin. It is your filter using which I entered IBM. Thanks so much. My stop is trailing 2.5%.
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Has the 2.5% trailing stop been working for you? I did back test with a 10% stop loss that did not seem to hurt the outcome, but I think the filter was designed to not use a stop loss, just the exit filter.
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coolsf
21 posts
msg #103943
- Ignore coolsf |
12/22/2011 10:40:16 AM
duke 56,
"Has the 2.5% trailing stop been working for you? I did back test with a 10% stop loss that did not seem to hurt the outcome, but I think the filter was designed to not use a stop loss, just the exit filter."
I took the profits and closed the trade irrespective of the zscore. I know when we follow a system, we must follow the rules. But, rule # 1 in my book is to ring the register when I see profits. Taking profits never hurt. This is not a trending market, hence I think that justifies my rule. If this was a trending bull market, I would follow the rules and still be safe.
Either way, I know I won't do much good for the system itself if my exits are random. Atleast I am following the entries correctly.
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Kevin_in_GA
4,599 posts
msg #103946
- Ignore Kevin_in_GA |
12/22/2011 12:03:28 PM
No one ever lost money taking a profit.
Glad this trade worked out for you - one way to play this is to use the Zscore16 > -1 exit unless you opt to take a profit sooner. Also, the average profit per trade on this system is about 1% in 5 days, so if you have a 2-3% profit within that time or sooner, no reason not to exit then.
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mahkoh
1,065 posts
msg #103948
- Ignore mahkoh |
12/22/2011 1:49:35 PM
Intraday buy signal BBBY
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Kevin_in_GA
4,599 posts
msg #103950
- Ignore Kevin_in_GA |
12/22/2011 1:54:34 PM
Yup - BUY signal at 56.85.
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novacane32000
331 posts
msg #103988
- Ignore novacane32000 |
12/24/2011 5:28:00 PM
You may find this helpful.
Some stats on this filter I compiled using the SF Backtest.
It does not take into account the not so good time from July 2011 to present
All stats are based on a max portfolio of 7 and a max selection of 4 stocks/day.
1652 trades from 1/2002 thru 6/2011
1070 wins 65%
582 losses 35%
159 trades resulted in gains of .01% to .99% before broker commission. Assuming $20/trade roundtrip, each trade would need to be at least $2000 or you will end up with a loss after commission is paid.
428 trades resulted in gains of 1% to 2.99%
282 trades resulted in gains of 3% to 4.99%
118 trades resulted in gains of 5% to 6.99%
55 trades resulted in gains of 7% to 9.99%
24 trades resulted in gains of 10% to 14.99%
2 trades resulted in gains of 15% to 19.99%
1 trade resulted in a gain of 20% to 29.99%
1 trade resulted in a gain of 49%
98.3% of all trades will result in a gain of 10% or less
87.8% of all trades will result in a gain of 5% or less
Knowing that I only have about a 12% chance of further gains once I have neared a 5% profit is good reason to take profits at these levels.
Below are the stats for losing trades
10 trades broke exactly even which is considered a loss after commission
150 trades resulted in a loss of 0 to .99%
200 trades resulted in a loss of 1 to 2.99%
106 trades resulted in a loss of 3 to 4.99%
45 trades resulted in a loss of 5 to 6.99%
38 trades resulted in a loss of 7 to 9.99%
22 trades resulted in a loss of 10 to 14.99%
4 trades resulted in a loss of 15 to 19.99%
7 trades resulted in a loss of 20 to 29.99%
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coolsf
21 posts
msg #103992
- Ignore coolsf |
12/25/2011 2:05:47 PM
Novacane, Thanks for the stats. What is the average gain (or loss) / trade as a result of net profits and losses?
It looks like, though we had extended sigma moves on both long and short sides, the net was profitable even in the last 6 months. No?
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coolsf
21 posts
msg #103994
- Ignore coolsf |
12/25/2011 2:32:18 PM
Novacane, One more question.
You said the minimum amount for trading an entry is 2000$. That is the minimum size trading capital for what size account? 10k or 100k?
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JinNJ46
22 posts
msg #103999
- Ignore JinNJ46 |
12/26/2011 7:42:19 AM
Kevin et al,
This is a great educational thread and a seemingly profitable strategy so many thanks for sharing. Have you done any ZScore analysis at the sector level with perhaps a relevant ETF as the stock's proxy index?!
(Sorry if you covered this already. I've not read the entire thread)
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Kevin_in_GA
4,599 posts
msg #104002
- Ignore Kevin_in_GA |
12/26/2011 2:02:31 PM
No. This system trades relatively infrequently as it is, even when using all 500 S&P components. If the same strategy were used on the 9 sector ETFs, I think you would not trade very often and therefore limit your gains.
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