gmg733
788 posts
msg #110966
- Ignore gmg733
modified |
2/4/2013 3:07:43 PM
Kevin,
Looking at the page 19 filter, you have a 4% pull back candidates and a 6% pull back for the entry. Is this correct?
low more than 4% below close 1 day ago
set{limitentry, close *0.94}
During the WFA, are you optimizing these two variable independently?
Thanks.
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Marketyoda
11 posts
msg #110989
- Ignore Marketyoda |
2/4/2013 4:54:06 PM
Kevin-
Do you have a max stock price that you will trade? Has there been anything you've seen in backtesting to hint at higher priced stocks not returning as much as other price ranges?
Thanks!
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Kevin_in_GA
4,599 posts
msg #111005
- Ignore Kevin_in_GA |
2/5/2013 9:47:21 AM
@gmg: Yes, both are optimized in the WFA, once a month.
@marketyoda: No upper limit was used in the backtest. Lower limit was 5 dollars. The key really is liquidity - illiquid stocks will screw you on the exit (not the entry since it is a limit order, but it may not get filled).
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Kevin_in_GA
4,599 posts
msg #111009
- Ignore Kevin_in_GA |
2/5/2013 9:57:43 AM
Anyone in KERX or HLF should seriously consider taking your profits now. HLF up more than 8% and KERX up 5%.
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Kevin_in_GA
4,599 posts
msg #111025
- Ignore Kevin_in_GA |
2/5/2013 10:45:42 AM
New trade this morning - MHP in at 47.28. Currently trading at 47.34.
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Billirider321
62 posts
msg #111054
- Ignore Billirider321 |
2/5/2013 3:19:29 PM
Kevin,
Are you setting a stop loss once the trade is in money.
Thanks
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Kevin_in_GA
4,599 posts
msg #111055
- Ignore Kevin_in_GA |
2/5/2013 3:40:24 PM
No. Although with MHP today that might not have been a bad idea.
The backtest does not include any stop losses or profit gains - it is impossible to determine the order of events using EOD data if you try. The Connors system relies on statistics, and so part of that is taking a loss occasionally. This variant has been about 68% profitable since 1/2/2007, which means 1 out of three will take a loss.
I would like to backtest this using a double-down on the trade if it moves more than 5 or 10% against you to see how it impacts performance. This approach usually results in higher win rates but feels riskier.
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Marketyoda
11 posts
msg #111060
- Ignore Marketyoda |
2/5/2013 6:26:39 PM
@Kevin-
Thanks for the info!
I've been papertrading this for a little bit. Had a doubledown scenario last week with RIMM/BBRY.
I divide my balance into 5 equal (as close as I can get) cash-size positions. Last week, RIMM took 2 positions. Here's the way it went:
Entry #1 (1/29): 200 shares @ $15.21
Entry #2 (1/31): 210 shares @ $12.45 (Price gapped below 12.95 target at open)
Williams %R Exit (2/4 @ open): $13.71
Entry #1 result: -$300.00 (before commissions)
Entry #2 result: +$302.40 (before commissions)
Would have been a small loss with commissions factored in, but better than a big loss. I wonder how many double down scenarios there are and how many actually work out or at least soften the blow a bit.
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tomm1111
202 posts
msg #111064
- Ignore tomm1111 |
2/6/2013 12:56:57 AM
Kevin, Great filter. I have a question regarding the SS code you posted previously in the thread. In the third line of code, you reference the "low tomorrow" (ref(low,1) < close * 0.94) to create a limit order at close*0.94 of current day. Can you please explain why this is coded this way? I'm trying to follow the logic. Thanks, Tom
"Yes. The exact SS code is as follows:
(close-low)/(high-low) < 0.2 and
ref(low,1) < close * 0.94 and
low < ref(close,-1) * 0.94 and
adx(5) > 40 and
close > 5 and
mov(volume,21,simple) > 250000
Entry is a limit order at close*0.94. "
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Kevin_in_GA
4,599 posts
msg #111069
- Ignore Kevin_in_GA |
2/6/2013 8:54:55 AM
That is the correct code for backtesting the proposed system. You would remove the forward-looking reference when trading this.
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