levamit
101 posts
msg #105704
- Ignore levamit
modified |
3/27/2012 5:56:47 PM
Hello Trader,
My Volume criteria with this filter is average Volume(4) > 120000 What should be the best ? Or is it enough ?
LA
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lwschultz
13 posts
msg #105705
- Ignore lwschultz |
3/27/2012 6:17:06 PM
Back-testing for me means what would have happened if I had traded this method in the last month or so . . . although I'd be happy if it worked for a couple of weeks.
Having said that - I want to make sure I understand the rules. I simply back-stepped the most recent filter a few days and this is how I understand it works:
came up on filter Symbol Entry 2% Target Hit Yet (Y?N)
3/20 AXAS 3.20 3.26 Yes
3/20 CVO 4.17 4.25 No
3/21 FLML 5.44 5.59 Yes
3/23 PLUG 1.45 1.48 No
Part of the problem with backtesting is that a symbol may show up 2-3 days in a row - and one would only trade it once, right?
Do I understand the rules based on my table above?
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levamit
101 posts
msg #105706
- Ignore levamit
modified |
3/27/2012 6:50:24 PM
Hi lwschultz,
Your symbols are from filter 3/7 Days hold or RSI(2) > 55,
The 2% filter didn't find any stock within last 7 days.
You need to trade with 3/7 filter max 3/7 days or RSI(2) > 55.
Part of the problem with backtesting is that a symbol may show up 2-3 days in a row - and one would only trade it once, right?
This is correct and this is not the problem, because once you select 2 or 3 symbols from the filter 3/7 days hold and you bought all of them on the next day at open.
you didn't sell them until one of the conditions is happened 3/7 days or RSI(2) > 55
If you select stock from 2% filter you entry to trade next day at price close after the filter is show up with sell limit 2% above entry.
Regards,
levamit
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tombrown1
61 posts
msg #105708
- Ignore tombrown1 |
3/27/2012 10:42:26 PM
Levamit,
I tested 8 different volume setups, and long story short if you used:
average volume(4) > 50000
then results were slightly better.
However, I'm not sure the backtest was THAT much better to have to deal with those kinds of stocks and the liquidity issues they bring.
I'm personally going to continue to use
average volume(4) > 120000
I could dial the volume exactly to the "perfect" number, but I don't have the time to do that. I feel good about 120,000.
Best,
Tom
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lwschultz
13 posts
msg #105709
- Ignore lwschultz |
3/27/2012 10:50:05 PM
Thanks for the response - - - I am trying to understand the rules. My 'backtesting' would proceed by simply stepping back from today (changing offset) - - and going back in time a week or two.
So the symbols above are all the symbols returned from those 3 days, entry is the Close of the first day AFTER they are returned. I don't know the exit rule - - - but I thought it was to exit when/if there is 2% gain.
My first question - - those symbols I list above, are they auto-buy at close of next day or is there an additional rule I am not getting? I don't know what you mean by '2% filter'
Thanks again.
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lwschultz
13 posts
msg #105710
- Ignore lwschultz |
3/27/2012 10:57:32 PM
OK, Now I see there at least (2) filters in this thread . . . . 3/7 and 2%
3/7 is - - buy at open next day after first returned on filter, sell at open within 3 to 7 days after (or) sell if RSI > 55
I will review my candidates and repost.
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lwschultz
13 posts
msg #105711
- Ignore lwschultz |
3/27/2012 11:42:01 PM
I went thru the rules and candidates for 3/7 (as I understand the rules) . . . from March 8 thru present
PLUG most recent trade (not complete and not part of the 11)
and first trade JKS
I counted 11 COMPLETED trades:
(2) losses ( 3% 7 %)
(1) B/E
(8) winners ( 2% 2% 5% 6% 7% 9% 12% 32%)
would still be holding PLUG and CVO ( PLUG down .05 and CVO down HUGE) for a total of 13 trades
I tried to be conservative with these trades, and allowed for some fear and greed.
I'd be curious if anyone else would do this experiment and see what they came up with.
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tombrown1
61 posts
msg #105786
- Ignore tombrown1 |
4/2/2012 9:29:45 PM
blumberg
15 posts
msg #105686
- Ignore blumberg 3/26/2012 9:31:51 PM
Interesting that the filter on pg 7 came up with GAZ today. GAZ is selling at a 58% premium to its NAV so going long here would be a terrible idea.
Just made a little over 5% with GAZ. Currently up almost 20% (still holding) on TVIX - the other one you said was a foolish purchase.
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blumberg
27 posts
msg #105789
- Ignore blumberg |
4/3/2012 12:12:43 AM
Yes, I made the cardinal sin of applying fundamentals to short term trading. May I humbly say, lesson learned!
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tombrown1
61 posts
msg #105793
- Ignore tombrown1 |
4/3/2012 10:10:06 AM
The reason I switched from fundamental trading to technical is that I realized the game is much easier for the big boys to rig fundamentally. But technically I feel like we are basically looking at the same information as the pros - price and volume. I'm sure the info you have on gaz was spot on, but it seems to me that the info we can access is always delayed and has already been traded on. Price and volume tells you the info being traded now.
But then again Warren did ok trading fundamentals!
Best,
Tom
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