Kevin_in_GA
4,599 posts
msg #112488
- Ignore Kevin_in_GA |
3/28/2013 9:19:07 AM
Kevin,the equity curve chart is amazing.The stocks you have listed are pullbacks that look like they took out the bottom of a short term trading range.I have a few questions 1)Is this system primarily based on pullback trades? 2) When are you entering the trade,pre open,on open,after open above a certain range? 3)Are there any rules for not entering a trade or are you just executing regardless of conditions? 4)What's your holding time frame or exit rules? 5)How often do stocks to appear on your hit list for this trading system? 6)Is this just part of a larger system or does this one stand alone? I will be following,possibly trading these three you have mentioned.Thanks.Miketranz........
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Remember that there is a survivorship bias in most of the historical stock data sets. However, I feel more comfortable testing across one or more recessionary periods (like 2000-2003 and 2007-2009) rather than only analyzing during strong bullish periods. To be fair, this system has underperformed the overall market since 2009 because it has been designed to survive bad periods ... and frankly it is hard to beat the 85% return seen in the last few years thanks to QE.
1. Basically, yes. This is long-only and requires several criteria to be met before a trade is signaled.
2. These are limit orders placed the night before. In force only for the next day.
3. No, trades are not screened beyond the selection the night before.
4. Typical holding time is 8 days, no stop loss. Entry and exit criteria are fixed.
5. Often enough - maybe 5-10 per week on average, but there is a requirement that they be above their 200-day MA so you'll see periods where no trades are made for a while (like in early 2009).
6. Stands alone.
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Kevin_in_GA
4,599 posts
msg #112489
- Ignore Kevin_in_GA |
3/28/2013 9:27:49 AM
JPM - 105 shares at 47.30
EXPE - 83 shares at 60.29
MYL - 175 shares at 28.46
++++++++
I will not be putting these orders in today - not because I don't want to, but because I have been using this system for a while and am already fully invested in other trades. Just being transparent here.
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duke56468
683 posts
msg #112501
- Ignore duke56468 |
3/28/2013 6:53:22 PM
Kevin MYL did not fill today. Will you be posting the exits for these also?
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Kevin_in_GA
4,599 posts
msg #112502
- Ignore Kevin_in_GA
modified |
3/28/2013 7:00:40 PM
Yes, but only for a while.
No exits for tomorrow, although PH is very close to triggering. It is up a little over 2% right now, which is a little higher than the system average, but strictly adhering to the system rule exit means I need to wait at least another day.
Also note that the trade size is modest ($5000) - this is to be consistent with the portfolio shown for this at Collective2. This will be impacted by commissions to a greater extent than if the trades were larger. The backtest data I posted takes commissions ($8.95 per side) into account and adds in a modest bid/ask spread.
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Kevin_in_GA
4,599 posts
msg #112506
- Ignore Kevin_in_GA |
3/28/2013 8:44:57 PM
Trade selections for tomorrow:
GOOG - Limit order for 6 shares at $786.25
PVH - Limit order for 47 shares at $105.74
No trades to close.
Note - I now have two subscribers to this system on Collective2. That means that I will need to stop posting these pretty soon since it would not be fair to keep doing so once others are subscribed.
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miketranz
956 posts
msg #112507
- Ignore miketranz
modified |
3/28/2013 10:01:56 PM
Kevin,I'm following the picks.MYL was the only stock that pulled off a reversal bar and closed positively.So in theory,the two other stocks are sitting in a loss,for now.However,correct me if I'm wrong,if they do not show a profit,you would stay in the position for either an 8% on avg or more hit(no stop loses) or an 8 day time stop.Also the system has a 71% profit expectancy.So the bottom line is for any system to produce those kind of numbers,it has to be adhered to religiously and in the long run,regardless of draw downs,it should mathematically produce those results.The equity chart says it all.It outperforms the S&P over the long run,up or down markets by a high percentage.I just don't like the draw down factor,but that's part of the total package.Miketranz......
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Kevin_in_GA
4,599 posts
msg #112508
- Ignore Kevin_in_GA |
3/28/2013 10:32:49 PM
No stop loss or time stop used. Those are averages, not part of the system per se.
JPM is up from the limit order. MYL was not triggered.
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miketranz
956 posts
msg #112509
- Ignore miketranz |
3/28/2013 10:47:31 PM
MYL looks very promising.Why didn't it trigger?
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Kevin_in_GA
4,599 posts
msg #112512
- Ignore Kevin_in_GA |
3/29/2013 8:52:42 AM
Because it did not trigger the limit order yesterday - the filter selects good candidates but trades are only entered if the limit order is triggered.
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sohailmithani
192 posts
msg #112520
- Ignore sohailmithani |
3/30/2013 1:46:49 AM
Hi Kevin
I have been looking at some of your filters and am impressed. I have bought a paid service in the past and one of the main issue or concern with that service was too much money buying the same stocks. The emails were provided to all the subscribers asking them to buy 4 or 5 stocks per day and every body woulg try to get in next day first thing in the morning. Do you have a plan in controlling this concern of mine if I am interested in subscribing? i.e. Are you planning to control the number of subscribers?
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