duke56468
683 posts
msg #102782
- Ignore duke56468 |
9/30/2011 9:00:57 PM
Kevin_in_GA
2,007 posts
msg #102740
- Ignore Kevin_in_GA
modified 9/27/2011 3:05:16 PM
Running this filter at 3 PM today, all current holdings register a SELL signal:
CF - in at 163.67, now at 157.17 (-3.97%)
EQT - in at 56.62, now at 59.10 (+4.38%)
APOL - in at 42.28, now at 42.91 (+1.49%)
COG - in at 61.66, now at 67.71 (+9.81%)
***********************************************************************************************
I know it wasn't back tested this way but you have to wonder if a person shouldn't take his profit any time of day that he sees the z-score go above -1.
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Kevin_in_GA
4,599 posts
msg #102783
- Ignore Kevin_in_GA |
9/30/2011 9:53:14 PM
Agreed. Looking at how volatile the markets have been, it seems like you should take profit when it is given to you.
CF got crushed over the past few days - now down over 24% fom the entry price. All of the profitable trades listed are now flat or negative. Ouch ...
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duke56468
683 posts
msg #102785
- Ignore duke56468 |
10/1/2011 10:28:15 AM
In the back tests I did a 10% stoploss did not hurt the results, and would help in those cases like CF.
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duncanhoo
14 posts
msg #102946
- Ignore duncanhoo |
10/15/2011 7:36:24 AM
just wondering if anyone had already programmed this in easylanguage? was about to do it and do some more thorough bactesting/money mgmt/trade management analysis but do not want to reinvent the wheel?
anyone already written the entry code?
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coolsf
21 posts
msg #102954
- Ignore coolsf |
10/15/2011 5:34:00 PM
I am not trying to rain on your parade. Please understand.
The system has been great. I read every post clearly. The current market trend is HFT driven, more so since the last 1 year. Especially the last 3 months. Z scores and Standard deviations are stretched to a max, both up and down. It is happening like never before. I am wondering if the system works in these conditions.
I am also taking note that you are not pairing the long with a short like SH. Would your system have worked if you did that, in these stretched rubber band conditions?
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Kevin_in_GA
4,599 posts
msg #103078
- Ignore Kevin_in_GA |
10/24/2011 11:21:47 AM
Intraday BUY signal for KMB (zscore at -2.34, Williams %R at -97). This is because they announced earnings and disappointed.
KMB at 69.34 right now. Will probably close above this and may not trigger by end of day.
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Kevin_in_GA
4,599 posts
msg #103100
- Ignore Kevin_in_GA |
10/26/2011 11:31:52 AM
Another intraday BUY signal - AMZN (amazon.com). Zscore16 at -3.30, williams %R at -98.94. Looks like they dropped over 11% this morning.
They are currently at 200.93, sitting on top of the MA(200).
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Kevin_in_GA
4,599 posts
msg #103131
- Ignore Kevin_in_GA
modified |
10/28/2011 11:57:24 AM
UPDATE 1:
KMB now at 70.50 (up about 1.5%)
AMZN now at ~213 (up about 6%).
Zscore16 for both are still below -1, but I might take AMZN off the table now since it is well above the average trade return for this filter, even after just 2 days.
UPDATE 2: AMZN at 217.40 (up 8.2%). KMB at 70.49 (up 1.5%).
Sell AMZN and be happy.
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Kevin_in_GA
4,599 posts
msg #103132
- Ignore Kevin_in_GA |
10/28/2011 12:21:36 PM
Another intraday BUY signal generated:
BMY (Bristol-Myers Squibb) - down about 4% on the day right now. Currently at $31.82, Zscore16 at -2.27, Williams %R at -97.84.
Remember that the stock must also be above the MA(200) and be below the lower BB(16,2).
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Kevin_in_GA
4,599 posts
msg #103168
- Ignore Kevin_in_GA
modified |
10/31/2011 3:04:56 PM
Intraday BUY signal for EXPE (Expedia). Zscore at -2.53, Williams %R at -99.3, Bollinger %B(16,2) at -0.12. Currently at 26.23. Market is drifting lower, so I would wait until the end of the day to see if this can be bought at a better price.
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