Kevin_in_GA
4,599 posts
msg #78169
- Ignore Kevin_in_GA |
8/28/2009 3:12:43 PM
Here are the stocks that have done the best for consistent 1,2, and 3% moves
AVII
PWER
FNF
ISLE
BC
PLD
ALK
RT
RZ
AN
However, I am in the process of looking at the last 52 weeks of historical data to see if you ACTUALLY do make money. At 1%, a few bad weeks could wipe out any profit you might have accrued.
It all seems to hinge on how you account for losing weeks. My current analysis simply says that if the target is not hit, you use the weekly close. I am also compounding - whatever the balance was on Friday for a given stock, it is rolled into the next week. Trading costs are set at $15 for the buy/sell combo per stock per week.
Results in a moment ....
|
Kevin_in_GA
4,599 posts
msg #78170
- Ignore Kevin_in_GA |
8/28/2009 3:25:33 PM
SUMMARY OF CROCKPOT TRADING STRATEGY
INITIAL INVESTMENT FOR EACH STOCK: $5,000
TRADING COSTS INCURRED PER WEEK: $15
START DATE: 8/18/2008
END DATE: 8/24/2009
TICKER 1% APPROACH 2% APPROACH 3% APPROACH
YIELD BALANCE YIELD BALANCE YIELD BALANCE
AVII 31.97% $6,598.27 78.73% $8,936.68 3.41% $5,170.66
PWER 12.76% $5,637.83 -15.80% $4,210.01 -29.98% $3,501.01
FNF 11.86% $5,593.20 80.82% $9,040.97 93.98% $9,698.85
ISLE -9.19% $4,540.40 20.11% $6,005.58 83.43% $9,171.63
BC -4.17% $4,791.36 6.15% $5,307.72 -66.60% $1,669.76
PLD 5.22% $5,260.89 34.28% $6,714.08 -47.25% $2,637.71
ALK 7.46% $5,373.04 62.75% $8,137.64 43.46% $7,173.14
RT -39.94% $3,003.12 -5.71% $4,714.28 -59.72% $2,014.00
RZ -0.78% $4,961.16 45.46% $7,273.21 16.74% $5,837.12
AN 13.49% $5,674.71 89.71% $9,485.25 -19.12% $4,043.89
NET RESULT:
1% Approach yields 2.87% or $51,433.97 on an initial investment of $50,000.00 - pretty weak. Target was hit on average 94% of the time
2% Approach yields 39.65% or $69,825.41 on an initial investment of $50,000.00 - not bad, but below what I would have expected given the high frequency of hitting this target (about 90%).
3% Approach yields the worst at 1.84% or $50,917.77 on an initial investment of $50,000.00. Target was hit about 77% of the time.
|
kmcninvest
43 posts
msg #78173
- Ignore kmcninvest |
8/28/2009 3:50:23 PM
Thanks for doing the backtesting. What would happen if you targeted the 2% goal using only 3 stocks?
|
Kevin_in_GA
4,599 posts
msg #78187
- Ignore Kevin_in_GA
modified |
8/28/2009 6:06:29 PM
The top 3 in the list are the ones you would probably choose, since they have been the most consistent.
Backtest already done - just summing up the proceeds
AVII 78.73% $8,936.68
PWER -15.80% $4,210.01
FNF 80.82% $9,040.97
NET: 47.92% $22,187.66
Pretty good, but below what you would expect at 2% per week (don't get me wrong, I'd take this in a heartbeat!)
|
kmcninvest
43 posts
msg #78191
- Ignore kmcninvest |
8/28/2009 6:35:32 PM
Thanks Kevin. I have been trading the scan for the last 5 weeks using a 13 week 5% gain count with a week by week look behind for 12 weeks to see if a stock was recently missing the 5% and adding a 26 and 52 week count to see long term strength. I trade 2 stocks each week. I have hit the goal all weeks except this week I missed with 1, CAR. The main reason I missed is I did not research enough with this stock. After I make my top 5 picks from the list I research the companies and the industries and fundamentals and choose 2. If i looked at CAR more closely I would have seen that their was insider sell off last week as well as the stock had underlying weakness. I am like you in that I can not day trade and was looking for a good short term strategy. I think this is still a great scan but I think it is more than taking the list and going with it. You have to do research on the companies. Also, I have found I am using the same companies (with the exception of CAR) and I get to know how they behave. That is hard to factor into backtesting. I am new to SF so take what I say with a grain of salt. By the way, I am from Atlanta, any user groups here for SF?
|
Kevin_in_GA
4,599 posts
msg #78196
- Ignore Kevin_in_GA |
8/28/2009 7:19:23 PM
I'm up in Alpharetta. Glad to know that there are others nearby who use this site.
I saw your 5% filter - FUQI has been a great play, actually so good that buy and hold would have been more profitable.
I was mildly concerned that by using the last 13 weeks as your analysis timeframe, you were getting really good results mostly because of the recent run up. For me, the hardest test was the 52 week test, as it included some of the worst trading periods in recent history. If a stock can consistently deliver 2 or 3% under those conditions, it's OK by me!
What I need to determine is how to limit losses without missing out on the high. If the stock dips before hitting the weekly high, I'm out at a loss. Let me play with a stop loss to see if there is a happier medium. I'll need to use daily data, but that just takes a little longer ...
|
hawkeyes002
49 posts
msg #78197
- Ignore hawkeyes002 |
8/28/2009 7:25:57 PM
hey kevin what do you think of this filter?
set{x,count(volume above volume 1 day ago,1)*2}
set{y,count(volume above average volume(90),3)}
set{z,x+y}
and z is above 1.1
and close has been decreasing over the last 3 days
and low is below lower bollinger band(20)
and count(close above open,3) is below 2.1
and rsi(2) is below 1
and close is between 1 and 10
and average volume(90) is above 100000
|
kmcninvest
43 posts
msg #78198
- Ignore kmcninvest |
8/28/2009 7:34:07 PM
That is a good point. I don't trust it yet. I run another scan (that TRO posted at the beginning) that looks at shorts. I run this one also. It has a higher hit rating but I have not used it as I have not shorted a stock yet and need confidence to do so. Thanks for the reply. I am in Roswell (not New Mexico).
|
kmcninvest
43 posts
msg #78200
- Ignore kmcninvest |
8/28/2009 8:01:12 PM
I also agree that I would have made more money by buying and holding. But, I have been reading the threads in the forum and the one that hit me was "focus on one stock". I have been playing two but before that I was all over the board. "More" is a word I don't consider anymore. That, was a great piece of advice for me.
|
Kevin_in_GA
4,599 posts
msg #78207
- Ignore Kevin_in_GA |
8/28/2009 8:58:58 PM
Yeah, one stock is definitely one way to play. Just look at the guys who use TRO's "Milk the Cows" strategy on AAPL.
If I were to do this on one stock, FNF at the 3% limit would be a strong play for me.
I work in Roswell - we should meet for lunch.
|