DMUNCASTER
34 posts
msg #115788
- Ignore DMUNCASTER |
10/9/2013 4:43:26 PM
No argument with you Kevin. You the man. However, I'm not sure where this 80% figure comes from. Summing up the 6 weeks I've now looked at, it's nearer 50%. Also, I've always had a problem with getting in at the open. I do a lot of swing trading and I've found that getting in once the price goes your way a bit, gives better results (high above previous close, or previous high). You stay out of a lot of trades where you get in at the open and it heads rapidly south. Is there a reason to always get in at the open other that it's easier to backtest? Any way to backtest Crock Pot in SF or SS?
|
Kevin_in_GA
4,599 posts
msg #115789
- Ignore Kevin_in_GA |
10/9/2013 8:45:21 PM
I'm trying to figure out the right code for SS. Using SF you need to do it manually.
A quick manual back-test since 8/2 using only the top 5 from the filter I posted (only difference is close above 5 instead of 1) shows the following:
Number of trades: 50 (ten weeks, 5 trades per week)
Number of wins: 45 (90% win rate on the 2% limit)
The 5 losing trades were not small, at -10.7% (EVC week of 8/5), -10.2% (CLNT week of 8/26), -2.55% (GMCR week of 9/2), -1.9% (EVC week of 9/16) and -10.8% (GMCR week of 9/23)
You took a few large hits, that functionally erased all of the other profits those weeks, but you basically crushed the SPY over the same period with little or no effort.
|
duke56468
683 posts
msg #115790
- Ignore duke56468 |
10/9/2013 9:26:19 PM
What would be a reasonable way to exit the bad trades?
|
Kevin_in_GA
4,599 posts
msg #115791
- Ignore Kevin_in_GA |
10/9/2013 10:10:06 PM
I would need to confirm this, but it looks like most of the successful trades were completed by Wednesday. Don't know if that helps or not.
|
dknoonan
27 posts
msg #115810
- Ignore dknoonan |
10/10/2013 11:12:47 AM
One way to backtest this semi-automatically would be dump the backtest data to Excel, then add a column for day of the week. Insert a new column "C", and give it a formula of =WEEKDAY(B2,2), and fill down column C. You'd want a trigger date of Friday I think, so filter out any rows that aren't a 5 in column C.
|
DMUNCASTER
34 posts
msg #115815
- Ignore DMUNCASTER |
10/10/2013 2:41:47 PM
Kevin, I guess the reason you're seeing 90% winners over the past few weeks and I'm seeing closer 50%, is that I'm looking at all the stocks selected on Fridays, while you're picking only the first 5. Are you comfortable that the first 5 will always do better than the total scan? As I posted earlier, selecting only the stocks that trade above Friday's high, usually 4 or 5, I get 100% winners, but that too could just be a lucky short-term run. That's why I hope you're able to somehow code this in SS for backtesting. Also, the system desperately needs a set exit strategy for losing trades. The reason I keep nit-picking at this, is that I know there's something here, but I just don't feel that it's right yet. There's a reason this thread shut down for so long. Either it didn't work out so great in the real world, or everybody involved back then is living in big homes at The Villages that they bought for cash.
|
Frank460
4 posts
msg #115823
- Ignore Frank460 |
10/10/2013 7:01:29 PM
Is there a collection of TRO postings anywhere on this website??
|
Marco Sicily
20 posts
msg #115825
- Ignore Marco Sicily |
10/10/2013 10:44:50 PM
If you click on" The Rumpled One" on the first page of this thread it will take you to over 600 pages of TRO's posts.
|
Kevin_in_GA
4,599 posts
msg #115836
- Ignore Kevin_in_GA
modified |
10/11/2013 1:03:19 PM
Kevin, I guess the reason you're seeing 90% winners over the past few weeks and I'm seeing closer 50%, is that I'm looking at all the stocks selected on Fridays, while you're picking only the first 5. Are you comfortable that the first 5 will always do better than the total scan?
You need a cutoff somewhere, and for practical purposes you probably would only invest in 5-10 each week. Taking the top ten performers seems to be the right approach - this is all driven by statistics, as you well know. Sports analogy - I'm more comfortable Kobe at the foul line than I am putting Shaq there. Why? Historical performance.
As I posted earlier, selecting only the stocks that trade above Friday's high, usually 4 or 5, I get 100% winners, but that too could just be a lucky short-term run.
Are you testing this manually? Is this that the weekly high, regardless of what day it falls on, is used or is it only the Monday high? For backtesting one could try the same thing using the prior week high, but that is probably something outside of the topic of this thread.
Also, the system desperately needs a set exit strategy for losing trades.
It's there - the Friday close. I wouldn't try to tinker with this too much, but if you feel that it is critical to have a loss mitigation component try analyzing each trade on the daily charts to make sure you aren't turning too many winners into losers in the hopes of limiting a few big losses.
However, a single loss can wipe out one or more weeks of gains, as some are 15-20% drops. Even one of them can set you back a month, and it's not like they are all that uncommon. The only way to offest the increased losses one will take from adding a stop loss is to simultaneously raise the target gain percentage. Might be worth exploring.
|
mahkoh
1,065 posts
msg #115844
- Ignore mahkoh |
10/11/2013 4:33:09 PM
TRO has an interesting suggestion somewhere in the beginning of this thread: Close out all positions once the total portfolio profit is 2%.
|