Kevin_in_GA
4,599 posts
msg #111009
- Ignore Kevin_in_GA |
2/5/2013 9:57:43 AM
Anyone in KERX or HLF should seriously consider taking your profits now. HLF up more than 8% and KERX up 5%.
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Kevin_in_GA
4,599 posts
msg #111025
- Ignore Kevin_in_GA |
2/5/2013 10:45:42 AM
New trade this morning - MHP in at 47.28. Currently trading at 47.34.
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Billirider321
62 posts
msg #111054
- Ignore Billirider321 |
2/5/2013 3:19:29 PM
Kevin,
Are you setting a stop loss once the trade is in money.
Thanks
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Kevin_in_GA
4,599 posts
msg #111055
- Ignore Kevin_in_GA |
2/5/2013 3:40:24 PM
No. Although with MHP today that might not have been a bad idea.
The backtest does not include any stop losses or profit gains - it is impossible to determine the order of events using EOD data if you try. The Connors system relies on statistics, and so part of that is taking a loss occasionally. This variant has been about 68% profitable since 1/2/2007, which means 1 out of three will take a loss.
I would like to backtest this using a double-down on the trade if it moves more than 5 or 10% against you to see how it impacts performance. This approach usually results in higher win rates but feels riskier.
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Marketyoda
11 posts
msg #111060
- Ignore Marketyoda |
2/5/2013 6:26:39 PM
@Kevin-
Thanks for the info!
I've been papertrading this for a little bit. Had a doubledown scenario last week with RIMM/BBRY.
I divide my balance into 5 equal (as close as I can get) cash-size positions. Last week, RIMM took 2 positions. Here's the way it went:
Entry #1 (1/29): 200 shares @ $15.21
Entry #2 (1/31): 210 shares @ $12.45 (Price gapped below 12.95 target at open)
Williams %R Exit (2/4 @ open): $13.71
Entry #1 result: -$300.00 (before commissions)
Entry #2 result: +$302.40 (before commissions)
Would have been a small loss with commissions factored in, but better than a big loss. I wonder how many double down scenarios there are and how many actually work out or at least soften the blow a bit.
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tomm1111
202 posts
msg #111064
- Ignore tomm1111 |
2/6/2013 12:56:57 AM
Kevin, Great filter. I have a question regarding the SS code you posted previously in the thread. In the third line of code, you reference the "low tomorrow" (ref(low,1) < close * 0.94) to create a limit order at close*0.94 of current day. Can you please explain why this is coded this way? I'm trying to follow the logic. Thanks, Tom
"Yes. The exact SS code is as follows:
(close-low)/(high-low) < 0.2 and
ref(low,1) < close * 0.94 and
low < ref(close,-1) * 0.94 and
adx(5) > 40 and
close > 5 and
mov(volume,21,simple) > 250000
Entry is a limit order at close*0.94. "
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Kevin_in_GA
4,599 posts
msg #111069
- Ignore Kevin_in_GA |
2/6/2013 8:54:55 AM
That is the correct code for backtesting the proposed system. You would remove the forward-looking reference when trading this.
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tomm1111
202 posts
msg #111091
- Ignore tomm1111 |
2/6/2013 4:07:02 PM
Got it. Thanks.
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tomhal326
2 posts
msg #111224
- Ignore tomhal326 |
2/8/2013 6:24:56 PM
I read through the posts and found this indicator to be a very interesting take on Connors RSI. I haven't seen any updated posts the last couple of days and wanted to verify I have the correct/latest version. I ran EOD and the following showed up as candidates for Monday:
NUAN,VSAT,RNDY,UNXL,TRLG,ESI,TEO
Presuming no trades have gone off the last couple of days due to lack of updates Great posts, thanks.
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Marketyoda
11 posts
msg #111226
- Ignore Marketyoda |
2/8/2013 7:41:10 PM
@tomhal326
Been paper trading this for the last couple of weeks to get the hang of this.
If I have this right, the only positions that would still be open are KERX (from 2/4 @ 6.68) and MHP (from 2/5 @ 47.28).
If you average down as Connors suggests (I'm testing 5% blocks), you would have bought 2 additional positions. The first would have been later on 2/5 @ 44.92 and again today @ 42.55.
Does this check with what everyone else has?
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