Balls of steel system

[the blades]

OK - if you were to short the stocks from the FTSE350 that had fallen the most over the previous month, and rebase every month, crude backtesting suggests you'd return around 3% per month. You'd suffer the occassional stinker (20% loss in a month), but return a decent annual sum with a nice hedge for a long portfolio.

I wondered if anyone had ever tried such a crude system?

UTB

 

[Jack o'Clubs]

I wondered if anyone had ever tried such a crude system?

UTB

Not that one, but I've tried crude systems in my time! Often work okay - one of my favourites was going long the stocks that are thrown out of the FTSE100 each quarter and holding until the next revision. They get so oversold once they're given as demotion candidates they often bounce back for a while. A bit like the one you mention though - relatively consistent returns, but when you get a shocker it hurts unless you use a bit of FA to filter, or a stop-loss.

 

[the blades]

Not that one, but I've tried crude systems in my time! Often work okay - one of my favourites was going long the stocks that are thrown out of the FTSE100 each quarter and holding until the next revision. They get so oversold once they're given as demotion candidates they often bounce back for a while. A bit like the one you mention though - relatively consistent returns, but when you get a shocker it hurts unless you use a bit of FA to filter, or a stop-loss.

Thanks for the reply, JOC.

As with mostt of these systems, I suspect stoplosses would reduce returns but protect your nads

I prefer combining multiple systems, long and short. I've canned the use of stops (I know, I know). They would have taken a lot of trend followers out of the market recently who would then have missed the subsequent bounce.

UTB

 

[Jack o'Clubs]

Thanks for the reply, JOC.

As with mostt of these systems, I suspect stoplosses would reduce returns but protect your nads

I prefer combining multiple systems, long and short. I've canned the use of stops (I know, I know). They would have taken a lot of trend followers out of the market recently who would then have missed the subsequent bounce.

UTB

I don't use stop-losses with equities either - I agree.

 

[TheBramble]

For the wimps among us...

If you’re into over or under performers, why not just do correlations of stocks against their index? Your looking for those that have least correlated with the index.

Those stocks showing most strength against a weak or weakening index are worth taking Long when the index turns up again.

Those stocks showing most weakness against a strong or strengthening index are worth taking Short when the index turns down.

You also get to place sensible stops. Sorry, I’m a dyed-in-the-wool stops man…

Not exactly a balls of steel approach and neither is it a particularly crude system. Simple, but not crude.

For balls of steel thrills and crude I get out of the market and go elsewhere…LOL.

 

[the blades]

If you’re into over or under performers, why not just do correlations of stocks against their index? Your looking for those that have least correlated with the index.

Those stocks showing most strength against a weak or weakening index are worth taking Long when the index turns up again.

Those stocks showing most weakness against a strong or strengthening index are worth taking Short when the index turns down.

You also get to place sensible stops. Sorry, I’m a dyed-in-the-wool stops man…

Not exactly a balls of steel approach and neither is it a particularly crude system. Simple, but not crude.

For balls of steel thrills and crude I get out of the market and go elsewhere…LOL.

Tony - Almost the same in that you've picked the weakest stocks from the FTSE350 index? The difference being that you're timing your "ins and outs" based on the direction of the index / sector - but isn't that timing the difficult part? How do you determine when "the index turns"?

I use long only systems, hedged against an equal portion of the index (US and UK). I then use index timers to reduce my hedge. But the long only systems are "always in".

JOC - aha, someone as "mad" as me!

Cheers,
UTB

 

[the blades]

For balls of steel thrills and crude I get out of the market and go elsewhere…LOL.

unfortunately, they've closed most of those places around me.

UTB

 

[Rhody Trader]

OK - if you were to short the stocks from the FTSE350 that had fallen the most over the previous month, and rebase every month, crude backtesting suggests you'd return around 3% per month. You'd suffer the occassional stinker (20% loss in a month), but return a decent annual sum with a nice hedge for a long portfolio.

This is basically the opposite of the 'Dogs of the Dow' strategy which has been around for years. Obvoiusly, you're talking about U.K. stocks and a much larger index, and selling rather than buying. I don't know the results off-hand, but I believe the Dogs figures were decent.

 

[Priceman]

Stops... what are they?
Losses... what are they?

Balls of steel trading is knowing you know you're right coz you just know ! Now I'm sounding like someone else on here

 

[the blades]

This is basically the opposite of the 'Dogs of the Dow' strategy which has been around for years. Obvoiusly, you're talking about U.K. stocks and a much larger index, and selling rather than buying. I don't know the results off-hand, but I believe the Dogs figures were decent.

yes, it's sort of an opposite. Actaully, the dogs of the dow system, as tracked by aaii, is one of their worst performers. I think a better tweak of that one is the dogs of the s&P at the end of September, just before the mutuals report - the theroy being that they're oversold in order that fund managers clean up the portfolio and don't have to admit to owning them.

UTB

 

[the blades]

Stops... what are they?
Losses... what are they?

Balls of steel trading is knowing you know you're right coz you just know ! Now I'm sounding like someone else on here

unfortunately, I know plenty about losses. Not so much about stops. Hmmm......



UTB

 

[TheBramble]

How do you determine when "the index turns"?

Change of slope? No good if you're looking to pick tops and bottoms. That's more 'balls of steel'....LOL

 

[the blades]

OK - Balls of Steel system underway, with small shorts on Misys and Benfield. No analysis, other than they are falling rapidly, with slight rally's today.

I've avoided the banks as my gut says that a dead cat will bounce. No doubt my gut will cost me. I'll go short on some of these on the next rally.

UTB

 

[the blades]

OK - Balls of Steel system underway, with small shorts on Misys and Benfield. No analysis, other than they are falling rapidly, with slight rally's today.

I've avoided the banks as my gut says that a dead cat will bounce. No doubt my gut will cost me. I'll go short on some of these on the next rally.

UTB

I think ther last few days sum up the difficulty with this type of system. After fearing I'd missed the boat on Friday and only placing 2 small shorts, the banks continue to plummet! Gut feel fails again.

UTB

 

[Gumping]

Did it...

...I did something like this with longs on FTSE350 shares based on breaking their 52W High - it worked modestly well. I did use a stop-loss though and paid for it once when 7/7 stopped me out of a very profitable trade!