belflan's US stock pair trades

[belflan]

sorry if you feel I'm cluttering up TT with crap threads, but hear comes another one anyway.

I've been thinking about what dc has been doing with stocks that have strong FA and are showing RS to the market.

On this thread I will not be going into FA (don't have the time just yet) but I'll be looking at stocks that are making 52week highs/lows and trying to trade them in the direction of the market.

what I will be doing on this thread is as follows;

Drop 52 week high/low stocks out of IB screener into the attached Radar screen to monitor
Waiting until the stocks daily macci reaches o/b or o/s levels
Enter positions bases on the the positions sizing indicator
Enter/exit in the direction of the market (using indu macci)
rotate stocks using their macci's for exits/entries
have no more than 10positions open at one time
never be short and long at the same time

will add to the above rules as I go

starting balance $30K
risk per trade for position sizing = 1%

will set out other filtering criteria on monday night

The above is just a test to help my understanding of 52 week high/low stocks

I have no idea what will happen. I have no idea if there is an edge in doing this. This like all my threads is a work in progress.

what I hope to get out of this thread = A better understanding of 52week high/low stocks and if there is a edge in trading the above way (Nothing else)

as normal all comments and input welcome (well nearly all)

belflan


within IB screener I have the following filter

stocks price = $10 or above

volume = +3M

 

[dcraig1]

Should be an interesting thread. I have a theory that cyclicity is not so important on these high momentum stocks. I may well be wrong on that count. Look forward to seeing the results.

I think you make a good point that doing this sort of thing helps general market understanding and following where the money is going, even if at the end of day it doesn't turn up tradeable results. You also need to view any results in the market context in which they are obtained. For example at the moment the hot stocks are oil, energy, agriculture, ag chems etc. Several years ago it would have been housing, real estate. Before that tech and so on. Sometimes small caps outperform large etc etc.

I have updated the thread that I started with some forward test results.

 

[dcraig1]

A little correction to what I said above. While I don't think the cyclicity of high momentum stocks may be that important, I do think that as always broad market direction is absolutely paramount.

 

[belflan]

The 1st stocks to be dropped into radar

 

[belflan]

lists as at tonight (will add to list as i go)

as per the Swing thread. i'll be waiting for the daily and hourly macci on the indu to go to o/s level (or turn at previous turn level) to enter a long portiflio

belflan

 

[belflan]

starting to change my mind about entries and exits on this thread.

to do it as decribed above would be to simlar to the swing thread.

i may go for a pair trading idea with shorts and longs opened at the same time, just to make the thread more interesting (and different from the swing thread.)

would still use the macci's for stock entries

I'm not actual sure how to stay market neutral (would the open positions of the stocks have to be the same value on each side? I'm sure the volitility of each stock would need to be concidered also?

hmmm

see how I go.

 

[dcraig1]

starting to change my mind about entries and exits on this thread.

to do it as decribed above would be to simlar to the swing thread.

i may go for a pair trading idea with shorts and longs opened at the same time, just to make the thread more interesting (and different from the swing thread.)

would still use the macci's for stock entries

I'm not actual sure how to stay market neutral (would the open positions of the stocks have to be the same value on each side? I'm sure the volitility of each stock would need to be concidered also?

hmmm

see how I go.

Belflan,

That is an interesting idea and IMHO well worth persuing.

I did a crude backtest of something like this using the screens on the momo thread. To determine if there was an edge, I just rotated the long and short portfolios every 20 days. Annualized compounded return was ~ 120%, with max DD about 12% over the last 15 months. Undoubtedly there would be better ways to trade a such a strategy.

 

[belflan]

Belflan,

That is an interesting idea and IMHO well worth persuing.

I did a crude backtest of something like this using the screens on the momo thread. To determine if there was an edge, I just rotated the long and short portfolios every 20 days. Annualized compounded return was ~ 120%, with max DD about 12% over the last 15 months. Undoubtedly there would be better ways to trade a such a strategy.

yeah, I think out of interest I will go down the pair trading root.

I'll change my rules above in post one to suit

cheers
belflan

 

[belflan]

can't edit 1st post?



have no more than 20positions open at one time
must be both short and long (when entering and exited both a short and long must be opened/close at the same time)
Market direction will not be taken into consideration
position sizing once in a trade will be monitored and changed inline with the recent volatility of the stock (via the position sizing indicator)

this is the changes I wish to make to the entry/exit rules

I will review and change the above rules, as i learn about pair trading (as I go)

belflan

 

[belflan]

, I just rotated the long and short portfolios every 20 days. Annualized compounded return was ~ 120%, with max DD about 12% over the last 15 months. .

I'll be hoping to be more active in opening and closing positions,

but I'd be very pleased if i got anywhere near those results

belflan

 

[belflan]

1st trade open

i will open a corrisponding short later today

 

[belflan]

2nd trade open,

un happy with entry as I would have liked to have waited on the 10macci to short, but i have to go out and won't be back til 9.00

 

[belflan]

running total = -$789

 

[belflan]

if these stocks are not already in the radar, I'll be dropping them in tonight

 

[belflan]

Now monitoring over 100 stocks for this thread

attached is my open positions along with the lists I'll pick entries from for tommorrow.

belflan

 

[belflan]

two more shorts opened

will look for two longs later (hopefully with a better entry off the indu)

 

[belflan]

getting hit by a bit of a spike on BRCM on earnings

shouldn't matter long term tho

 

[belflan]

two longs opened

 

[belflan]

running total

 

[belflan]

open positions in radar monitor

I will open another 2 positions (both sides tomorrow)

when I'm opening a position, both a short and long must be taken,

the short and corrisponding long must be entered with the same day, so that overnight there the same amount of longs as shorts

intra day analysis on the indu will be used (when possible) to get better entries/exits on stock

well see how it goes

belflan