| StockFetcher Forums · Filter Exchange · BOLLINGER BAND TRADING STRATEGY | << 1 ... 12 13 14 15 16 ... 39 >>Post Follow-up |
| a24ali 15 posts msg #79671 - Ignore a24ali modified |
9/19/2009 7:28:33 PM Kevin, I agree with you, no need to modify/or change the system. I am just thinking to use the effective volume as confirmation method. i havent back tested long enough to see if this works, but i am hoping by using the effective volume, i wont buy the stock in its early pull back stage. Here are some examples of using the effective volume/active boundary.. http://i34.tinypic.com/15rihkw.gif and here's the Active Boundary http://tinypic.com/view.php?pic=29beywy&s=4 as you see, from this graph.. There was large sell off (BY Large Players) around Sept. 2/3 which caused the price to drop, however, by Sept. 4, the effective volume regained most of its loss.. For OTEX http://i34.tinypic.com/15rihkw.gif http://i37.tinypic.com/30k6e5e.gif While prices were going down, from Aug. 25 to sept. 1, the effective volume was increasing..this seemed to be a healthy pullback. This is the case with MANT: http://i37.tinypic.com/30k6e5e.jpg It seems, Large Players are selling off..looking at this, most likely i would wait for the effective volume to stablize and show sign of buying before i get in. Finally, looking at STEC http://i33.tinypic.com/2gy8yah.gif STEC is giving mix signals... the effective volume is picking up but prices continues to go down. As I said before, i need to do more testing to validate this method. I will do actually trading starting next week.. Use your system to screen for the stocks and then use the effective volume as additional confirmation method. |
| Kevin_in_GA 4,599 posts msg #79676 - Ignore Kevin_in_GA |
9/19/2009 8:30:37 PM http://i34.tinypic.com/15rihkw.gif and here's the Active Boundary http://tinypic.com/view.php?pic=29beywy&s=4 as you see, from this graph.. There was large sell off (BY Large Players) around Sept. 2/3 which caused the price to drop, however, by Sept. 4, the effective volume regained most of its loss.. For OTEX http://i34.tinypic.com/15rihkw.gif same link as for AMED http://i37.tinypic.com/30k6e5e.gif same as below for MANT While prices were going down, from Aug. 25 to sept. 1, the effective volume was increasing..this seemed to be a healthy pullback. This is the case with MANT: http://i37.tinypic.com/30k6e5e.jpg It seems, Large Players are selling off..looking at this, most likely i would wait for the effective volume to stablize and show sign of buying before i get in. Finally, looking at STEC http://i33.tinypic.com/2gy8yah.gif ++++++++++++++++++++++++++++++++ I get the picture here - interesting technique. Looks like you could run this at the end of the day to keep track of stocks you have invested in, and pull out when the big boys do. How hard is this to generate? Looks like you are doing this in Excel, right? |
| klynn55 747 posts msg #79678 - Ignore klynn55 |
9/19/2009 8:34:44 PM a24: how did you produce the charts, what software uses villian's scans? |
| gabestogie 79 posts msg #79679 - Ignore gabestogie |
9/19/2009 8:50:01 PM A24: Looks like a no brainer.How do we pull up charts such as these? This is how the smart money plays, they get in & out before the avg. investor does. Gabe |
| a24ali 15 posts msg #79686 - Ignore a24ali |
9/19/2009 11:27:34 PM I am not used posting images here, my appologies..here are the correct graphs for Otex and MANT. MANT http://tinypic.com/view.php?pic=2ib1c9y&s=4 OTEX http://tinypic.com/view.php?pic=2jdm44g&s=4 |
| a24ali 15 posts msg #79689 - Ignore a24ali |
9/19/2009 11:40:43 PM klynn55 - Ignore klynn55 9/19/2009 8:34:44 PM a24: how did you produce the charts, what software uses villian's scans? gabestogie - Ignore gabestogie 9/19/2009 8:50:01 PM A24: Looks like a no brainer.How do we pull up charts such as these? This is how the smart money plays, they get in & out before the avg. investor does. Gabe ---------------- Klynn55 and gabestogie, These graphs are from Willain website, not mine..his method and calculation of the effective volume is detailed in his book Value in Time. I first came across his method through reading Alexander Elder's Entry and Exist book. there are Plug-ins that calculate the Effective Volume for most trading softwares, such as Tradestation, amibroker,esignal.and excel add-on. ' |
| Kevin_in_GA 4,599 posts msg #79738 - Ignore Kevin_in_GA |
9/20/2009 8:04:43 PM Looking at the Active Boundaries data for AMED, the maxima and minima (upon which the best trade signals would be generated) corresponded almost exactly with the Bollinger Band signals as well. I used 2 SD in this case, to try to get the current active boundary values as close as possible to a set of upper and lower BBs. My thinking is that the Effective Volume data is unique, but the Active Boundaries can be easily reproduced using Bollinger Bands. |
| Kevin_in_GA 4,599 posts msg #79740 - Ignore Kevin_in_GA |
9/20/2009 8:15:40 PM A quick backtest of this approach over the past four months - Just like to be sure that this system is working OK. Will do this periodically to keep the system honest. Scenario 1 - No stops at all (profit, trailing or loss): Name: BOLLINGER BAND(16,2.5) IBD STOCKS Initial portfolio Size: $100000.00 Maximum Open Positions: 50 Initial transaction size: $2000.00 Start Date: 06/01/09 End Date: 09/18/09 # Trading Days: 77 There were 84 total stocks entered. Of those, 44 or 52.38% were complete and 40 or 47.62% were open. Of the 44 completed trades, 44 trades or 100.00% resulted in a net gain. Your average net change for completed trades was: 29.82%. The average draw down of your approach was: -4.18%. The average max profit of your approach was: 32.41% The Reward/Risk ratio for this approach is: 0.00 Annualized Return on Investment (ROI): 277.74%, the ROI of ^SPX was: 56.31%. Equity Summary Invested In Stock: $-0.00 Market Value of Stock: $0.00 Market Value - Invested: $0.00 Available Cash: $140526.93 Total (Cash + Market): $140,526.93 Scenario 2 - 20% profit stop (what I am currently using): Name: BOLLINGER BAND(16,2.5) IBD STOCKS Initial portfolio Size: $100000.00 Maximum Open Positions: 50 Initial transaction size: $2000.00 Start Date: 06/01/09 End Date: 09/18/09 # Trading Days: 77 There were 98 total stocks entered. Of those, 61 or 62.24% were complete and 37 or 37.76% were open. Of the 61 completed trades, 61 trades or 100.00%resulted in a net gain. Your average net change for completed trades was: 19.31%. The average draw down of your approach was: -4.57%. The average max profit of your approach was: 21.44% The Reward/Risk ratio for this approach is: 0.00 Annualized Return on Investment (ROI): 266.40%, the ROI of ^SPX was: 56.31%. Equity Summary Invested In Stock: $-0.00 Market Value of Stock: $0.00 Market Value - Invested: $0.00 Available Cash: $131305.45 Total (Cash + Market): $131,305.45 |
| drew9 171 posts msg #79746 - Ignore drew9 |
9/20/2009 11:47:41 PM Hi Kevin, Really nice job on your filter and thanks for sharing! Just noticed your last two backtest results had 84 stocks in Scenario 1 and 98 in Scenario 2. Any idea why these are different when the only variable appears to be a profit stop? |
| ronun 27 posts msg #79753 - Ignore ronun |
9/21/2009 5:24:16 AM Kevin_in_GA, Nice work on your Bollinger(16,2.5) filter. It seems to match up with many of the Value Chart trading signals from "Dynamic Trading Indicators." Take a look: * Calculate FLOATING AXIS*/ SET{VAR1,HIGH + LOW} SET{VAR2,SUM(VAR1,5)} SET{FLOATINGAXIS,VAR2 / 10} AND ADD COLUMN FLOATINGAXIS /*Calculate VOLITILITY UNIT*/ SET{DIFF1,HIGH - LOW} SET{DIFF2,SUM(DIFF1,5)} SET{VOLITILITYUNIT,DIFF2 / 25} AND ADD COLUMN VOLITILITYUNIT /*Calculate VALUE CHART HIGH*/ SET{VALUEHI,HIGH - FLOATINGAXIS} SET{VALUECHARTHIGH,VALUEHI / VOLITILITYUNIT} AND DRAW VALUECHARTHIGH AND DRAW VALUECHARTHIGH LINE AT 4 AND DRAW VALUECHARTHIGH LINE AT 8 /*Calculate VALUE CHART LOW*/ SET{VALUELO,LOW - FLOATINGAXIS} SET{VALUECHARTLOW,VALUELO / VOLITILITYUNIT} AND DRAW VALUECHARTLOW AND DRAW VALUECHARTLOW LINE AT -4 AND DRAW VALUECHARTLOW LINE AT -8 AND ADD COLUMN HIGH AND ADD COLUMN LOW AND ADD COLUMN VALUECHARTHIGH AND ADD COLUMN VALUECHARTLOW SHOW STOCKS WHERE VALUECHARTLOW IS BELOW -8 SHOW STOCKS WHERE CLOSE IS BETWEEN 1 AND 300 AND AVERAGE VOLUME(30) IS ABOVE 100000 Sorry, I haven't figured out how to make it clickable. ronun |
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