| StockFetcher Forums · Filter Exchange · TRO'S CROCK POT 2.0 | << 1 2 3 4 5 ... 27 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #115856 - Ignore Kevin_in_GA |
10/13/2013 2:47:05 PM This is the start of a parallel conversation regarding TRO's Crock Pot strategy found here: http://forums.stockfetcher.com/forums/Filter-Exchange/TRO-CROCK-POT-SLOW-COOKERS-FOR-SWING-TRADERS/67200 The basic premise is that one can use historical likelihoods of reaching a 1% or 2% gain from a trade entered at the open of the week's trading. If one places a limit order at 1-2% above the weekly open one can usually meet this goal with little or no effort. TRO's original filter calculated the frequency of hitting a given % gain from the weekly open, and advocates taking positions in those stocks with the highest win frequency. In his original version, the close must be above 1 dollar and the average volume(90) be greater than 500000. What was not considered was that when these gains were made, the price and volume criteria must also be met, or one is comparing apples and oranges - how confident are you in meeting a 2% gain this week on a $5 using historical data from when it was trading at $1 or $2? SF can correct for this however, and so I did a small series of modifications to TRO's original filter to also insure that only trades which met the entry requirements were counted in the statistical analysis. This version only includes trades where the weekly open was above 5 and the weekly volume was above 2.5 M shares (similar to TRO's average daily volume of at least 500000). How different are the results? In some cases not at all, but in others it is pretty dramatic. As an example look at HSOL - on TRO's original filter it shows 49 successful 2% gain weeks over the last 52, but almost all of those were when it's price was below $5. Using this variant, you get a score of 4. Now the filter does not say "Gosh, if you invest in HSOL you won't make your target", but it does not mislead you with results that were from when it traded at a much lower price. In fact, for the coming week only three stocks are common to both filter's 10 top rank - GMCR, DUST, and TSLA. I also built in a second time scale - 13 weeks - since for some traders they more recent data might be seen as more important than giving weight to wins made almost a year ago. One just needs to change the selection criteria as follows: I believe that this approach can be easily implemented and trade profitably. I will track how the top 5 picks from each time frame do each week and post them here since this is tricky to backtest properly. If I get the time I'll manually backtest this strategy over the last year and post the result as well. Not sure if a stop loss needs to be put in place here, since some of the losses can be big, wiping out several weeks of gains in one bad trade. I guess we'll see going forward. |
| klynn55 747 posts msg #115859 - Ignore klynn55 |
10/13/2013 4:20:01 PM kevin thanks for being so thoughfull |
| mahkoh 1,065 posts msg #115864 - Ignore mahkoh |
10/13/2013 6:32:38 PM I would suggest to always check non adjusted historical data on candidates from a source like Yahoo Finance. As an example USU (which is not on the list) looks to have traded between $7 and $16 in SF data. But prior to the 1 for 25 split in July 2013 it actually traded below $ 0.70. And with a few formulas in excel you can check whether your GTC order would have been filled within 3 weeks if it failed to do so during the week. The stats for the top 10: GMCR: 5 failures, closed out 3 times profitable within 3 weeks ( failure from week ending 9/27 has a chance to close this week) SRPT : 7 failures, 3 closed out profitable TSLA : 6 failures, all closed out profitable BBRY : 8 failures, 6 closed out profitable YOKU : 8 failures, 3 closed out profitable P : 8 failures, 7 closed out. This weeks failure still has 3 weeks to try and close with a profit. UVXY : 8 failures, 2 closed out profitable DUST : 4 failures( out of 46 entries), 3 closed out profitable NPSP : 9 failures, 2 closed out profitable QCOR : 9 failures, 5 closed out profitable |
| Kevin_in_GA 4,599 posts msg #115865 - Ignore Kevin_in_GA |
10/13/2013 9:52:42 PM Mahkoh - good point, especially for low cost stocks that do a reverse split. The normal stock split should not be that much of an issue, but is also worth checking. |
| Kevin_in_GA 4,599 posts msg #115866 - Ignore Kevin_in_GA |
10/13/2013 9:58:24 PM I'll be tracking the 13 week top performers as we go along here. Based on performance over the past 13 weeks, trades to be entered at the open on Monday October 14th are SFUN - 100 shares DUST - 115 shares CSIQ - 250 shares YOKU - 170 shares WLT -340 shares All have gone 13 for the last 13. Not sure what the open price will be, but these share amounts would put roughly $5000 into each trade. |
| olathegolf 119 posts msg #115868 - Ignore olathegolf |
10/14/2013 2:05:54 AM Thanks, Kevin for the v2.0. Always good work. As TRO always said, it's not what you trade but how you trade it. Undoubtedly, the win percentages are high. I am most interested in the occasion when the 2% is not triggered. In the old TRO post, Frank (Oldsmar52) suggested that he just waits it out - I guess implying that he always wins. My simple backtesting shows otherwise. So, the big question is exit strategy. Kevin spoke about this in some detail at the end of the old TRO post. It might also be interesting to see the win% if you (decide to) hold for 2, 3, or 4 weeks. |
| Kevin_in_GA 4,599 posts msg #115869 - Ignore Kevin_in_GA |
10/14/2013 7:23:37 AM I might argue that with win rates like these the better strategy is to enter more trades, spreading your risk and putting less into each trade. Then the occasional 10-15% whallop is absorbed by the larger number of 2% wins. |
| jimmyjazz 102 posts msg #115879 - Ignore jimmyjazz modified |
10/14/2013 10:10:53 AM In the "let it ride" vein, I would argue that it might make sense to let all trades ride to Friday close if they don't hit the exit limit price earlier in the week. Take whatever exit price you get. Many, many times on the Supercharged Crockpot a -10% stop wasn't triggered and exit near Friday close trades roughly balanced out (some up, some down, most near flat). Last week was the first time I took a beating using Supercharged Crockpot. FYI, I am in WLT as of near-open this morning, using a long call, and it has gained enough for me to convert to a trailing stop that will ensure I won't lose money (assuming it triggers and executes at that price). No exit criteria to the upside. I'll just let it ride. |
| oldsmar52 104 posts msg #115883 - Ignore oldsmar52 |
10/14/2013 11:25:00 AM In the other TRO thread I mentioned an option if you didn't like the "buy at open" on Monday method. Today was a rather big down opening & I'd said you might want to wait & when the stock went below its Monday open you could put in a buy stop to get in at its original open price. That's what I did today & got in and out of CSIQ, DUST, HSOL, CPRX & STP with 2% on each. That was on Avery's original filter, not the one in this thread. Anyone pay attention to that option? Frank |
| Kevin_in_GA 4,599 posts msg #115885 - Ignore Kevin_in_GA modified |
10/14/2013 11:30:32 AM Just a quick note to say that CSIQ, DUST, and WLT have all hit their 2% profit targets. Right now SFUN and YOKU are both profitable ... but the day is young. Could go either way. UPDATE at 12:39 PM: YOKU also has now hit the 2% target, and SFUN (the only remaining open trade) is up slightly over 1%. |
| StockFetcher Forums · Filter Exchange · TRO'S CROCK POT 2.0 | << 1 2 3 4 5 ... 27 >>Post Follow-up |
Copyright 2022 - Vestyl Software L.L.C.•Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data
Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus