| StockFetcher Forums · General Discussion · How do I scan stocks in two different industries ? | << 1 2 3 >>Post Follow-up |
| yepher 359 posts msg #41250 - Ignore yepher |
2/16/2006 3:16:28 PM powermob, Sorry, the best I can offer is what is posted. Only other thought I have short of SF making a change to the way Industry, Sector, etc are choosen is maybe (and this is a really big maybe) all of the ones you are interested in happen to be in some range. In that case you chould leverage the "between" instead of "equals" syntax. My $.02 -- Yepher |
| nikoschopen 2,824 posts msg #41251 - Ignore nikoschopen |
2/16/2006 3:31:07 PM I've posted this elsewhere but I think it apropos for the discussion in question. I would like to rank the sectors and industries within a given period (as you would find in IBD). This way you could zone in on the particular sector/industry to narrow your search. Or, better yet, it would be nice to add a command like "show all stocks within the top ten sectors (or industries) for the last 1 month" -- or the like. |
| powermob 19 posts msg #41253 - Ignore powermob |
2/16/2006 3:42:22 PM Thanks for the input. I appreciate the thoughts and efforts. I search sectors and industries elsewhere and then I was trying to use SF to drill down for stocks within the high-flying sectors and industries. That's where I ran into the issue because SF doesn't match the other, which happens to use the Dow Industry Classification Benchmarks. There is no across the board industry or sector classifications. That can create some issues in looking at stocks on Yahoo, or elsewhere. Anyway, here is the link for the Dow ICB, to those who might have an interest. http://www.djindexes.com/mdsidx/index.cfm?event=showgiClassification |
| nikoschopen 2,824 posts msg #44397 - Ignore nikoschopen |
5/29/2006 10:43:41 PM Have we been briefed on this matter ever since? |
| as214 184 posts msg #44402 - Ignore as214 |
5/30/2006 12:18:24 AM If you want to evaluate sectors and industries and get in early Vector Vest kicks asz.. The fundamental and timing data is superlative.It got me in on TIE in the single digits and in HANS at 11. Sold TIE ..still holding HANS. Heres why you can really kick asz with VV. The only thing on VV that is BS are the Buy, sell, and Hold ratings they lag. I made 419% last year bye mostly buying VV stocks that were rated a SELL that I knew imminently were going to be rated a buy. Once it turned to a buy $$$$$$$ because thats when most of the VV users jumped on. Check it out they give a free 5 week trial, then once you have it Ill be happy to show you some tricks.. Ive done about 150 hours of backtesting on VV and couldnt be happier with it. |
| nikoschopen 2,824 posts msg #44404 - Ignore nikoschopen |
5/30/2006 12:35:34 AM as214, I'm aware of VV & have used their service for a brief period of time about 5 years ago. However, I would like to be see this feature here at SF, whereby we can fetch stocks based on their sector/industry rating. |
| garryp 39 posts msg #44437 - Ignore garryp |
5/30/2006 10:03:33 PM as214, Can you elaborate on the manner by which you 'lead' the VV stock buy switches? |
| gruender 101 posts msg #44448 - Ignore gruender |
5/31/2006 2:27:42 AM Hi as214, I read your message regarding vector vest with interest. Could you please tell me how in the world do you determine that a "sell" recommendation is immediately, or very soon, is going to turn to a "buy"? Thanks, Joe (newcyber7@yahoo.com) |
| gruender 101 posts msg #44547 - Ignore gruender |
6/2/2006 6:45:47 PM Hi Again, AS214, I am still very interested in learning more from you regarding Vector Vest. I have used it before but have not done extensive backtesting like you. Could you please share some of your findings so I can better understand how to use VV in an effective way. Thanks, Joe (newcyber7@yahoo.com) |
| as214 184 posts msg #44548 - Ignore as214 |
6/2/2006 7:50:10 PM These are strategies that I got from the VV user group when I first started using VV before I did my own backtesting. I will email you my strategy next week as it will take me about 30 mins. to type it out and I have to get ready to go out of town this weekend. Confessions of a Video Clerk Conservative strategies2 DVY Index Fund 2 Steady Eddies 2 Steady Eddies Strategy 2 Bear Market Beater 3 Bryan’s Blue Chip BMB Strategy 3 ETF Strategy 4 ETF Strategy 4 Venus and Mercury Timing5 Venus Timing 5 Mercury Timing 5 Strategies to go long with timing6 High Volume Longs 6 High Volume Longs Strategy 6 My Explosives 6 My Explosives Strategy 6 High Tide 7 High Tide Strategy 7 Rocky Balboa 7 Rocky Balboa 7 Shorting Strategies8 My Oddfellows Short 8 My Contrarian 8 Nano Caps8 Nano Caps Strategy 9 Stockcharts.com10 VectorVest Indicators10 Money Management11 Combination of Three Long Strategies 11 Using Two Long Strategies 11 Mercury Decision Table12 Long positions 12 Short positions 12 Et Cetera13 An Approach to Investing 13 Here are some tips on how I trade the market. There are conservative methods and speculative methods that you may find interesting. It’s no certainty that one can have a profit but when managing it through the year one can see the action that the market generates. Conservative strategies DVY Index Fund This is an iShares fund that is filled with dividend paying stocks. It is based on the $DJDVY index and has performed very well since its inception. DVY started in 2003, and I see no reason why it will not perform well in any kind of market. The index held up nicely during the 2000-2002 bear market. Conservative investors may like this. Steady Eddies I was looking through VectorVest to find stocks that perform year in year out, and I stumbled across the Steady Eddies strategy. I raised the price share to be above $5 and added that Average Volume be above 500,000. This hiked the performance to 4% better than without the parameters, and selects better stocks to boot. What I did was backtest and live test this for 3-year periods at the beginning of each month and attained about an 8% gain over the S&P 500 during similar periods. The backtest data was begun in June of 1995. A live test on Foliofn.com beat the S&P 500 by 8% in 2004. Steady Eddies Strategy Price (actual) > 5 AvgVol > 500,000 RS >= 1.25 Div > 0 Sort VST+YSG Descending To manage the selections, use 10 stocks of the stock picks from the first Friday of the month. To start out, collect each 10 stock picks from each first Friday of the month from the previous 3 years. So if you start with May 2002, collect the picks from April 2002, March 2002 etc. back to June 1999. There will be 360 different stock picks, but since there is duplication of stocks, it works out to be about 50 different stocks altogether. For example, since UNH is so popular a pick, sometimes there will be 36 picks (which is the maximum) of UNH so that it takes up 10% of the total picks. AFL is also popular, so it has a large % of the total position. After establishing the entire portfolio, sell the 10 positions from June 1999 and buy the 10 new positions from June 2002. Update ad infinitum. Bear Market Beater Bear market beaters are good for good and bad times in the market. Here is one for blue chips. Use VST < 1 for stops on a day-by-day basis. Bryan’s Blue Chip BMB Strategy RS >= 1.00 Exch = A,N,O,xA,xN,xO Price >= 5 AvgVol >= 500,000 EY > 0 VST > 1 GRT > 10 Sales GRT > 10 PS < 1 Sort 52 Week Price delta Descending Use 2 stocks limit per Industry Group in Portfolio Manager, no duplicates current holdings. So much time of VectorVest is dedicated to breaking the bank that I’ll bet that lots of people are scared out of investing with it. Using conservative strategies can be of use to a lot larger population. Normally, Prudent and Conservative strategies are not to be used with timing. There is a group of Prudent and Conservative strategies in VV’s database, but not too many people use them for timing purposes. The limitation of RS >= 1.00 gives the strategy great safety ranking. Steady Eddies also has this limit. Price >= 5 and AvgVol >= 500,000 go without thinking. Here are the backtest results from the beginning of each month to 5/3/2006: Jan 2000 270.00% Jul 2000 267.08% Jan 2001 190.60% Jul 2001 102.29% Jan 2002 90.26% Jul 2002 152.13% Jan 2003 125.71% Jul 2003 99.32% Jan 2004 57.49% Jul 2004 37.67% Jan 2005 27.67% Jul 2005 27.70% Jan 2006 25.75% ETF Strategy Here’s a strategy that works with ETF’s. Since ETF’s don’t have appropriate values for RS, RV and EY, one needs to use a delta on price to get a better perspective on how the ETF is doing. ETF Strategy Industry Group = Market baskets Price Split 26 week delta descending Sort Use 15% loss and 150% gain for G/L stop Here are sample bactests to May 3, 2006: Jan 2000 22% Jan 2001 58% Jan 2002 93% Jan 2003 73% Jan 2004 47% Jan 2005 42% Jan 2006 16% Venus and Mercury Timing I bought a standalone version of an optimizing software and came up with something I liked. I based Venus on the Russell 2000 ($RUT) and came up with four parameters that worked well enough. The best timing models are usually no better than a coin flip in accuracy but have a win to loss ratio of about 2.5 to 1 or 3 to 1. Venus is about 49% accurate and has a 3 to 1 win to loss ratio. My investigations discovered Venus between the latter part of 2003 to midway 2004. When using timing, if the portfolio declines more than 10%, it’s time to sell all positions at the open next day. Otherwise, hold until the sell signal is given. Venus Timing Russell 2000 Price > Russell 2000’s 17 day ema Russell 2000’s 8 period CCI > -18 line Russell 2000 Price > Russell 2000 price 18 days ago Russell 2000 Price > Russell 2000 price 5 days ago When all these line up, buy. Vice versa for selling. Mercury Timing Here is a variation of Venus, and gives better results. Russell 2000 Price > Russell 2000 price 5 days ago Russell 2000 Price > Russell 2000 price 15 days ago Russell 2000 Price > Russell 2000’s 12 day ema Russell 2000 Price > Russell 2000 price 17 days ago of the 3 day ema When all these line up, buy. Vice versa for selling. What the observer can see is the notation is suggesting a Rate Of Change indicator when the price is greater than price so many days ago. Mercury Long is 54% accurate with a 3.3 to 1 win to loss rate, so it is certainly a superior system. Mercury Short is 40% accurate, which is not bad, but using bear beater and cash positions enhances the accuracy of Mercury. Check out the files Comparison of three Long Strategies and BSR with Mercury in the Files section to see how well it does since 2000. According to the backtest, 85% of the trades should be winning. However, this is only a backtest and slippage and commission will take a bite of that. Strategies to go long with timing High Volume Longs I must give credit to Zach Smith in building this strategy in VectorVest. It locates stocks with price between $1 and $2 and have been crushed on high volume. There is method to my madness here, and it backtests nicely. I only use it when the 5th stock’s sort calculation (Volume/RT/AvgVol) is greater or equal to 6.00 and when the BSR is less than 1.00. Then I buy the top 5 stocks at the open (if I can) the next day when Mercury Timing gives a buy signal. High Volume Longs Strategy Volume > 500,000 AvgVol > 100,000 Price(Actual) >= 1 Price(Actual) <= 2 RT < 1 Sort Volume/RT/AvgVol Descending The idea behind the sort is that it is supposed to be Volume/AvgVol/RT, but because of VV’s calculations, it would be integer division instead of floating point division, which would yield bad results. RT < 1 ensures that the stocks are in fact beaten down and have room to rise. AvgVol > 100,000 ensures liquidity. Volume > 500,000 isolates stocks that are being accumulated aggressively. My Explosives VectorVest came up with a nice strategy for stocks that are in favor at the moment and have great earnings and growth potential. My Explosives is based on the Explosive GRT and EPS stocks. There is a 9 week delta of GRT and EPS, while in the original strategy it uses a 13 week delta. There are two sort possibilities, VST/Price Desc and CI*RS Asc. My Explosives Strategy REC = “B” Price(Actual) > 1 AvgVol > 100,000 9 week EPS Delta > 25% 9 week GRT Delta > 25% Conservative Sort --- VST/Actual Price Descending, Aggressive sort --- CI * RS Ascending. When trading My Explosives as the chief strategy when BSR < 1with High Tide, use the conservative sort. When using it with the three long method use the aggressive sort. High Tide Here’s a strategy that is used for extension rallies but is not as profitable (most of the time) as Snow Caps or Bull Fever. It uses AvgVol > 100,000 and is good for larger accounts. High Tide Strategy GRT > 20 AvgVol > 100,000 Price >= 1 Price <= 5 Exch = A,N,O,xA,xN,xO EPS > 0 Volume > AvgVol CI < 1 Sort VST*RT Descending GRT > 20 is based upon the strategy, Hidden Gems, found in the Prudent Strategies folder in VV. EPS > 0 gives it a flavor of quality stocks. And AvgVol > 100,000 picks stocks with higher liquidity. Other good VV strategies are Angel’s Wings andSMTML. Rocky Balboa Here’s a strategy that focuses on great stocks and useful for extension rallies. Rocky Balboa Price Actual > 1 Price Actual < 10 GRT > 0 Sales GRT > 0 Avg Vol > 100,000 EY > 2 EPS 9 week delta > 25% Volume > AvgVol Sort Price (Split Adj) 13 week delta Sort Descending Shorting Strategies I gave up on shorting until I found that the best time to short stocks is when Mercury goes short and the BSR is < 1.00 or BSR < 1.00 within a week of a short signal. It’s no fun getting caught short in a dead heat bull run. My Oddfellows Short Price(Actual) >= 5 Price(Actual) <= 10 REC <> B AvgVol > 1,000,000 Sector <> Drug Price (split adjusted) delta 2 weeks < 0 Mkt Cap > 100 Price/Sales delta 10 weeks < 0 Exchange <> I,T,TE,xI RT < 1 Sort VST*EY/RT Ascending Price between 5 and 10 selects lower priced stocks. AvgVol > 1,000,000 selects stocks with better liquidity. Eliminating the drug sector avoids pitfalls of sudden success. Price/Sales delta finds stocks that sales are decreasing slower than the price suggests. My Contrarian Price >= 5 AvgVol > 200,000 EPS < 0 Sector <> Drugs Price to Sales > .15 Price to Sales 10 week delta < 0.00% Price 10 day delta < 0.00% Sort EY Ascending Nano Caps There was a contest started for the year 2004 which was buy and hold for a year. One contestant picked low priced stocks below $1 that had great earnings. This puzzled me because I wrote a strategy (called by VectorVest, “Garbage Time”) in the year 2000 which won a contest that VectorVest held. On review, I looked at Garbage Time and the first 3 stocks picked almost mirrored stocks in Garbage Time. So I modified GT to pick stocks so it could be used in a portfolio. A backtest over 7 years revealed a gain of over 62,000%. Buying on the first day of the month and holding for a year and rotate through succeeding years, this strategy is not for the faint of heart. However it should prove profitable. No stops are used. Nano Caps Strategy Buy the top 5 at the beginning of the month and sell 1 year (or more) hence. Here are the parameters for Nano Caps: RV > 1 REC <> B Shares < 10 Price to Sales < .5 Price(Actual) > .05 Price(Actual) < 1 AvgVol < 50,000 AvgVol >= 2000 Sort Value/Price Descending I tried Nano Caps real time in 2004-2005 by buying the top 5 picks of the past 9 months (first Friday) on the last trading day of 2004 and folded in the next 3 months when the first Friday occurred. I held these until March of 2006 and sold for an 80% profit. Not bad for a first try. Stockcharts.com Here are some indicators I use in Stockcharts.com. They have a feature called “Sharpcharts” where you can display indicators for free. The ones I like are: $NAHL – look for this to be over 0 for bullish or below 0 for bearish readings. One can also look for divergences at tops and bottoms $NAMO – also look for this to be over 0 for bullish or below 0 for bearish readings. One can also look for divergences at tops and bottoms $NASI – look for crossovers of the 12 day ema to suggest bearish or bullish readings. $NAA50 – look for crossovers of the 12 day ema to suggest bearish or bullish readings. VectorVest Indicators There are a few things I look at in VectorVest to keep me abreast of the market. First, I click on Graphs – Stocks and type in VVC. I look at the volume to see if it is rising or falling on higher or lower volume. Next, I check the Market Timing Graph under Graphs. I look at the BSR to check for divergences and if the BSR is above 1 or below 1. I check Watchlists to see if any of my buy-and-replace strategies have any stock with the VST under 1.00. Under Research I check to see if High Volume Longs’ 5th stock has its sort valuation greater or equal to 6.00. It may be useful to find out which candidate strategy may be used. I read the Views to check what Dr. D is saying about his timing and stock selection. I may check the portfolio manager to see how the model portfolio is doing. Money Management Combination of Three Long Strategies My thinking for switching between the strategies is to find value stocks when the market has gotten crushed and find growth stocks when the market is in an extension rallies. Extension rallies are when Mercury has given a buy signal and the BSR is > 1. This has backtested nicely and results can be found in the document, “Combination of Three Long Strategies”. The High Volume Longs strategy and My Explosives strategies alternate when the HVL’s 5th sort value is >= 6.00. The idea here is that HVL stocks need sufficient current trading volume to justify buying them, and when there is not enough pulse in the market, to buy My Explosives. My Explosives is a modification of a strategy invented by VV that buys stocks that are leaping in earnings and growth rate. When going short, I remain in cash if the BSR is > 1.00. If the BSR goes below 1.00 within a week of the short call, I then enter a short strategy. The problem with going short with BSR > 1.00 is that most of the time then the market will turn right around and go into an extension rally. Using Two Long Strategies Another way to manage money is to use two long strategies only, no shorting, with My Explosives when BSR < 1 and High Tide when BSR > 1. When a strategy goes sour by 10%, dump the shares and wait for the next long signal. The results can be found in the file, “Combination of Three Long Strategies” in the second spreadsheet. Mercury Decision Table Long positions When going long with HVL, I trade 5 stocks only and buy the top 5 as best as possible. I look at the 5th stock’s sort computation (Volume/RT/AvgVol). If the value is >= 6 and the BSR is < 1.00, I buy 5 HVL stocks. This kind of market rewards beaten up low priced stocks. If the value is >= 6.00 and the BSR is > 1.00 I buy 5 High Tide. If the value of the sort computation of the 5th stock is < 6.00 and BSR < 1.00 I buy 5 My Explosive stocks. The market is likely to reward classical improving growth and earnings type of stocks. If the value of the sort computation of the 5th stock is < 6.00 and the BSR > 1.00 I buy 5 High Tide stocks. I then monitor the average gain/loss of the portfolio and if the loss is greater than 10% at the end of the day, I sell all positions at the next day open. Short positions When going short I sell short 5 Oddfellows Short stocks and set stop limits of 15% above the sell short price and do not replace. If the average loss of the stocks is greater than 10% at the end of the day I cover all shorts at the open next day. See decision chart for shorting. Long Decision Table HVL Sort < 6.00 HVL Sort > 6.00 BSR < 1 Use My Explosives Use High Volume Longs BSR > 1 High Tide High Tide Shorting Decision Table BSR never goes below 1 on or after short signal BSR goes below 1 within a week after short signal Cash Use My Oddfellows Short or your own short strategy Et Cetera An Approach to Investing When people are challenged to find places to invest, the ensuing study mounts on how to determine what to invest in that fits a person’s style and make enough to satisfy their desire. There’s lots of hype on exotic systems and people get fooled into thinking that there is a holy grail waiting apart from the main stream investments. VectorVest is a great tool that, like any system, can fail from time to time. Nothing works all the time in the stock market and a few steps back is normal. However, there are things that work enough to make investing worth it. The problem with brokers is that the frenzy of a bull market may make them so confident that they will get people into the market at what may be a top. Identifying tops is key to any market timing model. The news is so good at tops and greed so rampant that there’s lots of publicity and people get suckered into buying things that have run up too far. Warren Buffett commented on the internet stocks in 1999 about how they have no earnings and wondered who was buying them. Eventually, internet stocks got shuffled around and the paring out of them took hold during and after the bear market. I interviewed a broker one day at a major firm to see what was working. He told me that he was going to quit because he couldn’t pick stocks. When the natural gas stocks got deregulated, he got his clients in and made big bucks. When the airlines got deregulated, the same thing happened. But over the long haul, making decisions on a day by day basis, he couldn’t do it. Bully for him! Realizing one needs to step away is the first step to better investing. However, during the market top in 2000, the public was so swayed by firms saying that there were going to be no more bear markets that it was damned the torpedos. The false confidence of tops gives rise to market timing and getting out when the time is right. Dr. D and his Confirmed Down on March 20, 2000 was a great call. However, the Confirmed Ups and Downs started to fail during the bear market that followed. VV’s choice of market timing systems afterwards included variations of the color guard, a 15 day moving average of the MTI, MTI crossing the 1.00 line, and other variations. Currently, Dr. D has settled upon the Primary Wave and scored nicely with a 90% gain in 2005. My difficulty with the Primary Wave is that I don’t have the luxury to make trades during the day on my computer and would rather be more relaxed in following intermediate timing models. The online usergroup’s members have made available several timing models that have been backtested successfully and need to be explored. My contribution is the Mercury timing system. One needs to know that robust market timing systems are usually no better than 55% correct. There are things that may be used to get better results, but this adage tends to hold true. When I see a website that advertises 80% or 90% accuracy, it’s usually over a short period of time and optimized to the hilt. Mercury has been backtested to 1987 and is about 54% accurate long and 40% accurate short. So what’s an investor to do? One thing is to diversify. The problem with trying to break the bank is that most people expect to get instantaneous results and go in for aggressive systems. I like the DVY index fund first, as a conservative way to invest. During the bear market, it held up nicely as it invests in dividend paying stocks. Take a look at a chart of DJDVY index over the years and you’ll see a nice chart pattern. Also, it’s an index fund, so a manager can’t screw it up. Most managed funds can’t master the market and beat even the S&P 500. Wise men that graduate with a college degree feel that with proper study, the market can be mastered and come away on top. However, look at the results. There were substantial number of funds that closed because the bear market made then look silly. Next, find a way to invest with a bear beater strategy. Buy and replace when the VST is < 1 on a stock is my cup of tea for this. Bryan’s Bear Beater invests in great classic stocks that are in favor. Other strategies like Seattle Bear Beaters has a terrific track record, but many people may not want to turn over the account so fast (once a month turnover). The problem with many strategies is that how is a person with a substantial amount of money going to invest wisely and not turn over the account so much. The period from May 2002 to October 2002 was a disaster for most funds and stocks. Nearly everything I tested got cleaned out unless you were short. Even my bear beater strategy lost a substantial amount of money in that period. However, for consistency and discipline, keeping in stride with a plan keeps one on track. The problem one faces when hit with such a disaster is to question whether one should stay with a loser or go to greener pastures. Remember, bear beaters should be part of a diversified portfolio and not the only thing. Timing the market with Mercury and trading IWM’s on long signals is another way to do well. Since Mercury is based on the Russell 2000, it lends itself to trading the IWM, which is an index based on the Russell 2000. Going long only gives one an advantage of not overtrading but also keeps one safely out of bear markets. This trading pattern over time should make about 15% or so. Not good enough? Lots of people would be happy to have this kind of track record. However, it may not be your cup of tea. Riding the wave with Mercury is the meat of my analysis. Going long or short on signals gives rise to outperforming nearly everything Wall Street has to offer. I have backtested this system since 2000 and it has merit in that the strategies are logically designed. One must realize that every now and then there will be a loss, and to come out with a 10% damage to their portfolio if it arises. No perfect system exists, and proper portfolio management is needed for any aggressive system. What happens when a strategy blows up and does damage to your portfolio? You may have to redesign your strategy or be patient when it is selected again. I think that a strategy must be backtested over 3 to 5 time periods successfully to be given attention. Bear markets usually start off slowly then pick up speed. Corrections start off with a bang and are over with quickly. As a word of warning, the correction in October 1989 was not caught fast enough by Mercury to avoid the damage. A sell signal was given after the first day of selling, but I know that people would have been disappointed. Also on January 2, 2001 a sell signal was given then was followed through by a big rise the next day. I have no clue as to how to avoid the damage a portfolio could sustain during the proceeding short period, but shorting at that time would have been not so good. To maintain one’s confidence in a system requires a longer time period perspective and not shove out something that may be valuable. The problem I see with new investors to the stock market is that either they want to make a killing or have gotten so burned by the market that they are looking elsewhere for advice. For the first part, yes, I feel that riding the wave is a way to do very well in the stock market, but requires the attention to track it day by day that many investors may shun. New investors initially want to put their cash into a stock and wake up millions of dollars richer so many years later. Sorry, but the market doesn’t work that way. Attention to the market is needed and one must keep up to date. For the second part, I have seen investors so scared of bear markets that getting burned by one takes them out of the market for good. One friend of mine got so torn apart by the 1987 crash that he got Prectorized and stayed out of the market for 10 years. Another friend of mine got so riddled by the 2000 to 2002 bear market that any whiff of a decline requires selling and slam the door on what may be a slight decline and a substantial rise afterwards. The desire for a successful plan may be missing from people’s agenda, but it is needed for anyone engaging in what is probably the most misunderstood subject in the world, the stock market. Bryan Johnson Disclaimer: All investments are risky and are not proven to be disaster prone. Also, I am not a millionaire. Check out these supporting files: Collection of Mercury Trades Combination of three long strategies Comparison of various short strategies Constructing Strategies BSR with Mercury Also Ran’s Here are some strategies that were worked on for a while. The ideas behind them are very similar to what was posted in the body of the file. Bryan’s Bloomers Price Actual >= 1 Price Actual <= 2 Volume > 500,000 Exchange = O, xN,xO Sort Price Actual / RT descending This was the predecessor to High Volume Longs. The problem I saw with it was the sort, as it is nothing more than using higher priced stocks that have been crushed the most. Logically, the sort has something to be desired, but it served its purpose for a while. Snow Caps 1 Price > 1 RT > 1.5 AvgVol > 10,000 Market Cap > 10 Stock Price to Sales (P/S) 10 week delta > 25% Sort Price/Value Descending This was the original Snow Caps. The main problem with this is the average volume so small. Unfortunately when you increase the average volume, performance goes way down. Also the sort Price/Value descending indicates they are hype stocks, stocks that have a story but are going gangbusters with little to go for it. Having gotten burned in early 2006, this strategy has merit and was part of the original portfolio. My Tigers VST >= 1.3 Price Actual < 20 Price Actual > 1 AvgVol > 10,000 Market Cap > 10 RS < 1 EPS 5 week delta > 25% Sort VST * EY Descending I never actually used this strategy, but to point out things, average volume has to be above 10,000 to be any good. However, the sort gets high quality stocks. The time periods that select My Tigers are usually very short and need “in favor” stocks. “My Tigers” as replaced by Bull Fever. Snow Caps 2 Strategy Price(Actual) > 1 AvgVol > 100,000 Price to Sales delta 10 weeks > 25% REC <> S GRT > 0 Sales GRT > 0 Exchange = xA,xN,xO Sort VST*RT/Actual Price Descending The idea behind Snow Caps is that extension rallies tend to favor stocks that have risen fast and are in the blow off faze. However, it is prudent to select stocks with better earnings and growth. Price to sales delta finds stocks where price is outpacing sales. Snow Caps 2 strategy was trashed because VV fixed the Exchanges and options problem and the strategy never lived up to its backtest after that. Bull Fever Strategy Price >= 1 Price <= 3 Exch = xO AvgVol >= 100,000 Sort RT Descending This is a very simple strategy for buying stocks in uptrends. The parameter Exch = xO gives this a flavor of stocks that have fallen that may be on the uptrend again. I like the AvgVol parameter > 100,000 so that plenty of shares are available. Bull Fever was trashed because VV fixed the Exchange and options problem and BF did not live up to its past backtest. Development of Mercury I bought an optimizing tool to develop Mercury, and it took a while to get the results. I started out in 2003 and hit on a timer using closing price greater than the 8 day, 16 day and 35 day moving averages. It seemed to backtest ok, and I presented it at the Pittsburgh and Akron user groups, but I put it to a live test in late 2003 on the hg board. Well, the market started to flipflop badly and the 35 day moving average couldn’t keep up with the market and that was the end of that. Next, I developed another timer using a moving average and a fast CCI. This too, gave good backtest results, but after awhile I saw that it gave too many trades. At the end of 2003, I live tested it with the 3 moving average timer and it came out on top. In 2004, I saw that Dr. D was favoring the Primary Wave, and I thought that maybe this would help out in my timing model. Also noting that Martin Pring in one of his books detailed a system KST which favored 3 rate of changes (ROC), I thought that adding a 5 day ROC may help out and by golly it did. I added another ROC to the previous timing model and came up with Venus, as described in this document. Venus held well until I encountered a whipsaw in May 2005. I was trading futures at the time and lost $7K in the whipsaw and made $10K in the ensuing rally. This is nuts, I figured, to lose most of my profit in a crazy whipsaw. So one morning I was thinking about Venus and decided that the CCI was not doing its job. Also, I noticed that the trailing dates with the ROC sometimes give outlier types of performance, by not signaling correctly. So I thought why not do a moving average of the trailing dates and run a ROC on that. So is born Mercury. Mercury was developed in June 2005, and has held up nicely since. When backtested, the whipsaw in May 2005 was reduced by one day each way, which made a big difference. There were less trades than Venus and better results. Its accuracy long is nearly 54%. When shorting, I recommend taking into account the Buy Sell Ratio (BSR). When the BSR is greater than 1.00 on a short signal, go short only when the BSR has dipped below 1.00 within a week. This will catch most profitable moves. Otherwise, when the BSR is below 1.00 and Mercury gives a short signal, it’s all right to short immediately. Incredibly, the accuracy using Russell 2000 dates from March 20, 2000 is 66%, and the win to loss ratio is 2.95. Given that 1.5 and above is the threshold for good systems, this is very profitable. |
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