Re: A TRADABLE CONCEPT?
 

I am using www.stockfetcher.com

The data is only EOD and is $16.95 per month (I got the advanced subscription). You can test 2 year periods over from 2002-2007.

I have been pouring over the data and the most effective trading system produced sell signals on my shorts a few days later than my original entry date and would have saved me a ton of pain!

I am using just a 5 day holding period with no exit strategy currently (to be worked on). So far my data:

Longs: 58% winning rate (average return 0.90% over 5 days not including transaction costs)

Shorts: 51% success rate (average return 0.19% over 5 days) NOTE for clarification: Stock price averages a -0.19% dip over next 5 days.

For the shorts there is only about 20% of the sell signals my longs produce and it is a very small edge, although it is in a bull market).

My short technical analysis had to be extreme #'s to get any edge, had to go more overbought than I did on oversold on the long side.

FYI- I am using RSI(2), RSI(5),MA(50), MA(200), and 5 and 10 day high (or low), and a $5 stock price and 30,000 avg. volume in my analysis to far.

Interesting thread, the combination of this and a good pummeling in November, especially the final week in November, is making me really do some much needed work and self reflection after 3 very easy months! I thought I was the next Warren Buffet [img]/images/graemlins/tongue.gif[/img]

Re: A TRADABLE CONCEPT?
 

Here are the instruments generated by the screen described, as of Friday's closing prices:

NOV PTR PKX PCU LFC

Re: A TRADABLE CONCEPT?
 

Sorry for the somewhat sloppy nature of my post, I see we are both commodity plays although different ones. How does your screen backtest?

For my relative strength #'s, I am using below 2 for my long, the higher the # the less profitable, but still good #'s.

Currently the long screen is really quiet with only a few commodity plays: USO, CFC, OIL

Close reached a new 5 Day Low
and Close above MA(50)
and Close above MA(200)
and RSI(2) below 2
and Close above 10
and average volume(30) is above 25000

---------------------------------------------------

For shorts I have alot more, the most I think I have ever seen going back a few years! The last 9 times (as far as I went back) that there have been 5 or more that met the criteria, 8 times the S&P was down 4 days at an average of 0.74%

CRH
GVA
HIX
HUBG
IMKTA
MINI
MQY
MUS
NAD
NIF
NPT
EAD
JPC
JPS
BMTI
NZF
FHY
HYT
HPS
FHI
FRB
BAC-W
KEY-E

Re: A TRADABLE CONCEPT?
 

Here is the Scottrade chart for OIL (a long):

http://img517.imageshack.us/img517/3141/stockas0.png

Re: A TRADABLE CONCEPT?
 

[ QUOTE ]
Currently the long screen is really quiet with only a few commodity plays: USO, CFC, OIL

[/ QUOTE ]

Sorry, I have Countrywide on my mind for some reason. CFC is not a long The three are:

USO: US OIL FUND ETF
GSG: Ishr S&P Gsti Cm
OIL: iPath S&P GSCI Crude Oil Tot Ret Idx ETN

Re: A TRADABLE CONCEPT?
 

[ QUOTE ]
I am using www.stockfetcher.com

The data is only EOD and is $16.95 per month (I got the advanced subscription). You can test 2 year periods over from 2002-2007.

[/ QUOTE ]

Looks like a useful tool. You might also want to try www.prorealtime.com it's a free charting/screener/backtesting platform with EOD data. I've been using this mostly to try some backtesting ideas, but I haven't worked out how to program in proper exits and money management yet. Also, my regular platform is LSE only. I'll have a look at stockfetcher.com too.


[ QUOTE ]
Longs: 58% winning rate (average return 0.90% over 5 days not including transaction costs)

Shorts: 51% success rate (average return 0.19% over 5 days) NOTE for clarification: Stock price averages a -0.19% dip over next 5 days.

[/ QUOTE ]

I wouldn't spend too much time worrying about success rate. This stat is only really useful when calculating the EV of your system. After all, no winning poker player wins more hands than they lose, yet can be +EV. Obviously a system with a higher success rate might be psychologically easier to trade - a very important point.

I think your main job should be to try to make low risk, high reward trades and worry less about your success rate. Being right about a trade is very different from trading right, imo.