Saturday, June 09, 2007

Taking Advantage

Trading is about taking advantage of any edge you can find. We were given a gift this week and I hope some of you took advantage of it.

The gift was three down days in a row. And solid down days they were too. After the third day the up/down ratio sat at 17% and when it gets that low everyone knows that the market is oversold to a fault. The second thing that everyone should know is that the 401K money started coming in around Wednesday or Thursday.

So with an influx of must-use cash and an oversold market what are the odds that we have an up day on Friday? That's right - about a gazillion to one and we did - hope you didn't bet against.

I whipped together a quick filter on Thursday night in honor of the event - I called it 3 Days Up
show stocks where close is between 12 and 20
and average volume(90) > 100000
and close 2 days ago > close 3 days ago
and close 1 day ago > close 2 days ago
and close > close 1 day ago


Notice two things - first I deviated from my normal 15 - 35 and second I dropped my volume requirement by 400000. My rationale was this - I wanted to catch stocks that were swimming up stream against the current and I wanted them to be small stocks. In other words I wanted the stocks that institutions were buying for their 401K clients. This is, of course, an entirely different aspect of analysis and I won't get into it at the present but it is something I've been watching for awhile and I will write about it someday - but not now.

Anyway this filter, as simple as it is, tests very nicely - 66% win percentage, 1.91 reward/risk and 80% ROI compared to the SPX of 1.54% ROI for the same period.

It is also the kind of filter that you could use to pick day trades in an oversold market because these stocks weren't sold - they were bought.

And here are the 9 picks it made for Friday morning with a column showing how those stocks did during the day on Friday. Because of the tenuous nature of the open on Friday - just about any of these could have been bought before they made their run.


I've annotated the results to indicate how you might have rationalized a buy of the several winners and you can look up the charts yourself.

I gave IRIS a cross over but it wasn't on the 15-minute chart but rather on the 10 minute. I don't normally switch time frames myself but some people do as a matter of course.

So out of 9 picks you could have played 7 with only one loss. RDWS would have paid off because you would have been buying it below open and the result is as of Thursday's close.

Bottom line - take advantage of what the market gives you. Keep the week of the month in mind - we all know that this week and next is 401K week and the following week is options week and the market behaves pretty consistently regardless of its overall direction in accordance with those hard and fast facts.

And if you get another 3 days down in the future - don't forget 3 Days Up.

More later about cross overs.

52 comments:

Bullish Jim said...

That's a nice chunk of alpha.

I love the idea of market condition specific screens. I just haven't figured out how to backtest them in Stockfetcher. It seems like there should be an easy way, for instance, to have one of the arguments in the filter require that SPX be down X amount on the day. That way, the filter would return zero stocks if SPX weren't down that much on the day. I'm probably not explaining what I mean well but what I want to do is 1) separate out movement of a stock independent of what the market did and 2) be able to backtest filters that only work when an specific index did certain things on the day. Any suggestions?

How's the new job going?

Marlyn Trades said...

Yes - I look forward to such days - unfortunately I was only able to take advantage of a couple of them because of work. Work is going great - it took a bit to get back into the "engineer" discipline but I never really got that far away from it when I was off so it wasn't that difficult.

I queried stockfetcher regarding any suggestions they might have for an "if conditional" statement. I don't think they'll be able to come up with anything. But we'll see.

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It would be a better life if you'd hang around!

Best wishes and thanks for all of your help. I owe ya, big time.

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