 The account that is tracked by Covestor is traded through the Tradestation platform and brokerage. There have been several times over the last few months when I wanted to locate shares to short, but Scottrade couldn’t find any. In order to take the trades, I had to use my Tradestation account, as they had no problem getting me shares.
As I’m really starting to like this new short-selling strategy, and I’ve already traded it 3 times in my Covestor account, I’ve decided to use the Covestor account from now on to track the strategy. To be clear, the Power Double Dip ETF strategy has been the main strategy traded in the account, but it will now be joined by the new short-selling system.
Here are some recent statistics for the new system. These results cover 12-12-2006 to 12-12-2008.
| Trade Statistics |
| There were 190 total stocks entered. Of those, 189 or 99.47% were complete and 1 or 0.53% were open. |
| Of the 189 completed trades, 126 trades or 66.67%resulted in a net gain. |
| Your average net change for completed trades was: 2.83%. |
| The average draw down of your approach was: -3.96%. |
| The average max profit of your approach was: 6.97% |
| The Reward/Risk ratio for this approach is: 2.56 |
| Annualized Return on Investment (ROI): 194.46%, the ROI of ^SPX was: -18.50%. |
| Exit Statistics |
| Stop Loss was triggered 31 times or 16.40% of the time. |
| Stop Profit was triggered 0 times or 0.00% of the time. |
| Trailing Stop Loss was triggered 0 times or 0.00% of the time. |
| You held for the maximum period of time (5 days) 80 times or 42.33% of the time. |
| An exit trigger was executed 78 times or 41.27% of the time. |
As the above stats show, the system has been a big winner over the past 2 years. Performance during 2002-2006 has also been respectable.
The system has a very short time horizon, as evident by the maximum hold time of 5 days. The system seeks stocks who have been big winners, but have rolled over. It will then sell these stocks short on strength within the context of a larger downtrend.
The statistics above were generated by an 8% stop. The system can never hold more than 8 shorts at one time and will not enter more than 2 positions in one day.
2 Recent System Trades
The blue arrows indicate the day the signal was generated. The trades executed on the opening of the next day.
I will not often mention these trades before execution because I am continually concerned about introducing slippage. However, I believe that if someone is tracking me on Covestor that it will let him know when I’ve made a trade.
As always, the entry and exit for this system is generated 100% through technical analysis.
seriously woody, where do i learn to develop systems that are that good. Specifically, what books have helped you the most?
B-rad, you could start with something like Encyclopedia of Trading Strategies, which incidentally is all over the net as a .pdf
Any book that explains how to backtest and how to evaluate systems using common metrics would be a good start.
Really, start with what you like, in terms of ideas/setups, and what you think works. How do you like to trade? What setups do you like? From there, you might want to start with something like Stockfetcher, which is easier to code, and will allow rudimentary backtesting.
I think the most important thing is to learn how to write code that gives a rough quantification of the concept. From there, a lot of work needs to be done on exit strategies, and finally, position-sizing. Most of that will require code to backtest.
Without the ability to code it, one never really knows how good any idea, setup, etc. can be.
Fuckin awesome, you should do the tim sykes thing where he text messages and emails after trades are placed. All the more folks to keep you from being stopped out.
Just found this site. How do i track you on COVESTOR.? please send link or instructions on following your path with this covestor strategy.
thanks
Aumana, nah, that seems like a lot of trouble.
Ken, in the right sidebar of this blog, is a Covestor widget. Click on the widget and it will take you to my page. From there, I’m not sure how you track me. Probably just click on Track, or something like that.
3 year strength above x% followed by 3 wk weakness below -X%, followed by bollinger band break?
or followed by 1 wk strength, or followed by touching 50 day moving average?
What’s the qualifications, and what software do you use to scan for stuff like this?
Someone, you have the right idea. If I were to include Bollinger Bands, I would initiate the trade on a touch of the upper band. I would likely be a buyer at the lower band.
I’m not going to give up the exact qualifications.
I use Stockfetcher to scan for the initial entry. That is also where the statistics pasted above came from.
Hello, I am curious about how you like TradeStation? Maybe you can do a post reviewing it? If not, what fees and services do you pay for through it? I am contemplating switching over to TS. My other alternative is scottrade elite.
Sia, I’ll try and work up a post, or maybe just put up a long comment this evening after work.
It sounds like a good strategy. Is the Reward/ Risk metric the same as a profit factor which is ( total $ won / total $ loss)? Thanks for sharing
Ripe, I am fairly certain that Risk/reward is calculated the same as profit factor.