The Power Dip has been keeping me long in this market, and boy is that refreshing, to be on the right side of things for a bit.
On the open, the Power Dip will sell CARBO Ceramics Inc. [[CRR]] , Entertainment Properties Trust [[EPR]] , and Actuate Corporation [[ACTU]] .
There were no dips to replace these with, so the model portfolio will hold five positions by Friday’s close. A lack of dips means that the environment is near overbought, and a pullback may be due.
Comments »I have been having many problems with my main backtesting software, AmiBroker, and the data it uses. This past week has found me every evening uninstalling, installing, defragging drives, doing disk checks, so on and so forth… I thought I had the problem fixed yesterday, and then I find out that now my database is only going back to 1993 (should be 1985). So when I try to fix that issue, it seems that all the initial problems I had fixed, are back.
To be clear, I do not think this is an AmiBroker problem as I hear it is very very stable software. I also do not think it is my data provider’s problem. I think that it is probably the interface between the backtester and the data and my computer.
I have lots of things I want to test, and I can’t wait to get started on my Indicators and Edges series, but I have to get this problem straightened out first, so that I can trust the results. Hopefully by the end of this weekend everything will be up and running and ready to go.
Comments »On the open the system will be selling [[SBS]] and replacing it with a purchase of FMC Corporation [[FMC]] .
That is all for now.
Comments »The recent weakness has resulted in two trades stopping out: Terremark Worldwide, Inc. [[TMRK]] last Friday and Smith & Wesson Holding Corporation Smith & Wesson Holding Corporation [[SWHC]] on Monday. The Hershey Company [[HSY]] was closed out Monday for a small loss. Kirby Corporation [[KEX]] was added on Monday’s open.
There are two trades to be closed on Tuesday’s open: [[PLX]] and Annaly Capital Management, Inc. [[NLY]] .
This will leave the model portfolio with only three open positions. This is a beautiful thing (hopefully) as there are a plethora of new Power Dips to buy on Tuesday’s open, and they are as follows:
China Nepstar Chain Drugstore Ltd. [[NPD]] , Entertainment Properties Trust [[EPR]] , Saks Incorporated [[SKS]] , Cohen & Steers Quality Income Realty Inc [[RQI]] , and Actuate Corporation [[ACTU]] .
The model portfolio will be full after these purchases.
Comments »This post will serve as the introduction for a series of posts which will likely span several weeks or more. When I’m finished, I hope that the series will serve as a reference of sorts for the newbie/rookie trader who seeks the aid of indicators when making trading decisions.
When I started trading, luckily I did not buy into the indicator craze, as I am somewhat sceptical by nature. However, there may be many traders out there who want to use the standard indicators, and hopefully, late at night, they are wondering, “Do they work as described?” I will attempt to answer this question, and will do my best to answer any more questions that are generated from the testing results.
The most important thing to realize is that the professionals have already run these tests, and they may or may not be taking the other side or your trades.
Of course, in the vein of Michael Stokes’s post, this information has likely been covered in various books, such as this one. However, there is a great deal that I stand to gain from running these tests myself, mainly from familiarizing myself with the intracies of the indicators as well as the experience that will come from coding the backtests. So yeah, there is something in it for me, too. I do hope though that this format, being interactive, can be more beneficial than a chapter in a book.
In this series I will test indicators several different ways.
First, we will look at what happens the day after an indicator gives a buy/sell signal. For example, what happens when the MACD crosses and gives a buy signal? Is there any edge the next day? Finding an indicator with a large short term edge can be a gold mine. Imagine an indicator that provides an average trade of 0.5% over the next day and has five opportunities per day. The point is, if an indicator provides a large edge and enough opportunities over a very short time frame, that is where money should be placed (assuming you have a short-term time horizon).
Secondly, we will examine the edge provided by an indicator looking out over X days. For example, when a MACD cross occurs, what is the average profit per trade 20 days later?
Finally, we will look at indicator settings that have given the best results over the last fifteen years or so. I think what we will find is that the settings currently being used are likely not even close to being optimal. Maybe not. We’ll see…
As mentioned in the introduction, this will not be a series that can be finished quickly. Each indicator will probably need three or so posts to flesh out the results as described above. I plan to get started this week. The first indicator to be examined is the very popular Moving Average Convergence/Divergence, otherwise known as MACD.
Be on the lookout for this upcoming post: Indicators and Edges: MACD.
Comments »I apologize for the late update. My interwebs have been on the blink since Sunday evening.
On the open, the Power Dip sold The Hershey Company [[HSY]] and added Kirby Corporation [[KEX]] .
That is all for now.
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First let me apologize for my dearth of posts concerning anything other than the Power Dip. I am in the process of trying to find new employment and have spent most evenings readying important things like resumes and letters of reference. I should have most of my employment file up-to-date and will be able to concentrate on completing interesting studies for the readers of this blog to evaluate.
The Power Dip does not have any sells for Friday’s open, but it will add one position, making the model portfolio full with eight positions.
The model portfolio will add GSI Commerce, Inc. [[GSIC]] on the open. Beware the company just completed a secondary, but the system certainly doesn’t know that, and therefore the trade will be made.
Regarding CRR, NLY, and SBS, which were purchased on Thursday, in my own account I received significant positive slippage on these (+.24 on CRR alone). However, to keep this spreadsheet as accurate and realistic as possible, I did not put my actual fill price but instead used the nationally listed open.
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