A Mechanical Swing Trading System

T

tradermaji

After a long hiatus (4 years) from playing with stock market, primarily due to Hurricane Katrina and a few other personal reasons, I decided to get back. For now, only paper trading till I feel comfortable. Before the hiatus, I had started playing with mechanical systems and had developed a few but never got to really test them out. Now, I pulled one out and which still seems to be profitable after 4 years.

This journal is for me to record the daily signals. The system is a dip buyer (thus long only... dohhh) and trades the very liquid stocks of NDX100 with at least a 40 day SMA of Volume of 4 Million. The maximum number of days it will stay in a trade is 4 days. It needs a $1 Mil. to trade and that is one reason why I am sticking to paper trading!

The following signals are generated:
1. No Action
2. Buy at a Limit Price
3. If long then:
a. Stop Price
b. Profit Target
4. Time Out.

I am also posting the back testing results for the last 4 years. The reason is to see how the system works in the future... ie. the next few months. The back testing assumed a slippage of 0.05% (a couple of points usually) and a commission of $10 per trade, each way.

Thank you for joining the paper ride.
 
Long Buy& Hold
Starting Capital $1,000,000.00 $1,000,000.00
Ending Capital $1,500,419.46 $1,035,420.85
Net Profit $500,419.46 $35,420.85
Net Profit % 50.04% 3.54%
Annualized Gain % 10.72% 0.88%
Exposure 26.21% 99.94%

Number of Trades 1,202 28
Avg Profit/Loss $416.32 $1,265.03
Avg Profit/Loss % 0.71% 3.42%
Avg Bars Held 4.56 1,002.00

Winning Trades 1,035 9
Winning % 86.11% 32.14%
Gross Profit $1,665,510.96 $231,599.35
Avg Profit $1,609.19 $25,733.26
Avg Profit % 2.73% 71.85%
Avg Bars Held 3.56 1,002.00
Max Consecutive 56 N/A

Losing Trades 167 19
Losing % 13.89% 67.86%
Gross Loss ($1,165,091.51) ($196,178.50)
Avg Loss ($6,976.60) ($10,325.18)
Avg Loss % -11.81% -28.99%
Avg Bars Held 10.71 1,002.00
Max Consecutive 6 N/A

Max Drawdown ($143,801.75) ($1,013,600.06)
Max Drawdown % -11.33% -63.02%
Max Drawdown Date 10/7/2008 11/20/2008

Profit Factor 1.43 1.18
Recovery Factor 3.48 0.03
Payoff Ratio 0.23 2.48
Sharpe Ratio 1.6 0.18
Pessimistic Rate of Return 1.29 0.64
Equity Drop Ratio 0.13 6.1


Trying to edit and format for better reading.
 
Here are the signals for Tomorrow (9/8/2009). I will try to update the results at least once a week if not more frequently.

Symbol Date ChartScript Order Shares Type Price Signal Name
AAPL 9/2/2009 %H&L-Aggressive Buy 300 Limit 163.44 Limit Entry
ALTR 9/2/2009 %H&L-Aggressive Buy 2700 Limit 18.39 Limit Entry
AMAT 9/2/2009 %H&L-Aggressive Buy 4000 Limit 12.65 Limit Entry
ATVI 9/2/2009 %H&L-Aggressive Buy 4500 Limit 11.14 Limit Entry
BRCM 9/2/2009 %H&L-Aggressive Buy 1900 Limit 26.85 Limit Entry
CA 9/2/2009 %H&L-Aggressive Buy 2500 Limit 19.78 Limit Entry
CMCSA 9/2/2009 %H&L-Aggressive Buy 3500 Limit 14.36 Limit Entry
CSCO 9/2/2009 %H&L-Aggressive Buy 2400 Limit 20.94 Limit Entry
DELL 9/2/2009 %H&L-Aggressive Buy 3500 Limit 14.08 Limit Entry
DISH 9/2/2009 %H&L-Aggressive Buy 3200 Limit 15.57 Limit Entry
EBAY 9/2/2009 %H&L-Aggressive Buy 2400 Limit 20.86 Limit Entry
FLEX 9/2/2009 %H&L-Aggressive Buy 9200 Limit 5.46 Limit Entry
INTC 9/2/2009 %H&L-Aggressive Buy 2700 Limit 18.38 Limit Entry
MRVL 9/2/2009 %H&L-Aggressive Buy 3700 Limit 13.59 Limit Entry
MSFT 9/2/2009 %H&L-Aggressive Buy 2100 Limit 23.38 Limit Entry
NTAP 9/2/2009 %H&L-Aggressive Buy 2400 Limit 21.08 Limit Entry
NVDA 9/2/2009 %H&L-Aggressive Buy 3900 Limit 12.93 Limit Entry
NWSA 9/2/2009 %H&L-Aggressive Buy 4900 Limit 10.15 Limit Entry
ORCL 9/2/2009 %H&L-Aggressive Buy 2300 Limit 21.53 Limit Entry
QCOM 9/2/2009 %H&L-Aggressive Buy 1100 Limit 44.40 Limit Entry
RIMM 9/2/2009 %H&L-Aggressive Buy 700 Limit 71.52 Limit Entry
SBUX 9/2/2009 %H&L-Aggressive Buy 2700 Limit 18.26 Limit Entry
SPLS 9/2/2009 %H&L-Aggressive Buy 2400 Limit 20.87 Limit Entry
STLD 9/2/2009 %H&L-Aggressive Buy 3200 Limit 15.57 Limit Entry
SYMC 9/2/2009 %H&L-Aggressive Buy 3400 Limit 14.73 Limit Entry
XLNX 9/2/2009 %H&L-Aggressive Buy 2400 Limit 21.17 Limit Entry
YHOO 9/2/2009 %H&L-Aggressive Buy 3600 Limit 13.87 Limit Entry


Keeping my fingers crossed :)
 
Darn it... a very inauspicious start... and perhaps a lesson to remember. The data was stale... see the date of the signals... 9/2/09... missed it!!! Still getting used to this thing. Again, this is why paper trading is useful to avoid these costly mistakes (hopefully) in real life.
 
Symbol Date ChartScript Order Shares Type Price Signal Name
AAPL 9/8/2009 %H&L-Aggressive Buy 200 Limit 163.39 Limit Entry
ALTR 9/8/2009 %H&L-Aggressive Buy 1700 Limit 17.94 Limit Entry
AMAT 9/8/2009 %H&L-Aggressive Buy 2400 Limit 12.67 Limit Entry
ATVI 9/8/2009 %H&L-Aggressive Buy 2700 Limit 11.17 Limit Entry
BRCM 9/8/2009 %H&L-Aggressive Buy 1100 Limit 27.22 Limit Entry
CA 9/8/2009 %H&L-Aggressive Buy 1500 Limit 19.79 Limit Entry
CMCSA 9/8/2009 %H&L-Aggressive Buy 2000 Limit 14.84 Limit Entry
CSCO 9/8/2009 %H&L-Aggressive Buy 1400 Limit 20.97 Limit Entry
DELL 9/8/2009 %H&L-Aggressive Buy 2100 Limit 14.20 Limit Entry
DISH 9/8/2009 %H&L-Aggressive Buy 1900 Limit 15.51 Limit Entry
EBAY 9/8/2009 %H&L-Aggressive Buy 1400 Limit 21.00 Limit Entry
FLEX 9/8/2009 %H&L-Aggressive Buy 5400 Limit 5.52 Limit Entry
INTC 9/8/2009 %H&L-Aggressive Buy 1600 Limit 18.59 Limit Entry
MRVL 9/8/2009 %H&L-Aggressive Buy 2200 Limit 13.56 Limit Entry
MSFT 9/8/2009 %H&L-Aggressive Buy 1300 Limit 23.62 Limit Entry
NTAP 9/8/2009 %H&L-Aggressive Buy 1400 Limit 21.53 Limit Entry
NVDA 9/8/2009 %H&L-Aggressive Buy 2300 Limit 13.21 Limit Entry
NWSA 9/8/2009 %H&L-Aggressive Buy 3000 Limit 10.15 Limit Entry
ORCL 9/8/2009 %H&L-Aggressive Buy 1400 Limit 21.11 Limit Entry
QCOM 9/8/2009 %H&L-Aggressive Buy 700 Limit 43.80 Limit Entry
RIMM 9/8/2009 %H&L-Aggressive Buy 400 Limit 71.40 Limit Entry
SBUX 9/8/2009 %H&L-Aggressive Buy 1700 Limit 18.09 Limit Entry
SPLS 9/8/2009 %H&L-Aggressive Buy 1400 Limit 20.89 Limit Entry
STLD 9/8/2009 %H&L-Aggressive Buy 1900 Limit 15.58 Limit Entry
SYMC 9/8/2009 %H&L-Aggressive Buy 2000 Limit 14.73 Limit Entry
XLNX 9/8/2009 %H&L-Aggressive Buy 1500 Limit 20.62 Limit Entry
YHOO 9/8/2009 %H&L-Aggressive Buy 2200 Limit 13.87 Limit Entry
 
So for all the stocks above you have limit buy orders in place at the prices listed and you just wait for fills?
 
Quote from NoDoji:

So for all the stocks above you have limit buy orders in place at the prices listed and you just wait for fills?
More...

Yes, after they are filled (good for day order only), the stop loss and profit targets are generated. If either is not hit within the required number of days, the trade is exited. The stocks that don't get filled tomorrow, will have another set of limit buy prices generated for the next day. This is the aggressive version which is always looking to get into a trade.
 
Quote from tradermaji:

Yes, after they are filled (good for day order only), the stop loss and profit targets are generated. If either is not hit within the required number of days, the trade is exited. The stocks that don't get filled tomorrow, will have another set of limit buy prices generated for the next day. This is the aggressive version which is always looking to get into a trade.
More...

The prices you desire are several days away, it seems. Why not take the short ride to your long entry prices and catch both swings?
 
Quote from NoDoji:

The prices you desire are several days away, it seems. Why not take the short ride to your long entry prices and catch both swings?
More...

Sorry, I am not sure what you meant by several days away... these are day orders only and if they are not filled then they are canceled. I am really looking for over reaction in the market, and trying to buy the dips for a quick in and out.

The short side is difficult to work as fills are not that easy. Believe it or not, a few months ago I could not get SPY stock to short at Scottrade!
 
Quote from tradermaji:

Sorry, I am not sure what you meant by several days away... these are day orders only and if they are not filled then they are canceled.
More...

It just seems that the prices you are looking to buy will take several days of retracement to get to. As an example you want to buy AAPL @ 163.39, which is below its previous support level from 9/2. Usually it takes 2-5 days for price to swing from the one end of the spectrum back to the trend line/moving average. It's unlikely AAPL would drop from 172-173 to below previous support in a single day.
 
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