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Cvtx Strong Buy
- Thread starter wiesman02
- Start date
Stock is a complete crapshoot at this level. I don't think its a buy at the current level of 10.76. Short term I see it going back to single digits. With that said, it probably shoots up since my biotech plays have sucked this year. GL with it!
I am examining the behavior of an exponential moving average mechanical trading system using historical price data of CV Therapeutics, Inc. stock symbol CVTX. Price data begins 19 November 1996 ends 14 June 2007. Position size = (3 % of equity) / (10 x 20 day average true range). This system buys when closing price is greater than the 90 day exponential moving average value and sells when closing price is less than the 90 day exponential moving average value.
The system does not show a buy signal now. I observe the most recent sell signal 26 January 2007.
Lots of different exponential moving average values show profitable results by this trading simulation. The greatest profit of the exponential moving average values that I examine appears at 90 days.
Dollar position size is about 10 % to 20 % of capital. About 80 to 90 % of capital remains as cash, available for other trades. Growth rate of about 14 % represents growth of initial $ 100000 account. Other securities can add to the overall growth rate. The greatest draw down might decrease as a result of the portfolio effect.
===
2007-01-22 OHLC:[ 14.43 14.43 14.43 14.43 ] buy 14.43 size 3841
Dollar Position Cost is 55425.63
2007-01-26 OHLC:[ 13.79 13.79 13.79 13.79 ] sell 13.79
Position Net Gain Or Loss is -2458
Subtotal profit $ 151688
Number of trades 52
Total profit $ 151688
Profit after subtracting $ 10.00 commission, slippage per transaction: $ 150648
Heat is 3.00 per cent of equity.
Greatest draw down is 0.1101 (11.01 per cent).
Cumulative Annual Growth Rate (CAGR) is 14.54 per cent.
CAGR / Drawdown is 1.32
Instantaneously Compounding Annual Growth Rate (ICAGR) is 8.87 per cent.
Annually Compounding Annual Growth Rate (ACAGR) is 9.27 per cent.
Information Ratio is 0.12
Initial capital is $ 100000
Uses 20 period average true range to calculate position size
Long trades only
Growth rates are calculated after subtracting commission & slippage.
===
A pile of money
<img src=http://www.dreamstime.com/thumb_1/10943589880y3P5V.jpg \img>
is not always valuable to me.
The system does not show a buy signal now. I observe the most recent sell signal 26 January 2007.
Lots of different exponential moving average values show profitable results by this trading simulation. The greatest profit of the exponential moving average values that I examine appears at 90 days.
Dollar position size is about 10 % to 20 % of capital. About 80 to 90 % of capital remains as cash, available for other trades. Growth rate of about 14 % represents growth of initial $ 100000 account. Other securities can add to the overall growth rate. The greatest draw down might decrease as a result of the portfolio effect.
===
2007-01-22 OHLC:[ 14.43 14.43 14.43 14.43 ] buy 14.43 size 3841
Dollar Position Cost is 55425.63
2007-01-26 OHLC:[ 13.79 13.79 13.79 13.79 ] sell 13.79
Position Net Gain Or Loss is -2458
Subtotal profit $ 151688
Number of trades 52
Total profit $ 151688
Profit after subtracting $ 10.00 commission, slippage per transaction: $ 150648
Heat is 3.00 per cent of equity.
Greatest draw down is 0.1101 (11.01 per cent).
Cumulative Annual Growth Rate (CAGR) is 14.54 per cent.
CAGR / Drawdown is 1.32
Instantaneously Compounding Annual Growth Rate (ICAGR) is 8.87 per cent.
Annually Compounding Annual Growth Rate (ACAGR) is 9.27 per cent.
Information Ratio is 0.12
Initial capital is $ 100000
Uses 20 period average true range to calculate position size
Long trades only
Growth rates are calculated after subtracting commission & slippage.
===
A pile of money
<img src=http://www.dreamstime.com/thumb_1/10943589880y3P5V.jpg \img>
is not always valuable to me.