Hi All,
***** HISTORY / OVERVIEW *****
I'm starting a journal that will track one portion of a stock picking
program I have, which I find myself unable to trade well enough to
generate the kind of return that papertrading gets.
The program follows thousands of stocks and ranks them by how well it
thinks they'll do. For the past few years I've been using just the
higher trading volume stocks and have been able to match papertrading
results at a somewhat acceptable level, given my actual trading ability.
What I would like to do is be able to trade the lower volume stocks,
because the papertrading results from them has been outstanding...for
2003, paper results are averaging close to 1% per position per day (not
including commissions).
My plan is to post the low volume picks generated by the program, as
well as a skeletal system for trading them that I've been using in my
trading of higher volume stocks. This will be a swing-trading
system...positions will be held for an average of two days and
occasionally a week or longer.
***** GOAL OF THIS JOURNAL *****
My hope is that the papertrading results will be an incentive for others
to come up with ways to successfully trade them. Many of you are
probably quite skilled at trading in general, certainly more so than
myself...it is, I think, possible that someone who knows what s/he is
doing can match papertrading results.
***** JOURNAL FORM / DESCRIPTION *****
Each afternoon between 3:30 and 3:35 (EST), I will post a list in this
format:
--------------------------------------------------------------------------
Rank : LONG :::: Last ::::: SHORT ::: Last
1 ::::: RCOT :::: 0.34 ::::: CGA ::::: 1.30
2 ::::: POSO :::: 0.09 ::::: VDAT :::: 0.15
3 ::::: DZTK :::: 1.90 ::::: TUTR :::: 4.90
4 ::::: GSIC :::: 1.64 ::::: VTIV :::: 2.06
5 ::::: CRO ::::: 0.17 ::::: CNQR :::: 4.85
6 ::::: MTZ ::::: 1.42 ::::: SBAC :::: 0.77
7 ::::: IMCO :::: 2.48 ::::: LMNX :::: 5.30
8 ::::: PCOM :::: 0.10 ::::: EXEL :::: 6.60
9 ::::: ADAT :::: 2.51 ::::: INSG :::: 0.27
10 :::: SMDK :::: 0.30 :::: CNH ::::: 1.50
11 :::: PDII :::: 8.29 :::: INTV :::: 1.73
12 :::: ASPX :::: 0.09 :::: ADEX :::: 6.90
13 :::: PRCM :::: 0.22 :::: GRA ::::: 2.31
14 :::: PCSA :::: 0.18 :::: FORR ::: 14.35
15 :::: FSII :::: 2.55 :::: ASTSF :::: 3.39
16 :::: VION :::: 0.31 :::: NABI :::: 6.40
17 :::: UAXS :::: 0.13 :::: NPRO :::: 0.63
18 :::: SUPG :::: 2.50 :::: ANAD :::: 2.46
19 :::: TMWD :::: 1.28 :::: TWTC :::: 3.53
20 :::: ADTK :::: 0.25 :::: EMBT :::: 5.90
--------------------------------------------------------------------------
The columns "LONG" and "SHORT" give the program's stock picks. The
"Last" columns show the last price the stock traded at. They are ranked
in order, so the long candidate the program thinks will do the best is
RCOT.
These are the stocks that will be paper-traded...the above 20 LONG
stocks and 20 SHORT stocks comprise that day's "Paperport" (Paper
Portfolio).
***** PAPERPORT STRATEGY AND RETURN *****
So, at the end of day1, the return of the paperport will be figured
using these prices, as compared to the end-of-day prices (using 4:20 EST
Yahoo quotes). Using the above list, if DZTK closed at 1.93, the return
for the day, for that stock, would be +1.58%. Paperport return for the
day will be the average of all the individual returns. The paperport's
entry "strategy" will then be to simply buy equal $-amounts of each
LONG, and short equal $-amounts of each SHORT.
At the end of day2, the return of the paperport will be figured by using
the closing prices for the positions on the new list (which is now the
paperport's holdings), as well as those positions that were held on day1
which don't appear on day2's list (the positions that paperport
'closed'). Each successive day will follow this procedure. Thus, the
paperport's exit "strategy" will be to exit any position which it holds
that does not appear on the new day's list.
At some point after market close each day, I'll then post that day's
paperport return, and the overall return from the first day (today,
which will start at 0%). The format of this report will be:
------------------------------
::::::::::LONG:::::SHORT:::::NET
Today:::4.63%:::-2.14%:::::1.25%
Overall:::::::::::::::::::::::::18.52%
------------------------------
In this example, the average gain in price of today's LONGs was 4.63%,
and the average gain in price of today's SHORTs was 2.14%. But your
profit on a short position is the negative of its gain in price, which
is why the table reports an average SHORT profit of -2.14%. Finally,
the NET is the average of the LONG and SHORT profits: 0.5 * (4.63% -
2.14%).
***** REAL-$ TRADING *****
A person trading real-$ on this system would try to follow the same
procedure the paperport does. The initial goal is to hold exactly those
positions on the afternoon list. So on the first day a trader is in
action, s/he would try to enter all positions, LONG and SHORT.
The next day there would be another afternoon list. The trader would
try to exit any position s/he is holding that does not appear on the new
list, and enter any positions on the list that s/he doesn't hold.
***** NOTES *****
Low share-price stocks can be cheaply traded on brokerages that charge
a fixed commission per order (such as Ameritrade).
I'm aware that some of the stocks on the SHORT list are not shortable
on some brokerages. Some days the list will have mostly sub-$3
stocks...other days most will be over $5. I'm also aware that
shorting a $.13 stock probably isn't something most people are willing
to do...but if you are inclined, IB will allow the shorting of any
stock, regardless of price, that isn't on their non-shortable list
(http://www.interactivebrokers.com/cgi-pub/upc11830_stocks.pl).
A person trading real-$ might not have the option of replicating the
paperport by holding all 20...but that person would have some other
advantages over paperport. For example, paperport must hold the
15th-20th best shorts...there is no reason a real-$ trader has to hold
these (less desirable) positions. In my high-volume trading, I only
enter a position if it is in the top10, where the best stocks reside.
Another advantage would be execution...GSIC will be entered long by
paperport at a price of $1.64. Perhaps a skilled trader could get a
better price, or at the very least only choose to enter positions that
are trading at a better price than listed in paperport.
I think thats it...the first list will come out today.
zorak
***** HISTORY / OVERVIEW *****
I'm starting a journal that will track one portion of a stock picking
program I have, which I find myself unable to trade well enough to
generate the kind of return that papertrading gets.
The program follows thousands of stocks and ranks them by how well it
thinks they'll do. For the past few years I've been using just the
higher trading volume stocks and have been able to match papertrading
results at a somewhat acceptable level, given my actual trading ability.
What I would like to do is be able to trade the lower volume stocks,
because the papertrading results from them has been outstanding...for
2003, paper results are averaging close to 1% per position per day (not
including commissions).
My plan is to post the low volume picks generated by the program, as
well as a skeletal system for trading them that I've been using in my
trading of higher volume stocks. This will be a swing-trading
system...positions will be held for an average of two days and
occasionally a week or longer.
***** GOAL OF THIS JOURNAL *****
My hope is that the papertrading results will be an incentive for others
to come up with ways to successfully trade them. Many of you are
probably quite skilled at trading in general, certainly more so than
myself...it is, I think, possible that someone who knows what s/he is
doing can match papertrading results.
***** JOURNAL FORM / DESCRIPTION *****
Each afternoon between 3:30 and 3:35 (EST), I will post a list in this
format:
--------------------------------------------------------------------------
Rank : LONG :::: Last ::::: SHORT ::: Last
1 ::::: RCOT :::: 0.34 ::::: CGA ::::: 1.30
2 ::::: POSO :::: 0.09 ::::: VDAT :::: 0.15
3 ::::: DZTK :::: 1.90 ::::: TUTR :::: 4.90
4 ::::: GSIC :::: 1.64 ::::: VTIV :::: 2.06
5 ::::: CRO ::::: 0.17 ::::: CNQR :::: 4.85
6 ::::: MTZ ::::: 1.42 ::::: SBAC :::: 0.77
7 ::::: IMCO :::: 2.48 ::::: LMNX :::: 5.30
8 ::::: PCOM :::: 0.10 ::::: EXEL :::: 6.60
9 ::::: ADAT :::: 2.51 ::::: INSG :::: 0.27
10 :::: SMDK :::: 0.30 :::: CNH ::::: 1.50
11 :::: PDII :::: 8.29 :::: INTV :::: 1.73
12 :::: ASPX :::: 0.09 :::: ADEX :::: 6.90
13 :::: PRCM :::: 0.22 :::: GRA ::::: 2.31
14 :::: PCSA :::: 0.18 :::: FORR ::: 14.35
15 :::: FSII :::: 2.55 :::: ASTSF :::: 3.39
16 :::: VION :::: 0.31 :::: NABI :::: 6.40
17 :::: UAXS :::: 0.13 :::: NPRO :::: 0.63
18 :::: SUPG :::: 2.50 :::: ANAD :::: 2.46
19 :::: TMWD :::: 1.28 :::: TWTC :::: 3.53
20 :::: ADTK :::: 0.25 :::: EMBT :::: 5.90
--------------------------------------------------------------------------
The columns "LONG" and "SHORT" give the program's stock picks. The
"Last" columns show the last price the stock traded at. They are ranked
in order, so the long candidate the program thinks will do the best is
RCOT.
These are the stocks that will be paper-traded...the above 20 LONG
stocks and 20 SHORT stocks comprise that day's "Paperport" (Paper
Portfolio).
***** PAPERPORT STRATEGY AND RETURN *****
So, at the end of day1, the return of the paperport will be figured
using these prices, as compared to the end-of-day prices (using 4:20 EST
Yahoo quotes). Using the above list, if DZTK closed at 1.93, the return
for the day, for that stock, would be +1.58%. Paperport return for the
day will be the average of all the individual returns. The paperport's
entry "strategy" will then be to simply buy equal $-amounts of each
LONG, and short equal $-amounts of each SHORT.
At the end of day2, the return of the paperport will be figured by using
the closing prices for the positions on the new list (which is now the
paperport's holdings), as well as those positions that were held on day1
which don't appear on day2's list (the positions that paperport
'closed'). Each successive day will follow this procedure. Thus, the
paperport's exit "strategy" will be to exit any position which it holds
that does not appear on the new day's list.
At some point after market close each day, I'll then post that day's
paperport return, and the overall return from the first day (today,
which will start at 0%). The format of this report will be:
------------------------------
::::::::::LONG:::::SHORT:::::NET
Today:::4.63%:::-2.14%:::::1.25%
Overall:::::::::::::::::::::::::18.52%
------------------------------
In this example, the average gain in price of today's LONGs was 4.63%,
and the average gain in price of today's SHORTs was 2.14%. But your
profit on a short position is the negative of its gain in price, which
is why the table reports an average SHORT profit of -2.14%. Finally,
the NET is the average of the LONG and SHORT profits: 0.5 * (4.63% -
2.14%).
***** REAL-$ TRADING *****
A person trading real-$ on this system would try to follow the same
procedure the paperport does. The initial goal is to hold exactly those
positions on the afternoon list. So on the first day a trader is in
action, s/he would try to enter all positions, LONG and SHORT.
The next day there would be another afternoon list. The trader would
try to exit any position s/he is holding that does not appear on the new
list, and enter any positions on the list that s/he doesn't hold.
***** NOTES *****
Low share-price stocks can be cheaply traded on brokerages that charge
a fixed commission per order (such as Ameritrade).
I'm aware that some of the stocks on the SHORT list are not shortable
on some brokerages. Some days the list will have mostly sub-$3
stocks...other days most will be over $5. I'm also aware that
shorting a $.13 stock probably isn't something most people are willing
to do...but if you are inclined, IB will allow the shorting of any
stock, regardless of price, that isn't on their non-shortable list
(http://www.interactivebrokers.com/cgi-pub/upc11830_stocks.pl).
A person trading real-$ might not have the option of replicating the
paperport by holding all 20...but that person would have some other
advantages over paperport. For example, paperport must hold the
15th-20th best shorts...there is no reason a real-$ trader has to hold
these (less desirable) positions. In my high-volume trading, I only
enter a position if it is in the top10, where the best stocks reside.
Another advantage would be execution...GSIC will be entered long by
paperport at a price of $1.64. Perhaps a skilled trader could get a
better price, or at the very least only choose to enter positions that
are trading at a better price than listed in paperport.
I think thats it...the first list will come out today.
zorak
