Hi All,
This is a new journal that modifies my system explained in:
http://www.elitetrader.com/vb/showthread.php?s=&threadid=15478&perpage=6&pagenumber=1
TrendFader pointed out a few things about the nature of the
low volume stocks being picked, and made a couple suggestions.
This journal will follow the same format, except for the
following changes:
1. Candidate stocks must have 50,000 avg daily volume
2. Candidate stocks must have a price over $1
I'm also going to be changing to a shorter list...10 longs and
10 shorts. See the above link for the gory details, but for
a quick recap:
**** RECAP ****
Each afternoon between 3:30 and 3:35 (EST), I will post a list in this
format:
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
VPHM.
These are the stocks that will be paper-traded...the above 10 LONG
stocks and 10 SHORT stocks comprise that day's "Paperport" (Paper
Portfolio).
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).
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:
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 ALL is the average of the LONG and SHORT profits: 0.5 * (4.63% -
2.14%).
zorak
This is a new journal that modifies my system explained in:
http://www.elitetrader.com/vb/showthread.php?s=&threadid=15478&perpage=6&pagenumber=1
TrendFader pointed out a few things about the nature of the
low volume stocks being picked, and made a couple suggestions.
This journal will follow the same format, except for the
following changes:
1. Candidate stocks must have 50,000 avg daily volume
2. Candidate stocks must have a price over $1
I'm also going to be changing to a shorter list...10 longs and
10 shorts. See the above link for the gory details, but for
a quick recap:
**** RECAP ****
Each afternoon between 3:30 and 3:35 (EST), I will post a list in this
format:
Code:
Rank LONG Last SHORT Last
1 VPHM 1.86 MICC 8.26
2 PRKR 5.30 CGO 1.07
3 AMSC 3.37 CGA 1.32
4 MCTR 1.66 GRA 1.86
5 CNH 7.28 GLFD 4.25
6 TPTH 3.92 NNDS 11.90
7 ONTC 2.11 TRID 4.15
8 ITXC 1.26 QUIK 1.19
9 TTEC 5.29 VVUS 4.85
10 CNET 2.38 ELP 2.75The 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
VPHM.
These are the stocks that will be paper-traded...the above 10 LONG
stocks and 10 SHORT stocks comprise that day's "Paperport" (Paper
Portfolio).
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).
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:
Code:
LONG SHORT ALL
Today 4.63% -2.14% 1.25%
Total 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 ALL is the average of the LONG and SHORT profits: 0.5 * (4.63% -
2.14%).
zorak