Spydertrader's Jack Hershey Equities Journal II
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I look at my positions all the time....but I was still holding because it hadn't met any of the JH exit rules.....and actually, I thought about setting a hard target exit before I left work today (10am) because it was starting to approach the 10% target that Jack and Spyder talk about.
But I decided to NOT place the hard target (33.77) and left for work. I have a 1/2 hour commute, and by the time I got to work and checked out my position at 11am, it was approaching 35! Thus, I decided it was time to bail, but as I posted above, Ameritrade had other plans....
While doing some ATR calculations I noticed that the daily ATR(14) divided by the Close for some of the stocks we're following is quite close to the standard 5% trailing stop. Consider these values:
TIE, close 59.62, atr 2.77 ==> 4.7%
NGPS, close 31.46, atr 1.32 ==> 4.2%
NTRI, close 40.05, atr 1.76 ==> 4.4%
VDSI, close 11.73, atr 0.55 ==> 4.7%
Quote from cnms2:
It's just a coincidence.
Maybe not. Other than PETS, the higher % ATR are for energy and health care/biotech stocks:
Code:
Symbol Close Daily ATR(14) ATR % Close Industry
GES 33.64 1.11 3.30% Textile - Clothing
RTSX 35.71 1.28 3.58% Medical practitioner
RATE 33.49 1.37 4.09% Internet providers
AQNT 27.62 1.17 4.24% Internet services
JMDT 22.45 0.98 4.37% Multimedia software
LUFK 47.09 2.17 4.61% Oil&Gas equipment&services
CUTR 38.85 1.86 4.79% Medical appliances&equipment
RNOW 17.54 0.87 4.96% Application software
DPTR 16.55 0.94 5.68% Indipendendt oil&gas
PETS 12.43 0.72 5.79% Specialty retail
NGAS 10.85 0.76 7.00% Oil&Gas drilling&exploration
DCAI 13.71 0.97 7.08% Specialized health services
VPHM 18.56 1.37 7.38% BiotechnologyI compiled a list of last month intraday drops for RNOW, NGPS and NTRI. You can find the results in the attached excel spreadsheet. Although this is far from being an accurate study, it served me as a rough estimation in order to calculate my trailing stop levels and positions size.
All of the drops I found for these stocks are within 150% of the daily ATR(14). Also, the standard 5% trailing stop is very close to the daily ATR(14) as showed in my previous post.
Again, this is just an excercise I run to learn how a few stocks have been moving recently.
All of the drops I found for these stocks are within 150% of the daily ATR(14). Also, the standard 5% trailing stop is very close to the daily ATR(14) as showed in my previous post.
Again, this is just an excercise I run to learn how a few stocks have been moving recently.
This is a technique I use in my other trading. It tries to compensate various system parametres based on their relative volatility to the entire universe. For my universe of about 60 stocks, I calculate the average and then adjust each stock based on its relative volatility.
I define volatility as the true range divided by the close over the most recent 100 bars.
So for my Jack H universe, I get an overall volatility of 1.153, as of this afternoon and TIE has a vol of 1.24; therefore, I set the "2%" stop at 2.15% and reduce the dollar amount of stock purchased by 7%,
I've attached a spreadsheet that you may look at.
Note, some of the stocks in the JH Universe get extreme, for example calling for doubling the amount purchased. As a rule of thumb, I limit my adjustments to +/- 35%.
Doug
ps-like your work on the "intraday drops" it may be something to consider in setting the stop loss point especially on the first day.
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