Spydertrader's Jack Hershey Equities Journal

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Our system signaled three possible trades this morning based on pro-rata Dry Up Volume. BCSI triggered a signal based on the 25% pro-rata volume, and both FFIV and TASR triggered signals based on a 50% pro-rata volume. TASR failed to show price improvement over the previous day. While BCSI and FFIV both showed price improvement and positive MACD, The Stochastic Indicator remained at levels below our desired parameters. As a result, we take no action in respect to these three signals.

- Spydertrader
 
http://tinyurl.com/5s5dr

Smith Barney ups price targets for Juniper, F5, Lucent (FFIV, JNPR, LU, RDWR) By Tomi Kilgore

"He lifted his price target for Juniper to $36 from $32.50, for FFIV to $60 from $45 and for Lucent to $4 from $3.75."

Interstingly, price on FFIV has plummeted since the release of the above news item. Nice to see following our rules kept us out of this mess.

- Spydertrader
 
We received no additional signals today other than those mentioned in a previous post. Even after the apparent positive news on F5 Networks, FFIV continues to plummet in price - down over $2.00 from the high of the day. As we continue to monitor both BAMM and TRMM from yesterday, we see continued price improvement on both stocks. As a result, both stocks hit and / or exceeded our normal 10% target price improvement.

Again, we did not trade these two stocks (BAMM & TRMM). After developing a revised set of entry criteria, we have tracked these two stocks to determine if the revised entry criteria do indeed improve trading performance and profitability. Therefore, results for these two trades will not be included in the journal results regardless of trade outcome.

At 12:12 PM this afternoon, an order for 425,000 shares crossed the time and sales sheets for FFIV. This order for FFIV, caused the total volume for today to exceed yesterday's volume (PDV). At the time this order was placed, price was $46.51. As expected price immediately began to increase. However, no price improvement over the previous day was shown at that time. As a result we took no action. A few minutes later, some 424,000 shares were removed from the daily volume total at a price .10 higher resulting in a volume drop back below the PDV. Price also followed suit lower. Although it appears volume will exceed the PDV shortly, price does not appear to be following at this time. In addition, MACD remains negative (-.01855) and The Stochastic Indicator holds at low levels (10.6123). Since all of our criteria have not been met for entry. We take no action on this trade based on a failure to meet all our revised entry criteria.

I hope you find the above information useful.

- Spydertrader
 
Backtesting in Wealth-lab, I got the picture that timestops (anywhere from 8-15 days - depends on the securities), with a breakeven stop (with a wide trigger), are better than trailing stops.

Trailing stops (even when optimised) seem to reduce the average trade result, and profits. That is even with a 6% floor (no trailing stop until stock 6% in the black), and 60-70% tightness. A trailing stop set at an x day low, e.g. the low of the last 4 days, works better than a percentage trailing stop (logically, as it takes into account market behavior), but still worse than a straight time stop.

A big caveat is that I used 20 CANSLIM stocks (over the last two years), so they were going up anyway (i.e. had strong relative strength).

Are there any views or learnings from others on this topic?

Thanks
 
Quote from nzbryant:

Are there any views or learnings from others on this topic?
More...

Jack uses a method for stops he calls his "stop offset method." I have attached a copy of a document explaining Jack's Methods for your review.

- Spydertrader
 

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Thanks!

That's a good document - rational system, and clearly explained

Did Jack write this, or propose the concept and someone else summarised it? I thought I had read most of Jack's stuff but missed this. Thanks
 
Quote from nzbryant:


That's a good document - rational system, and clearly explained.
Did Jack write this, or propose the concept and someone else summarised it? I thought I had read most of Jack's stuff but missed this. Thanks
More...

I believe DKM wrote this document after listeing to Jack's teachings. If I recall correctly, others had proposed using Average True Range (plus a multiple of standard deviation) for stop offsets as well.

- Spydertrader
 
Sevens - Ones - Zeros
CMTL - EAGL - MRVL
PPD - UNA - DRIV
TRMM - UTHR - SINA
ASPM - KSWS - ALDN
CCRT - CTSH - HUM
URBN - MTEX - PHS
PHS - JUPM - CREE
---- - DECK - KFRC
---- - MRVL
---- - DPTR

Hotlist

TRMM
ALDN
JUPM
SINA
DECK

Watch List

IDSA - DU Cycle
ESMC - DU Cycle
LWAY - DU Cycle
GMAI - DU Cycle
HRT - DU Cycle
SWIR - DU Cycle
EVCI - DU Cycle - DU5 - DU10
ENWV - DU Cycle
GDP - DU Cycle
VSEC - DU Cycle
NVEC - DU Cycle - DU5
ANIK - DU Cycle

SRVZ Wealth Lab Equations - Dry Up

ENWV
GMAI
MKTW

G33M4K Score for the above Stocks

ENWV - 4
GMAI - 6
MKTW - 1

Gallas2 "Keep an Eye on These" Stocks

LIFC (Attached)

Dry Up Stocks with G33M4K Master List Score of Zero

ESMC
GDP
SWIR

(VSEC, IDSA, HRT, LWAY, NVEC & NGPS have float outside normal parameters)

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=643480>
 

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Hello Spydertrader. I've been following this journal with great interest the past couple of months and appreciate the time and effort you are putting into this. Great work!

I have some questions regarding your dry up volume calculations. In a previous post you described the DU 5 calculation as the "lowest volume averaged 5 days before breakouts averaged over number of breakouts".

For each breakout on a given chart, are you counting back 5 days from the beginning of the breakout and averaging each of the volumes in that 5 day period together, and then averaging those over the number of breakouts? Or are you just grabbing the lowest volume of each 5 day period and averaging that over the number of breakouts?

The reason I’m asking is because I have modified the wealth lab script you provided to calculate these (DU5,10 & 20) using the first method described above and am getting some extremely high numbers compared to what is arrived at by the original calculation you provided in the script (as well as dkm’s 30% of 65day avg volume). I think somehow I’m not quite doing this correctly, any thoughts?

Thanks for your help and keep up the good work.
 
Quote from johnc99:


For each breakout on a given chart, are you counting back 5 days from the beginning of the breakout and averaging each of the volumes in that 5 day period together, and then averaging those over the number of breakouts? Or are you just grabbing the lowest volume of each 5 day period and averaging that over the number of breakouts?
More...

The Wealth- Lab Chart Script located at the following URL:

http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=32994

First looks to grab the peak volume associated with each upward run in price. Once peak volume has been determined (and corresponding high price bar for a particular cycle), the Chart Script counts backwards seeking the lowest volume bar within the specified period. The Chart Script then averages these low volume bars to return an average DU Volume.

The best way to automate the additional equations used to calculate Dry Up Volume, is to look at Jack's original tc2000 equations (posted earlier in the Journal) and translate those into Wealth Lab Chart Script Code. SRVZ has done extensive work on this very subject and has posted his results earlier in the journal as well.

While my version of Jack's Chart Script has produced results over the past year, it does have its limitations. I am by no means a Wealth Lab Expert and look forward to any improvements you might develop.

Thanks for following the thread.

- Spydertrader
 
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