Spydertrader's Jack Hershey Equities Journal
- Thread starter Spydertrader
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2005-03-22, Tuesday - Update
I apologize for my tardiness in reviewing this morning's trade signals, but the delay was unavoidable.
Our system generated its first signal at 9:36 AM this morning when actual volume on FORD exceeded the 50% pro-rata level for Calculated Dry Up Volume. We had price improvement ($10.48 USD at time of signal generation), and both MACD (+.0008) and The Stochastic Indicator (97.6648) fell within desired parameters. Unfortunately, price on FORD gapped up significantly at the open (10%). As I have stated many times before, I added the 'gap rule' to my iteration of Jack's Methods as my past experience had shown me the need to exercise caution with stocks that gap open by 5% or 10%. Because of the large gap open in price, I did not take any action with regards to FORD. However, I have no doubt many of you did take the FORD trade today, and I congratulate you on your efforts. Volume on FORD also greatly exceeded both FRV and PEAK Volume levels by EOD.
Our second signal of the day triggered at 10:26 AM when actual volume on DCAI exceeded the 50% pro-rata level for calculated Dry Up Volume. In this case, we did not have price improvement ($20.08 at time of signal generation). In addition, both MACD (-.0387) and The Stochastic Indicator (49.2844) fell outside our desired parameters. As a result, I took no action with respect to DCAI (either long or short).
For those who may have considered shorting DCAI, you should keep several factors in mind. Although actual volume for DCAI exceeded 50% pro-rata volume before 10:30 AM, it barely did so - coming in just under the wire. In addition, The Stochastic Indicator didn't show a clear trend in one direction or another (neither above 80 nor below 20) at time of signal generation. Combined, these items didn't provide enough information to allow for us to correctly anticipate the direction of price at the time of signal generation. Lastly, volume for DCAI did not reach FRV levels by EOD.
I hope you find the above information useful.
- Spydertrader
I apologize for my tardiness in reviewing this morning's trade signals, but the delay was unavoidable.
Our system generated its first signal at 9:36 AM this morning when actual volume on FORD exceeded the 50% pro-rata level for Calculated Dry Up Volume. We had price improvement ($10.48 USD at time of signal generation), and both MACD (+.0008) and The Stochastic Indicator (97.6648) fell within desired parameters. Unfortunately, price on FORD gapped up significantly at the open (10%). As I have stated many times before, I added the 'gap rule' to my iteration of Jack's Methods as my past experience had shown me the need to exercise caution with stocks that gap open by 5% or 10%. Because of the large gap open in price, I did not take any action with regards to FORD. However, I have no doubt many of you did take the FORD trade today, and I congratulate you on your efforts. Volume on FORD also greatly exceeded both FRV and PEAK Volume levels by EOD.
Our second signal of the day triggered at 10:26 AM when actual volume on DCAI exceeded the 50% pro-rata level for calculated Dry Up Volume. In this case, we did not have price improvement ($20.08 at time of signal generation). In addition, both MACD (-.0387) and The Stochastic Indicator (49.2844) fell outside our desired parameters. As a result, I took no action with respect to DCAI (either long or short).
For those who may have considered shorting DCAI, you should keep several factors in mind. Although actual volume for DCAI exceeded 50% pro-rata volume before 10:30 AM, it barely did so - coming in just under the wire. In addition, The Stochastic Indicator didn't show a clear trend in one direction or another (neither above 80 nor below 20) at time of signal generation. Combined, these items didn't provide enough information to allow for us to correctly anticipate the direction of price at the time of signal generation. Lastly, volume for DCAI did not reach FRV levels by EOD.
I hope you find the above information useful.
- Spydertrader
Yesterday I put up a post about trying to adapt the code to Amibroker and nt replied w/ some starting code.
This thread has a nice flow to it regarding the strategy, and results, with a modest amount of code info. My thinking is that we can either take this offline or start a new thread (which is what I'm thinking about doing) rather than bog this thread down w/ amibroker code.
Do any of the primary contributors to this thread have a preference / opinion?
Mike L.
nt - I will get to spend more time looking at the code later this week and/or weekend; very hectic week.
This thread has a nice flow to it regarding the strategy, and results, with a modest amount of code info. My thinking is that we can either take this offline or start a new thread (which is what I'm thinking about doing) rather than bog this thread down w/ amibroker code.
Do any of the primary contributors to this thread have a preference / opinion?
Mike L.
nt - I will get to spend more time looking at the code later this week and/or weekend; very hectic week.
Your contributions and discussions regarding Amibroker code fall well within the parameters of this thread. Many times in earlier posts to the Journal, several individuals shared their efforts. Often, these discussions took on a temporary life of their own. Nwbprop's trendlines, G33M4K's excel sheets, Gallas2's market scans, SRVZ's equations (and numerous contributions from others) all developed conversations around their use and function, and each fit perfectly into the overall discussion. What began as a method for me to pay back Jack Hershey for the effort he made sharing his methods, has transformed into a "collaborative iterative refinement" process where the group as a whole benefits from the efforts shared. While the decision of where to continue your Amibroker code discussion remains solely yours, please, do not feel in any way you have hindered the progress or flow of this discussion by continuing to post here. Your contributions are greatly appreciated.
- Spydertrader
2005-03-23, Wednesday - Lists
I used RS Setting of 90 and EPS Setting of 80 for the following lists
Stocktables.com
Sevens - Ones - Zeros
DWSN - PGIC - MT
FTO - MACR - LCAV
FORD - MUSA - ANSS
CTT - MHR - PARL
VPI - ISRG - XXIA
CMC - AAPL - HUM
TWI - BEBE - MCRI
ANTP - MIPS - AKS
MTLM - MDRX - VTIV
CDIS - FLSH - HP
Wealth-Lab Chartscript/Manual
Hotlist
ANTP
FORD
CTT
XXIA
MIPS
MCRI <--- Float 'close' enough
PARL
Wealth-Lab Data/Yahoo Data
Watch List
TASR - DU Cycle - DU5
FRD - DU Cycle
MFLX - DU Cycle - DU5
MIPS - DU Cycle
SIGM - DU Cycle
LCBM - DU Cycle
TOPT - DU Cycle
JUPM - DU Cycle
SPTN - DU Cycle
SNDA - DU Cycle - DU5
FFIV - DU Cycle
ULBI - DU Cycle
Wealth-Lab Developer Data & Equations/G33M4K Equations
SRVZ Wealth Lab Equations - Dry Up (with G33M4K Score)
SYNA - 7
Eyeball
Gallas2 "Keep an Eye on These" Stocks
LCBM (Attached)
Yahoo Data/G33M4K Equations
Dry Up Stocks with G33M4K Master List Score of Zero
MFLX
JUPM
ULBI
Wealth-Lab DU Volume Range - Hershey V2.0.1 / QCharts Data
Dry Up Stocks and G33M4K Master List Score
COGT - 0
JUPM - 0
TASR - 6
Stocktables Sort/Qcharts/G33M4K Equations/
Test Culling Method with Score Hotlist
ELOS 0
MFLX 0
PGIC 0
PMTI 0
KEYW 1
DCAI 2
GDP 2
MIPS 2
SGTL 2
TOPT 2
PARL 3
EZPW 5
FORD 7
XXIA 7
CCT fell from the Final Universe List due to insufficient Average Daily Volume. ANTP failed to make the Final Universe List due to insufficient float.
The following Stocks have been ADDED to the Final Universe List as of 2005-03-18: PARL, MCRI & XXIA.
<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=711624>
I used RS Setting of 90 and EPS Setting of 80 for the following lists
Stocktables.com
Sevens - Ones - Zeros
DWSN - PGIC - MT
FTO - MACR - LCAV
FORD - MUSA - ANSS
CTT - MHR - PARL
VPI - ISRG - XXIA
CMC - AAPL - HUM
TWI - BEBE - MCRI
ANTP - MIPS - AKS
MTLM - MDRX - VTIV
CDIS - FLSH - HP
Wealth-Lab Chartscript/Manual
Hotlist
ANTP
FORD
CTT
XXIA
MIPS
MCRI <--- Float 'close' enough
PARL
Wealth-Lab Data/Yahoo Data
Watch List
TASR - DU Cycle - DU5
FRD - DU Cycle
MFLX - DU Cycle - DU5
MIPS - DU Cycle
SIGM - DU Cycle
LCBM - DU Cycle
TOPT - DU Cycle
JUPM - DU Cycle
SPTN - DU Cycle
SNDA - DU Cycle - DU5
FFIV - DU Cycle
ULBI - DU Cycle
Wealth-Lab Developer Data & Equations/G33M4K Equations
SRVZ Wealth Lab Equations - Dry Up (with G33M4K Score)
SYNA - 7
Eyeball
Gallas2 "Keep an Eye on These" Stocks
LCBM (Attached)
Yahoo Data/G33M4K Equations
Dry Up Stocks with G33M4K Master List Score of Zero
MFLX
JUPM
ULBI
Wealth-Lab DU Volume Range - Hershey V2.0.1 / QCharts Data
Dry Up Stocks and G33M4K Master List Score
COGT - 0
JUPM - 0
TASR - 6
Stocktables Sort/Qcharts/G33M4K Equations/
Test Culling Method with Score Hotlist
ELOS 0
MFLX 0
PGIC 0
PMTI 0
KEYW 1
DCAI 2
GDP 2
MIPS 2
SGTL 2
TOPT 2
PARL 3
EZPW 5
FORD 7
XXIA 7
CCT fell from the Final Universe List due to insufficient Average Daily Volume. ANTP failed to make the Final Universe List due to insufficient float.
The following Stocks have been ADDED to the Final Universe List as of 2005-03-18: PARL, MCRI & XXIA.
<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=711624>
Spydertrader,
thank you very much for sharing your knowledge and experience with us, and for all the effort associated with that generous endeavor.
In the case of FORD, the gap-up happened within the boundaries of the BB and thus IMHO should not be a reason to leave the trade out. Nevertheless, caution is still advised in these cases, but tighter stops could probably help here.
Just my 2 cents. I hope it helps.
Best regards, truffles
thank you very much for sharing your knowledge and experience with us, and for all the effort associated with that generous endeavor.
With respect to the "missed" FORD-Trade, an observation came to my mind that I made throughout my trading career: The probabilty of large gap-ups being shorted down is much less, if the gap happens within the boundaries of the Bollinger Band. So I would like to inspire you to check if your negative experience with gap-ups confirms my observation.
In the case of FORD, the gap-up happened within the boundaries of the BB and thus IMHO should not be a reason to leave the trade out. Nevertheless, caution is still advised in these cases, but tighter stops could probably help here.
Just my 2 cents. I hope it helps.
Best regards, truffles
Thank-you for your input regarding gap open stocks and Bollinger Bands. You present an interesting observation, and I plan to incorporate your suggestion into my future trades. I have already altered Quotetracker to monitor accordingly. Do / Did you use special settings for the Bollinger Bands or did the Default Parameters (10,2 in QT) provide the best accuracy?
Again, Thank-you for sharing your experience.
- Spydertrader
I made that observation looking at daily charts from BigCharts, using their standard 20 day BB. I do not know if other parameter sets lead to better results.
If you follow this link, you will see the daily chart of FORD with BB. The large opening gap out of the BBs in December was indeed shorted down, but you can find an opening gap on Feb 7 within the BB that was shorted down as well. In fact the opening was below the high of the day before and therefore not a gap in the strict sense I use it.
Before you incorporate that observation in your trading you should better test on paper if it works for you. I did not carry out systematic tests on that. It is rather a discretionary observation.
The so-called rubberband effect associated with Bollinger bands or other volatility related bands is worth looking at quite closely. If the price leaves the BB too far, its is very probable that a short tradeable counter movement starts. Some quite successful "band violation" systems on the Wealth-Lab site make use of that.
With respect to the Jack Hershey method you could use that to exit your trade if a severe band violation occurs.
-- truffles
If you follow this link, you will see the daily chart of FORD with BB. The large opening gap out of the BBs in December was indeed shorted down, but you can find an opening gap on Feb 7 within the BB that was shorted down as well. In fact the opening was below the high of the day before and therefore not a gap in the strict sense I use it.
Before you incorporate that observation in your trading you should better test on paper if it works for you. I did not carry out systematic tests on that. It is rather a discretionary observation.
The so-called rubberband effect associated with Bollinger bands or other volatility related bands is worth looking at quite closely. If the price leaves the BB too far, its is very probable that a short tradeable counter movement starts. Some quite successful "band violation" systems on the Wealth-Lab site make use of that.
With respect to the Jack Hershey method you could use that to exit your trade if a severe band violation occurs.
-- truffles
Thanks again for sharing your experience. I plan to have a look at this in greater detail as time permits.
- Spydertrader
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