Spydertrader's Jack Hershey Equities Journal

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2005-05-23, Monday - Lists

Hershey Wealth-Lab Chartscript Culling Methodology
Hershey Chartscript Scans / Qcharts Culling / Stocktables.com Sort

Hot List

DCAI ELOS FORD JUPM MCRI MFLX PARL USG

Dry Up Stocks

BCSI DCAI EXM EZPW MCRI SIGM SNDA UBET

Hot List Stocks Scores

DCAI - 4
ELOS - 3
FORD - 4
JUPM - 0
MCRI - 5
MFLX - 5
PARL - 6
USG - 7

Dry Up Stocks Scores

BCSI - 0
DCAI - 4
EXM - 2
EZPW - 1
MCRI - 5
SIGM - 0
SNDA - 0
UBET - 5

Keep an Eye on These Stocks

EXM (Attached)

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=753645>
 

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Quote from Capablanca:

That said did the simple scoring system outperform buy and hold?
More...

I am not interested in the answer to that question. Beating buy and hold is not a goal I am looking to achieve.

... yes, you are right, the script can only be used for backtesting and not for signalling!


Spydertrader wrote:

One might run a similar test that looked at what happens when a bar with a score of zero is followed by a bar with a score of seven. I suspect Odelys would find those results even more interesting.
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YES SIR! Feel free to improve the script. It's easy to change it to "buy at 7 if there is a 0 before the 7". I will try some more things on this issue...

BTW a friend of mine tested if the other figures (not the 7) are expected to be more successful on the upside... interesting results. The '7' seems to be definitely not the best figure to buy at.

CU
Odelys
 
Well, Spydertrader, I tested your suggestion, which slightly improves the figures, but not dramatically...

To repeat it once more: This is NOT the JH method, but, as Spydertrader correctly said, nothing more than the answer to the question: "What happens if I only looked at score?".

This time, it means "buy at 7 if we had a 0 the bar before" and "sell at 4".

chart_score_2.png


pnl_score_2.png


The code:
 

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2005-05-25, Monday - Update

This morning I monitored one list of stocks (8 total equities): Those equities from our daily Hot List and from our Final Universe List finding themselves "In Dry Up."

Dry Up Stocks

BCSI DCAI EXM EZPW MCRI SIGM SNDA UBET

Our system generated five possible trade signals from the list of eight Dry Up Stocks when actual volume exceeded calculated "Low Band" Dry Up Volume prior to 11:30 AM.

Dry Up Stocks Triggering Signal

DCAI MCRI SIGM SNDA UBET

Dry Up Stocks NOT Triggering Signal

BCSI EXM EZPW

Of the five signals generated, two of the equities failed to show price improvement (DCAI & UBET) at time of signal generation, and as a result, we eliminated DCAI & UBET from further consideration.

MCRI did show price improvement and MACD fell above desired parameters. However, DCAI showed a Stochastic Indicator below desired parameters at time of signal generation. As a result, we eliminated MCRI from further consideration.

SIGM showed price improvement. In addition, both MACD and Stochastics fell within desired parameters. The particulars for both SIGM and SNDA are as follows:

SIGM

Time: 10:01 AM
Price: $8.05
MACD: +.0405
Stoch: 100.00
Score: 0
FRV: 384,933 shares

As a result, I entered into a long position with respect to SIGM purchasing 2000 shares @ $8.08 USD.

05/23/05 10:02:10 8.08 8.05 8.08 2000


Also, SNDA showed price improvement at time of signal generation (10:30 AM) and met all criteria at time of signal generation.

Time: 10:30 AM
Price: $33.39
MACD: +.1711
Stoch: 100.00
Score: 0
FRV: 1,061,410 shares

As a result, I entered into a long position with respect to SNDA purchasing 500 shares @ $33.40 USD.

05/23/05 10:33:26 33.40 33.31 33.42 500


We place our Targets and Stops as follows:

SIGM

Purchase Price: $8.08
Target Price: $8.89
Initial Stop: $7.67

SNDA

Purchase Price: $33.40
Target Price: $36.73
Initial Stop: $31.73

- Spydertrader
 
2005-05-23, Monday - SNDA & SIGM Update

Actual volume for SNDA failed to exceed FRV levels by EOD (in fact it never really came close). As a result, I sold all shares of SNDA at $33.42 USD for a wash.

05/23/05 15:20:39 33.42 33.42 33.45 500

However, actual volume for SIGM did exceed calculated FRV levels by EOD. As a result, I plan to hold all shares of SIGM overnight.

- Spydertrader
 
2005-05-24, Tuesday - Lists

Hershey Wealth-Lab Chartscript Culling Methodology
Hershey Chartscript Scans / Qcharts Culling / Stocktables.com Sort

Hot List

DCAI ELOS FORD JUPM MCRI PARL USG

Dry Up Stocks

BCSI DCAI EXM EZPW MCRI TASR

Hot List Stocks Scores

DCAI - 4
ELOS - 3
FORD - 4
JUPM - 0
MCRI - 5
PARL - 0
USG - 7

Dry Up Stocks Scores

BCSI - 7
DCAI - 4
EXM - 0
EZPW - 2
MCRI - 5
TASR - 0

Keep an Eye on These Stocks

EXM (Attached)

<img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=754292>
 

Attachments

2005-05-24, Tuesday - Update

This morning I monitored one list of stocks (6 total equities): Those equities from our daily Hot List and from our Final Universe List finding themselves "In Dry Up."

Dry Up Stocks

BCSI DCAI EXM EZPW MCRI TASR

Our system generated two possible trade signals from the list of six Dry Up Stocks when actual volume exceeded calculated "Low Band" Dry Up Volume prior to 11:30 AM.

Dry Up Stocks Triggering Signal

DCAI TASR

Dry Up Stocks NOT Triggering Signal

BCSI EXM EZPW MCRI

Of the two signals generated, one of the equities failed to show price improvement (DCAI) at time of signal generation (10:09 AM), and as a result, we eliminated DCAI from further consideration.

TASR showed price improvement. In addition, both MACD and Stochastics fell within desired parameters. The particulars for TASR were as follows:

SIGM

Time: 10:00 AM
Price: $11.44
MACD: +.0533
Stoch: 88.8126
Score: 0
FRV: 9,043,385 shares

As a result, I should have entered into a long position with respect to TASR. Unfortunately, as I entered in the buy order, I noticed the parameters for TASR changing. I watched as The Stochastic Indicator fell well below desired levels bringing price lower with it. As a result, I decided to override the system and sit out the trade. Obviously, this was not the correct decision. For those of you that did take the trade, good trading.

I continue to hold 2000 shares of SIGM looking to exit by EOD.

- Spydertrader
 
Spyder,

My apologies if this has already been talked about, I'm only up to page 150 or so of the thread, trying to play catch up.

I believe there is a very simple solution to calculating DU that do one has spoke of yet. And it would allow for a range instead of an absolute amount.

The solution is this: for the period of time considered in the WL script, calculate the mean and standard deviation. I'm guessing a range roughly between 2 1/2 and 3 standard deviations will do the trick, without all the myriad calc's you're currently doing. This solution is statistically valid so long as the range of volume data is distributed approximately normal, which is the case most of the time.
 
Quote from bundlemaker:

The solution is this: for the period of time considered in the WL script, calculate the mean and standard deviation. I'm guessing a range roughly between 2 1/2 and 3 standard deviations will do the trick, without all the myriad calc's you're currently doing. This solution is statistically valid so long as the range of volume data is distributed approximately normal, which is the case most of the time.
More...

As you progress further along in the Journal, you will find we currently use the method you describe above for Dry Up Volume Range calculation. We use three standard deviations from the mean for the high and low range. So far, this method has continued to provide profitable results.

- Spydertrader
 
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