Everybody's Got a System ....
For anyone out there who is a daytrader (not me, I have a hard enough time being a swing trader :toung:) here is a system that Woodshedder has posted on his blog. He's been posting pieces of it here and there as he ran his tests. The system is fairly straightforward and his test showed a huge return. But I am not advocating in any way that people try this. I just thought it was an interesting post.
I won't list the particulars of the system here, but if you're curious you can look through Woodshedder's blog for the posts where he is testing out Lazy Man's system.
Lazy Man’s ES System: Optimized In Sample Report
April 27, 2009 – 10:44 pm
Clicking on the Tradestation Performance Summary will enlarge it.
As I have determined that the RSI exits and Stops and Targets seem to perform the best, I optimized those variables using exhaustive optimization. The results of the system run with the optimizations is above.
The system generates roughly four trades a day with the average trade earning around $35.00. The largest weekly drawdown during the time tested was -2.22%.
Although the annual rate of return is huge at 340.57% and the system doubled its starting equity in 50 days time, I’m still not sure how robust it will be going forward.
For the final post, I will run the system (as it is currently optimized) on out-of-sample data, from 2/16/09 to 4/28/09. We will then find out if the system might be over-optimized. We will also get a sense of how robust Lazy Man’s system, with my modifications, might be going forward.
Summary of Parameters
Dates Tested: 12/1/08-2/13/09
Starting Equity: $10,000
Contracts Per Trade: 1
Commissions Included: Yes, $2.50 per trade
Exits: RSI Long Exit, 85; RSI Short Exit, 10
Profit Target: $700.00
Stop: $300
http://www.ibankcoin.com/woodshedderblog/
Lady
Re: Everybody's Got a System ....
http://www.zacks.com/commentary/1114...rice+Target%3F+
A little something I found this morning-a method for setting a stock price target, not Point and Figure chart, more based on fundamentals. I'm going to evaluate my whopping 2 stocks tonight based on this system, see where they sit. Another system I read awhile back suggested selling when P/E hits 22 from below. Neither of my 2 stocks have hit that target yet. On this new system, I'm thinking it might work for BP which hasn't undergone any radical changes in fundamentals lately I don't think, but it may not work so well for ATN which cancelled its dividend last month based on upcoming merger with another company this month. Will let folks know what conclusions I come to on my 2 holdings based on this Zack's system.
Re: Everybody's Got a System ....
Market Rewind has a very interesting market rotation system in the blog post. Here is part of it. If it is interesting to you, here is the rest of the post:
http://marketrewind.blogspot.com/
Dynamic Weekly Ranks
The mechanical system assumes equity is reinvested once a week (Friday afternoons -- though given the length of holds, I imagine the following Monday should be just fine) in the highest ranked security according to a simple relative strength formula (see orange colored cell). I was somewhat limited by how far I could go with this in Google Docs, so I settled on a simple stop-less model evaluating six select ETFs representing major asset classes featuring varying degrees of inherent risk, as follows:
- SPY - Large Capitalization U.S. Equities
- IWM - Broad Capitalization U.S. Equities
- EEM - Emerging Market Equities
- AGG - Aggregate Bond Index
- DBC - Commodity Basket Index
- UUP - US Dollar Index
[Automatically Updates Each Weekend]
Lady
