A VWAP system simulated performance

[belflan]

Paper trades tonight

shorts

SNDK - 37.54
ITU - 23.74
EBay - 32.64

longs

HOC - 45.59
MBI - 30.36
LDK - 27.01

paper trades closed at about 20:50 uk time

shorts

SNDK - 37.54 covered @ 37.18 = +36
ITU - 23.74 covered @ 23.86 = -12
EBay - 32.64 covered @ 32.49 = +15

total for shorts tonight = +39c

longs

HOC - 45.59 closed @ 46.00 = +41
MBI - 30.36 closed @ 30.43 = +7
LDK - 27.01 closed @ 26.8 = -21

total for shorts tonight = +27

total for shorts and longs tonight = +66c

 

[belflan]

Will also post results to show what would happen if tonights trades were left open overnight and closed at about 19:00 uk tomorrow night.

will keep a running total of both

 

[belflan]

Running totals (Day 2)

Total if trades are opened and closed on the same night

= +136 cents

Total if trades kepted open overnight and close following night at about 19:00

= +400 cents

No allowance has been made for commissions

Allowance has been made for spread

 

[Grey1]

If i may ask-all the higher timeframes (10,15,30...60) for Dow were indicating 'overbought' in the exhaustion engine at about 1500 hrs- Iraj, (made me avoid long positions but did not enter short positions also as the sentiment seemed so bullish) was this one of the reasons for you to decide to go for a 'short' portfolio?

Raj

The main reason for taking SHORT trades is the turn of the market cycle which has to be 10 MIN INDU getting OB and turning down ( in a very bearish day it does not have to get OB and the turn of the 10 min is good enough but you must also be prepared to stop loss fast ) ,,, This is the reason ,, how ever if your exhaustion engine tells you OB on more than one time frame then it is even better point of entry .

 

[Grey1]

Total if trades are opened and closed on the same night

= +136 cents

Total if trades kepted open overnight and close following night at about 19:00

= +400 cents

No allowance has been made for commissions

Allowance has been made for spread

Good trading belflan ,,, Donot you just feel safe when you donot have to be bothered about where market is heading ?

Grey1

 

[belflan]

Good trading belflan ,,, Donot you just feel safe when you donot have to be bothered about where market is heading ?

Grey1

yes does feel (and must be) less risky.

not sure about holding the positions overnight though (ie gaping up/down, overnight news etc)

 

[Grey1]

Grey1,
I know this may be a bit 'after the fact' now its Monday night, but based on the little I understand
1 - I would short Group 2 for the 3 day swing trade. This is based on market and sector direction. The daily charts are pointing down and the MACCI is pointing down from oversold levels. The reverse is true of Group1.

2 - do not know the reasoning behind an ATR scalp but as a guess ... Group2 as the 13week regression lines are pointing down so short the weak stocks intraday.

3 - VWAP strategy would be to short Group 1 as at that point in time the intraday chart had price above VWAP. On balance, cos it's not completely obvious to me, Group 2 would therefore be the longs.

I feel I am contradicting myself in my selection and that may be because a little knowledge is a dangerous thing and I am missing the point completeley

Thanks and regards
Jonathan

Jonathan,

Quiz 1 ) spot on quiz 1
QUIZ 2 ) this is and always has been tricky amongst system developers. The answer lies in price action .. if price on Group 2 is near LOW of the day or MACCI DAILY > 100 then you are better off shorting Group 2.. remember group 2 stocks are up by 10% but now trading near low of the day ... other wise Group 1
QUIZ 3 ) spot on quiz 3


As you can see if you are pair trading you short strong stocks preferably during the zone 3 which is after lunch . BEFLAN is testing the strategy and he is running into day 3 . I am going to demonstrate even a simple concept works out well if applied consistantly and correctly .

This is todays P/L . Not much but still making money in weak stocks ,, please chart as many stock in the list as you wish ,,, what do they all have in common ? The regression line is heading down


PS:-- remember LOW of the day does not mean stock to be in postive or negative relative to yesterdays close it just means low of the intra day ,,,


http://www.trade2win.com/boards/showthread.php?p=373010#post373010
Grey1

 

[jdbzero]

The main reason for taking SHORT trades is the turn of the market cycle which has to be 10 MIN INDU getting OB and turning down ( in a very bearish day it does not have to get OB and the turn of the 10 min is good enough but you must also be prepared to stop loss fast ) ,,, This is the reason ,, how ever if your exhaustion engine tells you OB on more than one time frame then it is even better point of entry .

Can I check what timeframes are currently used by people in the Exhaustion Engine.
I know originally it was 1,3,5 minute but 10min MACCI seems to be of more importance now (or at least it's referenced in Grey1's postings more frequently) and I vaguely remember a post stating only 2 timeframes may aslo be used. So are we looking for exhaustion in say 1,3,10 minute timeframe? I know these things do evolve and are based on cycle analysis but I'm just trying to start off in the right direction so any comments appreciated

Thanks
Jonathan

 

[rajibde]

The main reason for taking SHORT trades is the turn of the market cycle which has to be 10 MIN INDU getting OB and turning down ( in a very bearish day it does not have to get OB and the turn of the 10 min is good enough but you must also be prepared to stop loss fast ) ,,, This is the reason ,, how ever if your exhaustion engine tells you OB on more than one time frame then it is even better point of entry .

Thanks Iraj.
The Exaustion engine was showing o/s in a few of the higher timeframes (after yesterday) and O Boy-a very nice up day indeed it was! Muchias GraciousMr Market is due I guess(I hope I've spelled it correctly).

Raj

 

[belflan]

going up

have to change my losers filters on IB to find anything -5% to buy tonight

very strong market today so far

 

[belflan]

tonights paper trades at around 18.55 uk time

shorts

SFI-27.44
JNS - 32.49
CIEN - 43.97

longs

QID - 38.07
SDS - 54.68
DXD - 50.57

 

[belflan]

paper trades closed at about 19:50 uk time

shorts

SNDK - 37.54 covered @ 37.18 = +36
ITU - 23.74 covered @ 23.86 = -12
EBay - 32.64 covered @ 32.49 = +15

total for shorts tonight = +39c

longs

HOC - 45.59 closed @ 46.00 = +41
MBI - 30.36 closed @ 30.43 = +7
LDK - 27.01 closed @ 26.8 = -21

total for shorts tonight = +27

total for shorts and longs tonight = +66c

If last nights trades were overnight and closed about 19:00 uk time tonight they would have looked like:


shorts

SNDK - 37.54 covered @ 38.27 = -73c
ITU - 23.74 covered @ 26.09 = -235c
EBay - 32.64 covered @ 34.14 = -150c

total for shorts = -458c

longs

HOC - 45.59 closed @ 46.17 = +58
MBI - 30.36 closed @ 30.67 = +31
LDK - 27.01 closed @ 27.8 = +79

total for shorts = +168


total for longs and shorts = -290

 

[belflan]

tonights paper trades at around 18.55 uk time

shorts

SFI-27.44
JNS - 32.49
CIEN - 43.97

longs

QID - 38.07
SDS - 54.68
DXD - 50.57

tonight trades closed at about 20:50


shorts

SFI-27.44 covered @ 27.85 = -41c
JNS - 32.49 covered @ 32.25 = +24c
CIEN - 43.97 covered @ 43.26 = + 71c

total for shorts = +54c

longs

QID - 38.07 closed @ 38.38 = +31
SDS - 54.68 closed @ 54.71 = +3
DXD - 50.57 closed @ 50.72 = +15

total for longs = +49


total for trades opened and closed tonight = 103c

 

[belflan]

Running totals (Day 3)

Total if trades are opened and closed on the same night

= +136 cents

Total if trades kepted open overnight and close following night at about 19:00

= +400 cents

No allowance has been made for commissions

Allowance has been made for spread

Total if trades are opened and closed on the same night

= +278 cents

Total if trades kepted open overnight and close following night at about 19:00

= +110 cents

No allowance has been made for commissions

Allowance has been made for spread

 

[Grey1]

tonight trades closed at about 20:50


shorts

SFI-27.44 covered @ 27.85 = -41c
JNS - 32.49 covered @ 32.25 = +24c
CIEN - 43.97 covered @ 43.26 = + 71c

total for shorts = +54c

longs

QID - 38.07 closed @ 38.38 = +31
SDS - 54.68 closed @ 54.71 = +3
DXD - 50.57 closed @ 50.72 = +15

total for longs = +49


total for trades opened and closed tonight = 103c

if you wish and have time perhaps you like to trade it for 10 days instead of 5 days as few days does not really mean much ,, statistical approach works best in higher number of days.. VWAP trading is for intra day trading and not swing ,, so all pos closed @ close


grey1

 

[belflan]

if you wish and have time perhaps you like to trade it for 10 days instead of 5 days as few days does not really mean much ,, statistical approach works best in higher number of days.. VWAP trading is for intra day trading and not swing ,, so all pos closed @ close


grey1

no problems, was thinking the same myself.

as for the overnight running total, just thought I'd put it in there as its no trouble to do.

the intra day is the main total for this test

I'd quite like to build this up from the ground to a complete strat to trade US stocks (with the help of anyone who cares to help on this board) and then trade it live.

I know your full VWAP strat is detail on this board (probibly more than once) however building it up starting with a few simply rules will certain give me a better understanding

the simple rules i've been using so far:

1. @ approx 7:00pm Uk time
2. buy 3 stock that are -5% to -7% on day
3. sell 3 stock that are +5% to +7% on day
4. sell at or around close

can't be mush simpler than that

should also say i ve got the following filters on IB to sort stocks

stock price = $20 - $50
daily vol = 1.5M or greater

anything you would change at this stage Grey?

 

[belflan]

tonights paper trades at around 19:00 uk time

shorts

TSL 39.72
VCLK 23.46
DSX 33.77


longs

FFiV 26.6
CBG 23.00
TIF 47.52


no longer posting totals for keeping trades open overnight (after Grey's last post)

 

[belflan]

no problems, was thinking the same myself.

as for the overnight running total, just thought I'd put it in there as its no trouble to do.

the intra day is the main total for this test

I'd quite like to build this up from the ground to a complete strat to trade US stocks (with the help of anyone who cares to help on this board) and then trade it live.

I know your full VWAP strat is detail on this board (probibly more than once) however building it up starting with a few simply rules will certain give me a better understanding

the simple rules i've been using so far:

1. @ approx 7:00pm Uk time
2. buy 3 stock that are -5% to -7% on day
3. sell 3 stock that are +5% to +7% on day
4. sell at or around close

can't be mush simpler than that

should also say i ve got the following filters on IB to sort stocks

stock price = $20 - $50
daily vol = 1.5M or greater

anything you would change at this stage Grey?

area's still to be addressed;

Were to place stops (if any)

1. based on chart S/R levels?
2. based on daily ATR?
3. based on smaller time frame ATR (say hourlys)?
4. no stop we're hedged?
5. if one position gets stopped out do you close one of the other position on the other side of the market?


Risk (% of account balance) to place on each trade

1. 1%, 2%, 3% or etc etc of account balance?
2. work out the max draw down of the system and use this to determin position size? ie size your position size based on the max peek to peek draw down of the system (risky?)er

 

[belflan]

tonights paper trades at around 19:00 uk time

shorts

TSL 39.72
VCLK 23.46
DSX 33.77


longs

FFiV 26.6
CBG 23.00
TIF 47.52


no longer posting totals for keeping trades open overnight (after Grey's last post)

trades closed about 20:56 uk time

shorts

TSL 39.72 covered @ 40.26 = -54c
VCLK 23.46 covered @ 24 = -54c
DSX 33.77 covered @ 33.84 = -7c

total for shorts = -115c

longs

FFiV 26.6 closed @ 26.14 = -46c
CBG 23.00 closed @ 23.25 = +25c
TIF 47.52 closed @ 48.59 = +107c

total for longs = +86

total for shorts & longs = -29c

 

[belflan]

Running total (day 4)

Total if trades are opened and closed on the same night

= +249 cents

Total if trades kept open overnight and close following night at about 19:00

= discontinued

No allowance has been made for commissions

Allowance has been made for spread