Hi All, ***** HISTORY / OVERVIEW ***** I'm starting a journal that will track one portion of a stock picking program I have, which I find myself unable to trade well enough to generate the kind of return that papertrading gets. The program follows thousands of stocks and ranks them by how well it thinks they'll do. For the past few years I've been using just the higher trading volume stocks and have been able to match papertrading results at a somewhat acceptable level, given my actual trading ability. What I would like to do is be able to trade the lower volume stocks, because the papertrading results from them has been outstanding...for 2003, paper results are averaging close to 1% per position per day (not including commissions). My plan is to post the low volume picks generated by the program, as well as a skeletal system for trading them that I've been using in my trading of higher volume stocks. This will be a swing-trading system...positions will be held for an average of two days and occasionally a week or longer. ***** GOAL OF THIS JOURNAL ***** My hope is that the papertrading results will be an incentive for others to come up with ways to successfully trade them. Many of you are probably quite skilled at trading in general, certainly more so than myself...it is, I think, possible that someone who knows what s/he is doing can match papertrading results. ***** JOURNAL FORM / DESCRIPTION ***** Each afternoon between 3:30 and 3:35 (EST), I will post a list in this format: -------------------------------------------------------------------------- Rank : LONG :::: Last ::::: SHORT ::: Last 1 ::::: RCOT :::: 0.34 ::::: CGA ::::: 1.30 2 ::::: POSO :::: 0.09 ::::: VDAT :::: 0.15 3 ::::: DZTK :::: 1.90 ::::: TUTR :::: 4.90 4 ::::: GSIC :::: 1.64 ::::: VTIV :::: 2.06 5 ::::: CRO ::::: 0.17 ::::: CNQR :::: 4.85 6 ::::: MTZ ::::: 1.42 ::::: SBAC :::: 0.77 7 ::::: IMCO :::: 2.48 ::::: LMNX :::: 5.30 8 ::::: PCOM :::: 0.10 ::::: EXEL :::: 6.60 9 ::::: ADAT :::: 2.51 ::::: INSG :::: 0.27 10 :::: SMDK :::: 0.30 :::: CNH ::::: 1.50 11 :::: PDII :::: 8.29 :::: INTV :::: 1.73 12 :::: ASPX :::: 0.09 :::: ADEX :::: 6.90 13 :::: PRCM :::: 0.22 :::: GRA ::::: 2.31 14 :::: PCSA :::: 0.18 :::: FORR ::: 14.35 15 :::: FSII :::: 2.55 :::: ASTSF :::: 3.39 16 :::: VION :::: 0.31 :::: NABI :::: 6.40 17 :::: UAXS :::: 0.13 :::: NPRO :::: 0.63 18 :::: SUPG :::: 2.50 :::: ANAD :::: 2.46 19 :::: TMWD :::: 1.28 :::: TWTC :::: 3.53 20 :::: ADTK :::: 0.25 :::: EMBT :::: 5.90 -------------------------------------------------------------------------- The columns "LONG" and "SHORT" give the program's stock picks. The "Last" columns show the last price the stock traded at. They are ranked in order, so the long candidate the program thinks will do the best is RCOT. These are the stocks that will be paper-traded...the above 20 LONG stocks and 20 SHORT stocks comprise that day's "Paperport" (Paper Portfolio). ***** PAPERPORT STRATEGY AND RETURN ***** So, at the end of day1, the return of the paperport will be figured using these prices, as compared to the end-of-day prices (using 4:20 EST Yahoo quotes). Using the above list, if DZTK closed at 1.93, the return for the day, for that stock, would be +1.58%. Paperport return for the day will be the average of all the individual returns. The paperport's entry "strategy" will then be to simply buy equal $-amounts of each LONG, and short equal $-amounts of each SHORT. At the end of day2, the return of the paperport will be figured by using the closing prices for the positions on the new list (which is now the paperport's holdings), as well as those positions that were held on day1 which don't appear on day2's list (the positions that paperport 'closed'). Each successive day will follow this procedure. Thus, the paperport's exit "strategy" will be to exit any position which it holds that does not appear on the new day's list. At some point after market close each day, I'll then post that day's paperport return, and the overall return from the first day (today, which will start at 0%). The format of this report will be: ------------------------------ ::::::::::LONG:::::SHORT:::::NET Today:::4.63%:::-2.14%:::::1.25% Overall:::::::::::::::::::::::::18.52% ------------------------------ In this example, the average gain in price of today's LONGs was 4.63%, and the average gain in price of today's SHORTs was 2.14%. But your profit on a short position is the negative of its gain in price, which is why the table reports an average SHORT profit of -2.14%. Finally, the NET is the average of the LONG and SHORT profits: 0.5 * (4.63% - 2.14%). ***** REAL-$ TRADING ***** A person trading real-$ on this system would try to follow the same procedure the paperport does. The initial goal is to hold exactly those positions on the afternoon list. So on the first day a trader is in action, s/he would try to enter all positions, LONG and SHORT. The next day there would be another afternoon list. The trader would try to exit any position s/he is holding that does not appear on the new list, and enter any positions on the list that s/he doesn't hold. ***** NOTES ***** Low share-price stocks can be cheaply traded on brokerages that charge a fixed commission per order (such as Ameritrade). I'm aware that some of the stocks on the SHORT list are not shortable on some brokerages. Some days the list will have mostly sub-$3 stocks...other days most will be over $5. I'm also aware that shorting a $.13 stock probably isn't something most people are willing to do...but if you are inclined, IB will allow the shorting of any stock, regardless of price, that isn't on their non-shortable list (http://www.interactivebrokers.com/cgi-pub/upc11830_stocks.pl). A person trading real-$ might not have the option of replicating the paperport by holding all 20...but that person would have some other advantages over paperport. For example, paperport must hold the 15th-20th best shorts...there is no reason a real-$ trader has to hold these (less desirable) positions. In my high-volume trading, I only enter a position if it is in the top10, where the best stocks reside. Another advantage would be execution...GSIC will be entered long by paperport at a price of $1.64. Perhaps a skilled trader could get a better price, or at the very least only choose to enter positions that are trading at a better price than listed in paperport. I think thats it...the first list will come out today. zorak
Sure...after the program does it's thing, the list is generated onto an excel sheet. The program is pretty much a "black box". It only uses price data, so it's doing some kind of technical analysis. Discussion of such isn't something I want to get into at this point, but if there has been sufficient interest after awhile, the relevance might change. zorak
Code: Rank LONG Last SHORT Last 1 EXBT 0.159999996 SBAC 1.28 2 IONN 0.090000004 PCOM 0.14 3 SOI 2.180000067 NVTL 1.22 4 ONXS 0.870000005 TXBI 1.14 5 GRA 1.830000043 TLGD 14.50 6 SGNT 0.109999999 INTZ 0.25 7 GGNS 1.850000024 ABTL 3.59 8 VISG 4.170000076 MEH 1.48 9 APWR 4.820000172 STAA 6.11 10 RCOT 0.360000014 PRSW 0.22 11 XXIA 5.010000229 DZTK 2.04 12 TLCV 1.059999943 MCSI 0.38 13 ASTM 0.270000011 PRCM 0.27 14 AXTI 0.790000021 PTMK 6.93 15 WAVX 0.800000012 SPWX 2.70 16 ADAT 2.349999905 FTUS 3.75 17 SABA 0.620000005 USPL 0.21 18 FWC 1.110000014 CGO 0.81 19 ASTSF 3.089999914 OPTK 1.40 20 DATC 1.399999976 MTEX 2.90 zorak
Code: DAY LONG SHORT NET 3/24 1.20% 0.92% 1.06% Overall 1.20% 0.92% 1.06% (Formatting for tomorrow's list will be better) zorak
Code: Rank LONG Last SHORT Last 1 CLCI 0.15 TXBI 1.24 2 GRA 1.63 MTZ 1.98 3 EXBT 0.15 DZTK 2.21 4 IMCO 2.40 ABTL 3.90 5 IRSN 1.04 ATCO 3.69 6 APWR 4.60 WSTL 4.28 7 EASY 0.52 POSO 0.12 8 ADAT 2.23 OPTK 1.50 9 SOI 2.13 MTIC 0.93 10 CGA 1.11 GILTF 0.27 11 BPUR 2.50 DGIT 2.55 12 CCRT 6.40 MEH 1.58 13 AXTI 0.78 SCAI 4.60 14 ADEX 5.82 GENE 1.53 15 WORK 2.58 JMAR 0.97 16 MBAY 0.81 ANCC 0.50 17 SFN 4.04 XICO 4.61 18 TXCC 0.53 MDRX 2.71 19 CMTO 0.11 NVTL 1.22 20 MROI 8.35 DSLN 0.45 Time: 3/25/03 3:31 PM zorak
Code: DAY LONG SHORT ALL 3/25 -0.12% -0.24% -0.18% Total 1.07% 0.68% 0.88% I'll also start attaching the worksheet showing each individual return for the day's paperport. zorak
Zorak, In reality I doubt your system. First of all.. since you are making these tiny little gains.. they will surely be offset by commisions.. and the wide slippage the thin stocks carry. You have to take that in consideration. --MIKE
with profits that small, you will need a tremendous number of wins and hope that you never have a large loss. Kind of walking on thin ice. But more power to you for making a system of your own.