The "Flipper" strategy

Discussion in 'Technical Analysis' started by Turok, Feb 2, 2004.

  1. Turok


    >Imagine you have a portfolio of stocks (we use
    >200 stocks per portfolio).

    I'm currently of the opinion that it doesn't do any good to multiply an unprofitable (or barely profitable) system by 200. I may become convinced of this later, but for now let's just make sure that we are doing what we should be doing with KLAC. Once we get to that point we can look at spreading it around.


    #21     Feb 3, 2004
  2. abogdan


    No, not multiplying, spreading! That is the key! You make your efficiency of the capital use by far higher!
    Think about it.
    #22     Feb 3, 2004
  3. simstim


    turok, i disagree with you there.

    the multiplier has a simple formula, it is 1+(slippage/profit target).
    so if your slippage is $0.10 and you're trying for a target of $0.50, your multiplier should be 1.2. this gives them an even amount of profit no matter which flip it is (assuming they get to the target)

    my reason for saying capitals and balls is that if someone wanted to, they could raise this multiplier (say to 1.4), which would actually give them a higher profit amount with more flips (also a greater amount of loss if the price didnt reach target). but if it is rare that the price never reaches target, then this would be worthwhile.

    please disregard my last spreadsheet, i noticed another error.

    if you notice, i put:

    multiplier 1.1
    delta+comm: 0.06
    profit target: 0.60
    this gives you a constant $600 across flips, if you decide to quit on the 10th flip of the day because it hasnt reached target, you would lose $956.25.

    say for sh & gi you decide to raise the multiplier to 1.2:

    multiplier: 1.2
    delta+comm: 0.06
    profit target: 0.60

    you see now that each successive flip you get more profit. if you were to finally reach target on the 9th flip, you would have $1589.95. however, if you did not make it by the 10th flip, you would have lost $1557.52 (greater than the scenario above). this is what i meant by someone have greater capital and balls could change the multiplier.
    #23     Feb 3, 2004
  4. EricP


    I think you are misunderstanding Turok. He understands the value of diversification, but he is just not yet conceding that the strategy itself is profitable over the long run with a single stock under question. Certainly, if successful, then diversification will help. But, if the strategy itself fails over the long run, then diversification will not help at all.

    I agree with Turok at this point, and think that we should keep the discussion focused on one stock to ensure that he is able to duplicate similar performance to your results using his backtesting capability.

    That said, if successful, the logical extension of this is certainly to expand the system to numerous similar stocks to diversify results and gain an even better (smoother) equity curve.

    Thanks again,

    #24     Feb 3, 2004
  5. I have an idea..

    How about enough of the theoretical crap.. and someone start actually trading this system live with real $.

    When u actually put $ behind something u will learn a lot more than u think.

    #25     Feb 3, 2004
  6. abogdan


    Hi SimStim. Thanks for your participation in the thread.

    I appreciate your thoughts but I would have to say that Turok's algorithm is by far closer to the actual thing that we are running. The reason we have chosen this approach is because it is much easier to implement in real life. You do need to calculate your actual losses that sometimes through a curved ball!
    #26     Feb 3, 2004
  7. abogdan


    Ok. I'm also very interested in the capabilities of WLD. This is a good experiment for all of us! If WLD can match my results then it is going to be worthwhile for me to learn it.
    As you get older you need to apply a lot more efforts to learn new things eh?
    #27     Feb 3, 2004
  8. abogdan


    Ok, have to go now. I'll catch up with you all tomorrow.
    #28     Feb 3, 2004
  9. Turok


    >I have an idea..

    >How about enough of the theoretical crap.. and
    >someone start actually trading this system live
    >with real $.

    >When u actually put $ behind something u will learn
    >a lot more than u think.

    Hi Mike, I'll let you start.

    For myself I find it better to hammer on any mechanical system for a while to get a reasonably good understanding of it's behavior before braving the shares. Especially a system such as this which appears to be able to go on for quite some in a profitable mode only to whack you REALLY hard when the going gets rough.

    Even if someone says that they are trading it profitable (which abogdan does) I prefer to watch over my own account by investigating it for myself.



    #29     Feb 3, 2004
  10. simstim


    hi abogdan, i didnt mean to usurp turok's algorithm in any way :) he did all the work, i just wanted to give him a sheet to look at to see the multiplier at work. it seemed in his sheet that that was the 'weakest' part of it. there were days that there were cumulative losses of nearly $70,000 because the multiplier he was using was so high, when that shouldnt be the case.
    #30     Feb 3, 2004