Use the table at left to compare the difference of the breakout system from Part 1 vs. Part 2. You can see that the current modifications to the breakout setup improved almost all of the performance statistics.
The modified breakout setup turns $100 into $370k from 1990 to present and has averaged 55% annually as a comparison the original breakout formula turned $100 into $7,700 and a buy and hold approach in the NDX would turn $100 into $261.
Below you will see the performance reports of longs and shorts combined (report1) and of longs (report 2) and shorts (report 3) separately.
The modified breakout setup turns $100 into $370k from 1990 to present and has averaged 55% annually as a comparison the original breakout formula turned $100 into $7,700 and a buy and hold approach in the NDX would turn $100 into $261.
Below you will see the performance reports of longs and shorts combined (report1) and of longs (report 2) and shorts (report 3) separately.
Report 1 long and short trades combined
Report 2 long trades only
Report 3 short trades only
Here is a list of stocks that meet the setup criteria of a 10 day Bollinger band width in the bottom decile for a 200 day look back. ( ALNY,ALO, CYCL, FDRY, HURN, MDCO LNY, LRN, PDLI, SINT ) The next step is to look for a big gap tomorrow (greater than 1 range above or below the close) then enter on a bull or bear range pivot in the same direction as the gap.
8 comments:
Impressive and thank you for sharing this strategy and results.
Which tool do you use to do your backtesting?
I use Genesis trade navigator
intersting,
why not try tweaking it some more. rather than using a 10M squeeze only,or even in place of; try it with price bar on 10M 3 sigma (10M w 2.5 std dev both high and low) along with your other entry criteria.
regards, jk.
JK,
Give it a shot and tell me what you come up with, there are many different combinations to try. Its very easy to run an optimization on an individual stock or market, but optimizing 100 stocks at the same time is a major task. I did come up with some better combinations but I need to keep a couple of tricks up my sleeve. Whats is 55% annual returns not good enough for you? VBG
Do you ever enter trades fully automatically? It looks like this strategy is a candidate for automatic trading... ?
I dont. Yes it would be.
HIG doubled Friday.
Has it still more bounce. Cramer
says yes.
But what say you, and why?
Larss
Larss,
Just a guess but I would image that the stock will pull back short term to ~10, possibly even fill the gap from 7.5- 9
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