Saturday, 2 April 2011

Week of 2011 AL 01

Not much change this week.  I mostly stayed out of the market and worked on my computer program for selecting stocks to buy.  It uses weekly indicators to decide over the weekend what to buy the following Monday.  My latest parameter set produces roughly 30% stop-outs, 17% small losses, 16% small gains, and 37% big gains.

For a sample of 69 stocks over the last three years, there were 10,000 weekly buying opportunities, of which my program selected only 74.  The average gain was +7.9%!
Here are my latest parameters:
8.5%Max stop depth
4%Buy-limit: Max rise in price between decision to buy and market price.
105%Min increase in PPO rise from prev week
100.05%Max ratio of weekly low to SMA of closing prices
9.5%Max ROC
-0.75%Min PVO-histogram
75%Min ratio of +DI/-DI
0.16, 0.16pSAR params
4, 10, 7PPO params
4, 10, 7PVO params
7ROC param
7DI param
8SMA param

If a stock meets all these criteria, buy it!  Use weekly pSAR as the stop, unless that value is lower than the max stop depth.

Daily % gainStopRealized
Symb size when Fri Mon Tue Wed Thu Fri Beg End
TYD 11% MR15 -4.3 -4.3 -4.9 -4.3 -5.0 -4.3 -7.6 quit −4.9%
TYP 10% MR16 -13.2 -12.5 -13.3 -13.6 -13.3 -13.0 -15.2 ppo −13.2%
UDN 12% MR22 -1.2 -1.2 -1.2 -1.1 -0.9 -0.8 -2.7 -2.1
IAU 12% MR24 -1.0 -1.6 -1.7 -1.5 -0.5 -1.0 -3.9 -3.2
DRETF 16% MR30 -1.0 -0.9 -2.0 (foreign)
SPY 0.0 -0.4 0.3 1.0 0.8 1.2
me 0.0 -0.1 0.1 0.0 0.1 -0.1
(Average) −9.1%

I sold TYD because it wasn’t going anywhere but down.  I sold TYP because the daily PPO value turned negative, so I needed a reason to keep it and there wasn’t any.

I bought back DRETF because it had big gains while I wasn’t holding it.  Also, the expected market meltdown didn’t materialize and that was what I had sold it for.

Using my new stock screener, I have selected EK, TS, REX, CYD, and CZM for purchase next week.  A reasonable expectation would be that one or two will stop out the first week, one or two will stop out within the first month with small losses, and the other one or two will eventually show gains after a month or two and maybe big gains after several months.  Trend investing is very slow!

Next I need to come up with a new swing-trading system, probably based on earnings-swings since those seem fairly reliable.

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