Wednesday, March 19, 2008

Testing Ideas

In the right-hand side, there is a section called Future Testing Ideas where I list ideas that I am interested in testing in the future, or have already tested and want to write up. I'd like to invite readers to post any of their own ideas here that they are interested in having tested. I can't promise I'll do it but if it is interesting, unique, and progammable, I will eventually get around to it. I am also going to limit items posted on this blog to concepts that are more structural in nature and not edges that could easily be traded against so please keep that in mind.

10 comments:

Tim said...

Will these kinds of ideas qualify?

1) Trailing stop of 30 day low or 8xATR below close (IBD100 or other index components)
2) Entry of IBD100/index components based on new 2 yr high, 52wk high, 100 day high
3) Success ratio of Follow Through Days when a distribution day occurs within 3 days, 5 days, 10 days (success based on 30 or more days positive gain from FTD)

I just started reading your site in the last week or so. Like what I see.

Thanks,

Tim

bhh said...

I use ATR myself so this will certainly be something I will be exploring in the future. I think most of these qualify. I have posted a link to the blog Quantifiable Edges on the right that has done some pretty in-depth studies of FTDs.

Tim said...

I've read all of Rob's work at Quantifiable Edges. Both of you have great stuff.

Dan said...

Few ideas:
1. stop out at 50 day ma (if possible)
2. IBD 200 entry where today's volume is double or more (30 day) daily avg volume.

Great site, keep up the good work :)
- Dan

bhh said...

Thanks Dan,
The Moving Average stop will happen when I do "M-Stops" and I will also be looking at independant data series such as exiting all IBD trades when the major indexes dip below a MA (for exmaple).

I have already looked at the affects of volume and will post on that in the next couple of weeks. I can tell you larger volume does improve things.

Dan said...

Had another thought on pradeep's IBD 4% breakout rule. At what point or percentage does it start negatively impacting returns...so is it better to buy stocks from 4 to 6%? Just a thought :)

bhh said...

I started looking at that this evening actually. Also looking at ATR breakout ranges as that is what I personally use instead of percentages.

JohnB said...

My idea (although you probably have already thought of it) would be various trailing stops. You did that one study with a 25% trailing stop. Maybe try it with stops at 10%, 15%, 20%, and 30%? My other ideas have already been mentioned.

bhh said...

johnb,
Are you interested in seeing these in conjunction with a protective stop or alone?

JohnB said...

With a protective stop, although if you use 10% as a trailing stop the protective stop at 8% probably would not change things much. But the others should have a protective stop (15,20,30). Since the 25% T.S. worked so well I was thinking maybe another one would have better results.

Another idea would be to only take trades when some market timing indicator is bullish (ex. NSYE % Above 200MA). I have seen this help backtesting returns on another blog (StockPunk). I don't know if you can do it easily with your backtester.