|
Style Model
|
Large Value
|
||
|
Sector Model
|
XLU
|
-0.37%
|
|
|
Large Portfolio
|
Date
|
Return
|
Days
|
|
ABX
|
4/11/2013
|
-27.32%
|
391
|
|
NEM
|
9/30/2013
|
-10.77%
|
219
|
|
RS
|
2/10/2014
|
2.80%
|
86
|
|
CSCO
|
2/12/2014
|
0.89%
|
84
|
|
CBI
|
2/20/2014
|
-0.86%
|
76
|
|
BX
|
4/14/2014
|
-2.52%
|
23
|
|
TIVO
|
4/23/2014
|
-1.82%
|
14
|
|
SHOO
|
4/28/2014
|
-4.92%
|
9
|
|
UNF
|
5/2/2014
|
-0.92%
|
5
|
|
TIBX
|
5/5/2014
|
-0.67%
|
2
|
|
(Since 5/31/2011)
|
|||
|
S&P
|
Annualized
|
11.83%
|
|
|
Sector Model
|
Annualized
|
27.00%
|
|
|
Large Portfolio
|
Annualized
|
25.36%
|
Rotation (second attempt): selling CSCO; buying EFII.
Opening gap yesterday prevented the trade.
Tim
Hi Tim,
ReplyDeleteDo you have test results with and without trade cancellation on opening gap? I wonder if it makes any statistical difference in the backtest.
No. I just don't trade if there's a negative gap. Since I don't trade every day, I can skip if it doesn't set up right.
ReplyDeleteFair enough, was just wondering if there's any statistical significance to waiting one more day in favor of having it setup right.
ReplyDeleteSometimes it selects an entirely different trade the next day. Just depends on what happens in the market.
ReplyDelete