Wednesday, May 7, 2014

05/07/2014 (premarket) rotation


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

 

4 comments:

  1. Hi Tim,

    Do you have test results with and without trade cancellation on opening gap? I wonder if it makes any statistical difference in the backtest.

    ReplyDelete
  2. 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.

    ReplyDelete
  3. Fair enough, was just wondering if there's any statistical significance to waiting one more day in favor of having it setup right.

    ReplyDelete
  4. Sometimes it selects an entirely different trade the next day. Just depends on what happens in the market.

    ReplyDelete