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Results for Wed, Mar 19, 2014:[ATTACH=CONFIG]23016[/ATTACH]
Shawn
Printable View
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Results for Wed, Mar 19, 2014:[ATTACH=CONFIG]23016[/ATTACH]
Shawn
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Results for Th, Mar 20, 2014:
[ATTACH=CONFIG]23057[/ATTACH]
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Results for Fri, Mar 21, 2014:
[ATTACH=CONFIG]23071[/ATTACH]
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Results for LEV Leader Performance, Mon, Mar 24, 2014:
[ATTACH=CONFIG]23124[/ATTACH]
Shawn
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Results for Tu, Mar 25, 2014:
[ATTACH=CONFIG]23139[/ATTACH]
Shawn
Hello Shawn,
March seems to be an extremely difficult month for your system? Are you still actively trading it? I am looking forward to a monthly review if you so decide to provide one.
Best Regards,
Harry
Hi Harry,
I stopped actively trading the system because the drawdowns were too great. I am currently busy with various activities, but in the future I will publish stat's and share performance, drawdown, and transaction costs of the system.
I continue to find the LEV Leaders to be helpful in my discretionary trading as an early signal about market strength and weakness, primarily intraday and most particularly off the open.
Take care,
Shawn
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Results for Wed, Mar 27, 2014:
[ATTACH=CONFIG]23159[/ATTACH]
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[ATTACH=CONFIG]23213[/ATTACH]
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[ATTACH=CONFIG]23214[/ATTACH]
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[ATTACH=CONFIG]23251[/ATTACH]
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[ATTACH=CONFIG]23278[/ATTACH]
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[ATTACH=CONFIG]23298[/ATTACH]
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[ATTACH=CONFIG]23314[/ATTACH]
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[ATTACH=CONFIG]23344[/ATTACH]
Shawn
hi
how will it perform in Nifty or BSE / Nse Stocks?
Any trade history on that?
thx
CS
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I have not done work on exchanges outside the marketsmith.com database - which is comprised primarily of US names. Note today there are 2 Brazilian companies and an Indonesian ETF as today's LEV leaders- these names are all traded on US exchanges.
Each night, a universe of about 2,400 names are scanned. The universe of stocks was pulled from the marketsmith.com database according to minimum price and volume cut-offs. I do that in April and Nov each year b/c there are new ipo's and mergers that change the composition. I will be doing the April re-creation of the universe of stocks soon.
These names are the highest beta names in the marketsmith database (the top 4 names with 3 month RS +95) that have shown large institutional accumulation over the last 20d (the LEV work).
I traded these names for a couple of months at the beginning of 2014, and suffered rather large drawdowns - the paper results and actual trading results only varied by about 0.07% per day due to slippage, commissions, etc.. So, I consider the paper results to be representative of actual results. At this time, I cannot recommend this methodology as a mechanical trading system. Pascal has suggested an overlay for market direction would improve results, e.g. if the 20d is on a sell, do not go long.
In any event, I find this list of names helpful in my personal trading as a watch list (e.g. it uncovered TSLA early for me) and most particularly, as an early indicator, of market performance - on daily and intraday timeframes. For example, in the first 10-15 min of the trading day, if the LEV leaders are deeply red, its highly likely that its going to be a bad day in the market. We can also see the LEV leader performance has been quite poor for weeks, and now the indexes are cracking.
Thanks,
Shawn
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[ATTACH=CONFIG]23361[/ATTACH]
Shawn
hi
What is the basic idea behind LEV Ladder?
How you are taking trade decision using it?
thx
CS
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Results for Tu, Apr 8, 2014
[ATTACH=CONFIG]23367[/ATTACH]
Shawn
[QUOTE=csayantan;27832]hi
What is the basic idea behind LEV Ladder?
How you are taking trade decision using it?
thx
CS[/QUOTE]
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The basic principle is that consistent buying of a name by institutions (as represented by LEV) over a 20d look back period is indicative of future returns. If you look at the real time LEV chart for a the stock BBD for a 20d period, you will see the green line (LEV) forms a pretty linear line from lower left to upper right.
The 2400 names are scanned each night to pull out the names that exhibit this characteristic.. Tonight, only 52 names of the 2400 met this criteria.. which is relatively few.. usually there are closer to 100 names that make it through this scan.
Next, the 52 names will be ranked by 3 month RS to find the fastest movers .. Marketsmith does not update their database until late, so I look at this the next morning.. The top 4 names are selected from this ranked ordered list with a minimum cut-off of RS >= 95; so, occasionally, there are fewer than 4 names that meet that RS = 95 or greater criteria.
These are each day's LEV Leaders, and this list is maintained for a rolling 5d period to capture overnight gains, etc.
I hope that helps,
Shawn
PS: let me know if you have further Q's.
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[ATTACH=CONFIG]23369[/ATTACH]
Shawn
hi
Can we Use it with AltoGOM / LTPack?
Can you provide us the code for LV Leader ?
If you share the Ninja Trader 7 code we may try to see its performance on the thin/thick market on NSE/BSE(Indian Market)?
thanks
CS
[QUOTE=shawn_molodow;27838]... Next, the 52 names will be ranked by 3 month RS to find the fastest movers .. Marketsmith does not update their database until late, so I look at this the next morning.[/QUOTE]
Hi Shawn,
Isn't the RS calculation simply a performance metric vs. S&P500? Couldn't this step be automated to help omit the reliance of MarketSmith?
Harry
[QUOTE=csayantan;27841]hi
Can we Use it with AltoGOM / LTPack?
Can you provide us the code for LV Leader ?
If you share the Ninja Trader 7 code we may try to see its performance on the thin/thick market on NSE/BSE(Indian Market)?
thanks
CS[/QUOTE]
Hi CS-
I do not code on these platforms.
I also do not provide my s/w to others for a variety of reasons, but Pascal has a process for providing LEV code for a few different platforms that may be of assistance for you. Please contact Pascal regarding this request.
Shawn
[QUOTE=Harry;27842]Hi Shawn,
Isn't the RS calculation simply a performance metric vs. S&P500? Couldn't this step be automated to help omit the reliance of MarketSmith?
Harry[/QUOTE]
Hi Harry,
You are in general correct, but I believe the IBD RS calculation is slightly different in that it weighs recent weeks more heavily in the RS calculation than the other weeks. This probably does not significantly affect results.
I could further automate things as you suggest, but using MS is fast/easy for this part of the process; is well recognized/trusted in the community (so, results can be compared easily); and MS provides fast/easy access to other data/information that I like to consider in my trading, e.g. avg daily $ traded, quick access to industry groups for names that are unknown to me, etc.
I hope all is well with you,
Shawn
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[ATTACH=CONFIG]23394[/ATTACH]
Shawn
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I do not usually make observations here, but the recent strength in Latin America seems noteworthy and not widely discussed. PBR, BBD, BRFS, & TEO all appeared this week as LEV Leaders, and the ETF ILF was a lower RS name that did not make the RS cut to be an LEV Leaders, but it has a constructive LEV pattern. The price patterns of these names remind me a little bit of JO and CORN last quarter.. consult those charts for how bottoms can be formed and fast initial moves can ensue. The safest way to play these moves is to wait for a pull-back and better yet, a consolidation of the move.. see DBA and RJA for examples of this, and then take them on the move higher above the consolidation area..
[ATTACH=CONFIG]23396[/ATTACH]
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I moved my data center over the weekend and was not able to get operational in time to record Mon, Apr 21, 2014 results.
I am tracking that day as zero for this 5-d roll period.
[ATTACH=CONFIG]23578[/ATTACH]
Shawn
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I have communicated with Pascal already but he is referring you again .Can you ensure about the code in any platform?
[QUOTE=shawn_molodow;27846]Hi CS-
I do not code on these platforms.
I also do not provide my s/w to others for a variety of reasons, but Pascal has a process for providing LEV code for a few different platforms that may be of assistance for you. Please contact Pascal regarding this request.
Shawn[/QUOTE]
thanks
CS
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[ATTACH=CONFIG]23590[/ATTACH]
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[ATTACH=CONFIG]23618[/ATTACH]
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CYTK failed test results had an outsized, adverse affect on results today:
[ATTACH=CONFIG]23654[/ATTACH]
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[ATTACH=CONFIG]23702[/ATTACH]
Shawn
Hi Shawn,
Hope your trading is going well. I'm sure you are aware, but in case not - some values from yesterdays reports are missing?
Harry
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Thanks Harry. Yes, still resolving some data center move issues.
Hopefully, we are back on track and the previous days are approximately representative.
For Wed, Apr 29, 2014:
[ATTACH=CONFIG]23731[/ATTACH]
Shawn