Thanks Shawn! Appreciate the postings!
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Thanks Shawn! Appreciate the postings!
Hi-
Results for Wed (BGFV - bad earnings hurt the avg, a lot):
[ATTACH=CONFIG]19377[/ATTACH]
For Th:
[ATTACH]19378[/ATTACH]
Shawn
Hi:
Results for Th:
[ATTACH=CONFIG]19394[/ATTACH]
For Fri:
[ATTACH]19395[/ATTACH]
Shawn
Hi:
Here are the results for Fri:
[ATTACH=CONFIG]19408[/ATTACH]
For Mon:
[ATTACH]19409[/ATTACH]
Shawn
PS: the +511 methodology looks at 20d of the LEV, and accordingly, I am going to use 3-mon RS ranking for LEV Leaders rather than regular RS which is a 6-month measure.
Hi:
For Mon the results were:
[ATTACH=CONFIG]19423[/ATTACH]
For Tu, we are looking at:
[ATTACH]19424[/ATTACH]
Shawn
Hi:
Results for Tu:
[ATTACH=CONFIG]19432[/ATTACH]
For Wed:
[ATTACH]19433[/ATTACH]
Shawn
Hi-
Results from Wed:
[ATTACH=CONFIG]19450[/ATTACH]
For Th:
[ATTACH]19451[/ATTACH]
Shawn
Hi-
I missed the results from last Fri (summer time confusion).
Here are the names I am tracking for today. Mon.
[ATTACH]19483[/ATTACH]
Shawn
[QUOTE=shawn_molodow;26245]Hi-
I missed the results from last Fri (summer time confusion).
Here are the names I am tracking for today. Mon.
[ATTACH]19483[/ATTACH]
Shawn[/QUOTE]
Shawn,
Do you have access to the weekly IBD50 constituents. ?
Thanks in advance.
Trev
Hi Trev,
Yes, I have access to the IBD 50.
Shawn
Hi:
Here are the Mon results:
[ATTACH=CONFIG]19486[/ATTACH]
For Tu:
[ATTACH]19487[/ATTACH]
Shawn
[QUOTE=shawn_molodow;26247]Hi Trev,
Yes, I have access to the IBD 50.
Shawn[/QUOTE]
I appreciate your very valuable input and the amount of work you do but would it be possible to show a list of the IBD50 once a week ?
Thanks in advance.
Trev
[QUOTE=manucastle;26250]I appreciate your very valuable input and the amount of work you do but would it be possible to show a list of the IBD50 once a week ?
Thanks in advance.
Trev[/QUOTE]
Trev,
I am sorry, but IBD's list is proprietary to IBD and I do not believe that Shawn has been allowed by IBD to publish it.
Pascal
Hi:
For Tu the results are:
[ATTACH=CONFIG]19500[/ATTACH]
For Wed we are looking at:
[ATTACH]19499[/ATTACH]
Shawn
Hi-
For Wed, Aug 14, the results were:
[ATTACH=CONFIG]19513[/ATTACH]
For Th, Aug 15, we are tracking:
[ATTACH]19514[/ATTACH]
Shawn
Shawn,
Great work as always. Have you thought about a way to parse down the list or identify the most profitable to avoid lots of commissions?
Harry
[QUOTE=shawn_molodow;26269]Hi-
For Wed, Aug 14, the results were:
[ATTACH=CONFIG]19513[/ATTACH]
For Th, Aug 15, we are tracking:
[ATTACH]19514[/ATTACH]
Shawn[/QUOTE]
Hi Shawn,
Thanks for your excellent work which I am following with interest !
A couple of questions please :-
1. Have you generally found that the recent quarterly results have had positive or negative impact for the watchlist companies ? Would you tend to hold through results announcements ?
2. Is the holding period lengthening or shortening recently ?
Thanks in advance.
Trev
Hi Trev,
I have not carefully studied the relationship b/n ER's and LEV Leader names, but I have been somewhat surprised at how often LEV Leader names show up on the list just before ER's.
My sense from posting the #'s each night is that there is a bias towards more positive moves vs negatives moves the trading day after ER's for the LEV Leaders, but the success rate is certainly not 100% or even 90%, for sure..
The vast majority of the +10% gainers and -10% losers on the results I have posted during the last few weeks have been due to ER's. Something I will track next earnings cycle b/c until now I had assumed that a stock's LEV would taper off prior to ER's, i.e. Institutions would slow buying into ER's.
On hold periods, I think its been difficult to hold swing trades on individual names for more than a couple of weeks for me, and certainly, I have not held anything for more than 3 weeks. Since the May 22 highs, gains of more than 15% have been rare. e.g. we are looking at the MEM model probably going on a zero exposure today and the 20d MF is on a sell as of last night's close.
From the Jul 11 FTD until yesterday, Aug 14 .... there have been 25 trading days.. and, now we are looking at being in cash or short.. so, IMO, there has not been a long enough period of healthy tailwinds for swing traders to hold as long as I would like ..
I hope that helps you understand my impressions,
Shawn
[QUOTE=shawn_molodow;26281]Hi Trev,
I have not carefully studied the relationship b/n ER's and LEV Leader names, but I have been somewhat surprised at how often LEV Leader names show up on the list just before ER's.
My sense from posting the #'s each night is that there is a bias towards more positive moves vs negatives moves the trading day after ER's for the LEV Leaders, but the success rate is certainly not 100% or even 90%, for sure..
The vast majority of the +10% gainers and -10% losers on the results I have posted during the last few weeks have been due to ER's. Something I will track next earnings cycle b/c until now I had assumed that a stock's LEV would taper off prior to ER's, i.e. Institutions would slow buying into ER's.
On hold periods, I think its been difficult to hold swing trades on individual names for more than a couple of weeks for me, and certainly, I have not held anything for more than 3 weeks. Since the May 22 highs, gains of more than 15% have been rare. e.g. we are looking at the MEM model probably going on a zero exposure today and the 20d MF is on a sell as of last night's close.
From the Jul 11 FTD until yesterday, Aug 14 .... there have been 25 trading days.. and, now we are looking at being in cash or short.. so, IMO, there has not been a long enough period of healthy tailwinds for swing traders to hold as long as I would like ..
I hope that helps you understand my impressions,
Shawn[/QUOTE]
I find it a fascinating subject - if a stock is performing well just before earnings, does it generally figure that it will continue in the same direction after the results ? Is the prior performance a good indication of better than expected results.
On average do more strong stocks continue upwards after the results than downwards ?
I would imagine that the current general market direction will affect the answer.
Has anybody managed to do a long term test of this ? Any long term investors have actual trading evidence one way or the other ?
Trev
Hi-
Results for Th:
[ATTACH=CONFIG]19538[/ATTACH]
For Fri:
[ATTACH]19539[/ATTACH]
Take care,
Shawn
Hi:
Fri's results:
[ATTACH=CONFIG]19565[/ATTACH]
For Mon, we are tracking:
[ATTACH]19566[/ATTACH]
Shawn
Hi:
Results for Mon, Aug 19, 2013:
[ATTACH=CONFIG]19570[/ATTACH]
For Tu, Aug 20, 2013:
[ATTACH]19571[/ATTACH]
Shawn
Shawn,
I may be wrong if I ran the calculations, but surprised that Open-Close returns have been better than Close-Close. I would have guessed the other way around. Good news for those that want to follow.
Regards,
Harry
Hi Harry,
In general, you are correct when viewed on a month by month basis.
I have gone through the data published in this thread from May 7 to Aug 14. I did not publish certain days here when I was out on vacation or had other matters, so I have excluded SPY data on those dates too. I will update these stats and post at the end of Aug.
Overall from May 7 to Aug 14: Open-to-Close +10.11% vs Close-to-Close +13.57% vs SPY +4.48%.
For May 7-31 stub period, Open-to-Close +1.60% vs Close-to-Close -0.89% vs SPY +0.99%
For Jun, Open-to-Close -0.56% vs Close-to-Close -0.64% vs SPY -1.46%
For Jul, Open-to-Close +7.30% vs Close-to-Close +13.57% vs SPY +5.01%
For Aug 1-14 stub period, Open-to-Close +1.85% vs Close-to-Close +1.45% vs SPY -0.06%
May 7 to Aug 14 has included a pretty decent 8% pullback from May 22 to Jun 24, and a 10% V-shaped rally from Jun 24 to Aug 2, and Q2 earnings.. So, the sample size has been small, but some nice events have occurred during the period.
I have not done a careful study yet, but much of the Jul out-performance by Close-to-Close appears to be due to LEV Leaders being the *on average* benefactor of earnings surprises which express themselves primarily as earnings gaps which the Open-to-Close did not benefit from as much.
I would also note that Pascal has done some back testing and said that this method works best when the market is on an overall buy signal and not too over-bought.
It makes sense to me that when the 20d MF is on a sell signal (as it is now), IBD is in market correction (as it is now), etc. this methodology will likely not give positive returns and may not even out-perform the SPY since the LEV Leaders are usually high beta names.
More forward-testing data is needed to build our confidence in this work, so I will continue publishing the data.
Take care,
Shawn
Wow Shawn, quite a response! Thank you for the detailed information.
Hi-
20d MF is on a sell, I am 100% cash, but we continue the work...
[ATTACH=CONFIG]19607[/ATTACH]
For Wed,
[ATTACH]19608[/ATTACH]
Shawn
Good evening Shawn,
I don't believe AAPL closed positive O-C today?
Harry
Hi Harry,
Thanks for helping with the QA..
The results did not look right to me this morning, because the C-2-C always goes from most positive to most negative, and when I looked this am, that was not the case.. Had to update the spread sheet.
Thanks,
Shawn
Hi-
I am going to try and report results based on a 5d rolling window. I assume an equal amount is invested each day over the last 5 days in the LEV Leader groups, e.g. $10K per day is bot on the open and the names from Aug 15 would be sold on the close today. Under these assumptions, the overall amount in the market would be about $50K at a time. This is s strategy that reduces the slippage losses due to commissions and unfavorable bid/asks which can occur on the thinner names. I am going to paper trade this strategy at Interactive Brokers to get a better sense of possible real-world returns.
The 5d rolling results are summarized at the bottom of .png file and the overall file is attached below.
Results from Wed. Aug 21, 2013:
[ATTACH=CONFIG]19609[/ATTACH]
Names for Tracking on Th, Aug 22, 2013:
[ATTACH]19610[/ATTACH]
Here is the spreadsheet for the 5d rolling results:
[ATTACH]19611[/ATTACH]
I am traveling tomorrow, but will do my best to keep up with the study here.
Take care,
Shawn
Hi-
Results for Th:
[ATTACH=CONFIG]19634[/ATTACH]
For Fri:
[ATTACH]19635[/ATTACH]
5d rolling:
[ATTACH]19636[/ATTACH]
Shawn
Hi-
Results for Fri, Aug 23, 2013:
[ATTACH=CONFIG]19640[/ATTACH]
For Mon, Aug 26, 2013:
[ATTACH]19641[/ATTACH]
Rolling 5d file:
[ATTACH]19642[/ATTACH]
Shawn
Hi:
some small corrections made (Aug 27, 2013)
Results for Mon, Aug 26, 2013:
[ATTACH=CONFIG]19686[/ATTACH]
For Tu, Aug 27, 2013:
[ATTACH]19687[/ATTACH]
5d rolling data:
[ATTACH]19688[/ATTACH]
Shawn
Hi:
Results for Tu, Aug 27, 2013:
[ATTACH=CONFIG]19689[/ATTACH]
For Wed, Aug 28, 2013
[ATTACH]19690[/ATTACH]
Rolling 5d data:
[ATTACH]19691[/ATTACH]
Shawn
Hi-
First of all, I would like to thank Pascal for letting me post here.
Second of all, I have noticed that running a 5d rolling program on the +90 RS (3 month measure) gives way too many names to trade....
So, I am cutting back to something I can trade. I am going to take the top +95 RS (3 month) names, but not more than 4 each day and hold for 5d's. To resolve ties on who's in/out.. I am going to take the highest IBD Composite score to decide.
At heart, I am an academic, but I trade for my living and we need to be practical, so we buy @ market 9:35 am (why? let the bid vs ask settle) and sell @ market 3:40 pm ET (why? leave the party b4 the day traders on these high beta names). This will be a success if we don't get screwed.. input welcome on this..
The very recent cumulative results from Aug 21:
SPY -01.03%
regular method +0.58%
all RS (3 month) +95 +1.58%
cutting off to < 4 names +1.93%.
Shawn
PS: Harry, can you watch this and QA my posts? much thanks...
Shawn,
This has been a good experience.
It is important to limit yourself to a few names.
This selection method will work fine as far as you have the market direction right.
Believe me, I back-tested it. I also back-tested the IBD composite without EV.
You need a market direction model for stocks picking to work.
Pascal
Pascal,
You are completely right..
I am 100% cash personally...
For now, this work is totally academic (on the long side)
Shawn
[QUOTE=shawn_molodow;26360]Pascal,
You are completely right..
I am 100% cash personally...
For now, this work is totally academic (on the long side)
Shawn[/QUOTE]
I am still short, but not a large position.
I feel that assistant traders are in charge now and mainly day-trading.
When the big boys will be back after Labor day, they might want to shake the tree to replenish on the cheap.
There is enough uncertainty now to trigger a large down move (large is between 3% and 5%).
Pascal
[QUOTE=shawn_molodow;26358]PS: Harry, can you watch this and QA my posts? much thanks...[/QUOTE]
Shawn - I will do my best!
Harry
Hi-
Results from Th, Aug 29, 2013:
[ATTACH=CONFIG]19740[/ATTACH]
For Fri, Aug 30, 2013:
[ATTACH]19741[/ATTACH]
5d rolling data:
[ATTACH]19742[/ATTACH]
Shawn
Hi-
Results from Fri, Aug 30, 2013:
[ATTACH=CONFIG]19748[/ATTACH]
For Tu, Sep 3, 2013:
[ATTACH]19752[/ATTACH]
5d rolling data:
[ATTACH]19750[/ATTACH]
Shawn