gmg733
788 posts
msg #106727
- Ignore gmg733
modified |
6/22/2012 4:41:29 PM
This might be one for StrataSearch. Meets your mechanical trading requirement.
http://seekingalpha.com/article/586171-bankable-etf-strategy-double-up
and
http://seekingalpha.com/article/638981-bankable-etf-strategy-hidden-bear
I really like Lawrence's work.
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johnpaulca
12,036 posts
msg #106731
- Ignore johnpaulca |
6/23/2012 12:08:13 AM
If this is Lawrence Chan from Neoticker, the guy knows his stuff, spoke to him many times.
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gmg733
788 posts
msg #106737
- Ignore gmg733 |
6/23/2012 2:50:49 PM
Yes, it is Mr. Chan. I admire his work and he is willing to share. He is one of the good guys!
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Kevin_in_GA
4,599 posts
msg #106744
- Ignore Kevin_in_GA |
6/24/2012 7:58:27 AM
Thanks. I'll take a look at these and see how we can tweak them using Stratasearch and convert the results into SF code.
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novacane32000
331 posts
msg #106745
- Ignore novacane32000
modified |
6/24/2012 12:12:36 PM
I ran the numbers by hand from July 2011 thru May 2012 for the double up strategy using SPY.
Buying the 1st trading day between the 10th and 13th and selling the 6th trading day at the open resulted in a 9.4% gain
Buying the 1st trading day between the 26th and 29th and selling the 6th trading day at the open resulted in a 0.0% gain
During the same time period SPY lost 3.6%
I also ran the numbers for the bearish strategy-shorting SPY from May 2011 thru May 2012 excluding the months mentioned (March,April,Nov,Dec)
Shorting on the 13th trading day and exiting 6 days later resulted in a 4.9% gain. Shorting SPY during the same time period resulted in a 3.2% gain. Going long a 3.2% loss.
The numbers seem to suggest this deserves a little more looking into.
As I did this by hand it was interesting to note that on the bullish strategy buying between the 10th and 13th and selling the 6th trading day at the open --the 6th trading day was a down day in all but 1 or 2 months as I recall.This suggest to me perhaps others are using this method-though the sample size is small.
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duke56468
683 posts
msg #106752
- Ignore duke56468 |
6/24/2012 7:06:04 PM
novacane32000.............In your backtesting did you buy the open on the first trading day?
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novacane32000
331 posts
msg #106753
- Ignore novacane32000 |
6/24/2012 10:30:36 PM
Yes-bought at the open 1st trading day and sold at the open after holding 5 days -which would be the open of the 6th day.
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BarTune1
441 posts
msg #106754
- Ignore BarTune1 |
6/24/2012 11:20:10 PM
Yes, it does sound interesting. I have always been cognizant of the month end bias but had not paid a lot of attention to options expiration week.
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wkloss
231 posts
msg #106757
- Ignore wkloss |
6/25/2012 8:23:00 AM
novacane
I'm confused on what you did. You wrote:
"Shorting on the 13th trading day and exiting 6 days later resulted in a 4.9% gain. Shorting SPY during the same time period resulted in a 3.2% gain"
What did you short on the 13th trading day?
Bill
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duke56468
683 posts
msg #106759
- Ignore duke56468 |
6/25/2012 10:37:54 AM
wkloss.....They go long on the 10 to 13 Calender day and short on the 13th trading day is my understanding.
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