This entry was posted on Tuesday, July 1st, 2008 at 6:39 pm and is filed under Uncategorized. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.
Ok, we have 6 holding in our portfolio that can hold 8 total positions. With today’s mini-reversal we have no new entries for tomorrow because no ETF’s crossed below the level of 30 on the Ultimate Oscillator.
Remember our exit is either a 3% profit target or the Ultimate Oscillator crosses above the 50 level.
Here are the 6 holdings and their entry prices.
IWB @ 70.79
EWY @ 51.43
EWT @ 14.21
EWY @ 51.43
IYF @ 67.43
EPP @ 132.89
Remember the only reason I am trying to highlight this system is because it has a couple key elements I have found in backtesting.
1) High win/loss percentage
2) Favorable profit factor when comparing cumulative profits versus loses over the long term
3) Although risk is open ended it can be mitigated by using a small percentage of the overall portfolio
If, again If, this catches a major swing point you just might be able to let a small portion of these positions run with a major swing low as a point defense. If the overall trade begins to hit profit targets make sure those runners are small enough that if they hit those swing lows you are still ensured a profitable trade. Keep the overall trade small and if those runners represent 1% of your overall portfolio you just might have the basis of a some exposure to extreme oversold conditions.
Dave Johnson
July 1st, 2008 at 7:41 pm
Dave - you exercising any specific criteria to select the candidates? Or just picking at random as before?
July 1st, 2008 at 7:53 pm
And I have entries for the following:
EWD
EWO
EWK
RWX
So I assume you’re using a volume filter?
July 1st, 2008 at 10:23 pm
Yes I have a list of high volume candidates that have the necessary liquidity, especially at the open. I use a list of 140 liquid ETF’s. In testing I need a list that was static in order to see the depth and number of potential trades. In testing I use individual non-ETF stocks to get an idea how many sigs you can get. Eventually the UO starts to bend up.
EWD crossed 30 on the UO days ago. Remember the criteria is that T2108 be below 20 and the ETF UO is crossing below 30 that day. This makes sure we have enough ooommphh of downess that previous day before entry.
I particularly like to test in Telecharts on “All Indexes” Gives some insight into the quantity of signals and how I can systemize that.
And yes I am randomizing the entries when I have more than 2 potential entries.
July 2nd, 2008 at 6:54 am
Ah, a key thing: UO crossing down - I had it _below_. Thanks for the clarification.
July 9th, 2008 at 1:28 pm
What are the three default periods for the Williams UO ??? 7, 14, 21 ??? Kevin
July 9th, 2008 at 11:33 pm
Yes the default settings of 7,14,21 are used.
We had mentioned this in another post as well.
http://thetradingdigest.com/blog/2007/12/18/the-etf-system-entries/