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Dan,
First of all, if your system is working for you and you
understand it, stick with it. I've always believed that there are a
lot of systems that work, the trick is finding one that you believe in
that you can stick to <G>. Having said that, tweaking a system is
always authorized.
In the past, I have just been trading in the direction of the
intermediate term trend, using long positions only when that trend is
up and short when that trend is down which hasn't happened recently.
I use the DJIA, NYSEI, NASD COMP, RUSSEL 2000, SPX, and OEX for my
market trend channels. The reason I go back in slow is to not rush
back in if the channel is in the process of breaking.
I've been thinking about a tweak that uses the short term up
trend channel within the intermediate term channel more then I am now.
As long as the short term channel is moving up from the bottom of the
intermediate term channel to the top, I'd replace positions as they
are stopped out. Near the top of the intermediate term channel, I'd
slow down on the replacements to one per week. When the short term
channel has turned and is plainly down in the upper half of the
intermediate term channel, I'd build cash with no replacements. If
the short term channel is still heading down, but is near the bottom
of the intermediate term channel, I'd start adding new long positions
at one per week. After the short term channel has clearly turned back
up, I'd add faster and replace as stopped. I'd repeat this cycle as
long as the intermediate term up trend channel holds. When it is
broken to the downside, I'd reverse to a mirror image strategy with
short positions.
I been thinking seriously about this strategy and intend to
implement it with the short term channel clearly turns up or breaks
through the bottom of the intermediate term channel. Of course I'll
continue my current strategy of never risking more then 2% of my
portfolio on any position (usually much less) and always using mental
stops.
Jim
-----Original Message-----
From: HARELSDB@xxxxxxx <HARELSDB@xxxxxxx>
To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Date: Monday, August 17, 1998 1:18 AM
Subject: Re: Weekly Pick (long)
>Jim,
>
>I have noted that you try to add only one position a week when you
move from
>cash to fully invested. With my system, I am either long or short
and if I
>get stopped out during the middle of an intermediate term move (a few
weeks to
>a few months) I don't have good criteria for getting back into the
stock
>market. I would be interested in suggestions from you or others
regarding
>strategies for getting back in or for other systems that would
compliment the
>one I use.
>
>I use a fairly simple momentum based system that has me long when the
market
>is making an intermediate term move up and short on intermediate term
moves
>down. Before I enter long positions, a 13 day moving average of the
34 day
>StochRSI must be below 0.2 and been curving up for at least 3 days.
My buy
>decision is triggered by the crossing of a 14 day RSI above a 28 day
RSI.
>Before I enter short positions, a StochRSI(34,13) must be above 0.8
and been
>curving down for at least 3 days. My sell decision is triggered by
the
>crossing of RSI(14) below RSI(28). Due to the time constraints
imposed upon
>me by a day job, I have not spent any time optimizing or simulating
this
>system. It is, however, generally profitable in the real world.
>
>When I get a buy signal for the market (NYSE Composite) using this
system as
>well as breadth indicators such as the McClellan Summation Index, a
MACD of
>new highs and a MACD of new lows, I run a Metastock Exploration for
this
>system on my list of individual securities. Within a few days on
either side
>of a market buy or sell signal, I get lots of buy or sell signals for
>individual securities. Largely as a result of your weekly pick
posts, I take
>a look at the individual securities and their long, intermediate and
short
>term channels. From this evaluation, I try to pick the four or five
stocks
>that have given me buy or sell signals and that I think will move the
most in
>the direction I desire. My experience with this system has shown
that as time
>elapses from the buy or sell signal on the NYSE, the quantity and
quality of
>the buy and sell signals I receive on individual securities declines.
That is
>to say, I do not get as many signals and the signals that I do get
are not as
>profitable as the signals I get nearer to the signal on the market.
>
>As you can see, adding a position a week would not work well with
this system.
>For it to be profitable, I need to jump in with both feet when I get
a signal
>on the market. What strategies would you suggest for developing a
system that
>adds positions in a more measured way or how would you, or others,
suggest
>getting back into the middle of a intermediate term move after being
stopped
>out.
>
>Thanks for your help.
>
>Dan
>Pocatello, ID USA
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