Momentum Trader Modified

This new test is based on the Momentum Trader script on the old WL4 site. I did modify it extensively as you would expect, not only in its trading philosophy but also in its trading procedures. My primary orientation was to add more pressure to the accumulative functions (go to level 2) and thereby increase overall performance. Naturally, this would require higher accumulative holding functions; pushing the decision surrogate to trade more often and with a higher trade basis subject to available excess equity.

The following graph is taken on the same basis as in the modified version of the Myst’s XDev script:

Modified Momentum Trader sorted losses

The above graph again shows that losses are highly concentrated in just a few issues. In most cases, the underwater stock holdings are still active positions being part of unrealized losses. Almost all holdings in this portfolio have seen red at one time or other. Managing drawdowns is also part of portfolio management.

This time, the average holding period was 589 trading days with a maximum average of 814 and a minimum average of 208. In 11 cases the stop losses were taken in less than 10 trading days. The profit to loss ratio was 14.99:1, which in itself is more than outstanding for this level of trade (over 200,000 positions taken over the portfolio’s life, talk about a need for automation).

The table below summarize the performance metrics and show a 91% hit rate which is also remarkable. The sum of all losses, realized as well as unrealized, amount to less than 1.7% of the total generated profits: an outstanding performance as well. To achieve this level of performance, it was required to almost double the volume of trades compared to the Myst’s XDev modified script. But overall, it does appear to be worthwhile.

Modified Momentum Trader model 0.7 Level 2

As you push for higher performance, you observe that trading volume increases, average profit per trade declines slightly on this increased volume while the sum of all losses represent less and less, percentage wise, of the total profits generated. It is not that you lose on some trades; it is that you win so much more on the added trade volume.

Mind you, all this is done without predicting future price movements, but nonetheless taking advantage of any price swing no matter how it develops. The above table does demonstrate that my trading methods as elaborated in my first paper in 2007 are more than just an interesting concept; they are worthwhile trading methods that can help you gain alpha points that in turn will help you outperform the Buy & Hold strategy and by a really wide margin.

I hesitated a while before deciding to show the above performance results and finally decided to put them up. I’m promoting a concept, a different trading methodology that has great potential as can be seen by the various simulation results presented. Basically I’m promoting a single equation: equation 16 of my first paper. Therefore I should let others see what it can do.

AAPL as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 ADM as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 AGQ as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 AMZN as of 7/22/2011 :: Momentum Trader model 0.7 Level 2

BHH as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 BIDU as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 CCK as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 CF as of 7/22/2011 :: Momentum Trader model 0.7 Level 2

CMG as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 CRDN as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 CSX as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 DBS as of 7/22/2011 :: Momentum Trader model 0.7 Level 2

DDS as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 DIT as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 ERX as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 GLD as of 7/22/2011 :: Momentum Trader model 0.7 Level 2

GTLS as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 IBM as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 IMAX as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 IPGP as of 7/22/2011 :: Momentum Trader model 0.7 Level 2

JNPR as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 NFLX as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 NTES as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 PAAS as of 7/22/2011 :: Momentum Trader model 0.7 Level 2

PANL as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 PCLN as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 SCCO as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 SINA as of 7/22/2011 :: Momentum Trader model 0.7 Level 2

SLV as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 SLW as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 SOHU as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 SRZ as of 7/22/2011 :: Momentum Trader model 0.7 Level 2

TBL as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 TDSC as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 TRMB as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 TRN as of 7/22/2011 :: Momentum Trader model 0.7 Level 2

TSCO as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 TZOO as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 ULTA as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 URI as of 7/22/2011 :: Momentum Trader model 0.7 Level 2

WLK as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 WTW as of 7/22/2011 :: Momentum Trader model 0.7 Level 2 XOP as of 7/22/2011 :: Momentum Trader model 0.7 Level 2


Created on ... July 24, 2011 © Guy R. Fleury. All rights reserved.

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