Tuesday, June 17, 2014

jcp: psar-psearch superstar!

liz and jenny of tastytrade mentioned that jcp was one of their better wheel-of-fortune trades, so i ran it through the psar-search optimizer and found these settings that show that jcp was also a superstar for long/short trading by the parabolic-sar method. pictured above is p&l of 165% return on trading capital of $10k deployed in 40 simulated trades over the last year. during that same time buy 'n hold turned $10k into $5k and dollar-cost averaging only lost $700. want the acceleration factor/limit settings i found? come to the psar- psearch page where for a modest fee you can have these parameters for jcp and 9 other equities of your choosing.

Sunday, June 15, 2014

psar trading on apol returns 62%

pictured above is the most recent sim-trading on apol by the parabolic stop and reverse method with parameters assigned by my psar search program. the floating PL shows a 62% return on trading capital by this method on trades simulated by my sdi_psarstgy study over the course of the last year. the simulated trades are each sized to deploy $10K worth of capital and the results do not take into account reinvestment of profits. the lower graph shows the growth of a $10K investment in apol over the same time period of 1 year via the buy 'n hold method and via dollar-cost-averaging (scaling $10K into apol by periodic purchases every 21 trading days) as shown by my sdi_passive study.

Thursday, June 12, 2014

psar psearch wins big on twtr

my psar search examines all 4950 setting combinations of acceleration factor and acceleration limit at a resolution of .01 and spits out the most profitable setting. here's what it found for twtr:
10k traded on twtr  via psar with optimized settings vs. 10k invested via buy 'n hold and dollar cost averaging
passive investing via buy 'n hold turned $10,000 into $8,770. dollar-cost averaging was slightly worse. trading $10,000 via parabolic stop-and-reverse with psar psearch settings made $7,000 and that is without reinvesting profits. now, admittedly, i couldn't have picked these particular psar settings at the ipo but here's twtr from the ipo with the standard aggressive stop managment settings of 1/1 for acceleration factor/limit, resp.
10k traded on twtr via psar with aggressive 1,1 stop settings
a respectable 57% return on trading capital. 

Wednesday, June 11, 2014

psar psearch

i wrote a program that searches for optimal psar input parameters. these input parameters are called acceleration factor and acceleration limit. in my previous post i show one such setting found by the  psar psearch program for amzn. psar psearch evaluates the p&l of every legitimate setting of acceleration factor and acceleration limit at the resolution of .01, almost 5000 combinations, and picks out the most profitable one for an individual equity.

if you are using or contemplating the use of the parabolic stop-and-reverse strategy then you need to use non-default settings for the input parameters otherwise your trades will lose money during choppy periods. 

i'm sensing that perhaps there's a business opportunity in providing psar psearch optimized acceleration parameters so here's the deal: i will provide the current psar psearch acceleration factor/limit parameters for 10 stocks for $10. the optimization is performed looking back on 1 year of daily prices. what you get is perhaps some of the best hind/insight into long/short trading particular stocks and, in as much as the past has continuity with the future, is an excellent guide to trading individual equities. click the buy now button to get started.

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new 7dec2014 - i deliver your psar psearch parameters in a customized version of sdi_psarstgy_nq100. that is to say, you get the nasdaq100 stock optimizations plus your choice of 10 other stocks in a more convenient format. 

Enter 10 stock symbols:

Monday, June 9, 2014

best psar settings on amzn

amzn p&l trading 10k using sdi_psarstgy with acc. factor=.01 and acc. limit=.12
i wrote a program that hunts for good psar settings in specified stocks. unfortunately the program is not the sort of thing that one would implement in thinkscript. i am finding settings that produce these 50% profits in one year quite frequently so every once in a while i will share 1 or 2 of them. however, be forewarned the optimal settings drift over time so a month or two down the line these settings may not look so favorable.

Wednesday, June 4, 2014

thinkscript included: sdi_psarstgy rev. 1.1.0

this release of sdi_psarstgy, a study that simulates trading the parabolic stop-and-reverse indicator, includes an improvement and a bug fix. the improvement is a chart label that reports the win% and the number of trades evaluated. the fix is a correction for trade price when a stock gaps through the psar price. 

here's the picture of this new revision at work:
sdi_psarstgy on dks which gapped below the psar price on earnings and then gapped above the psar on 5/30
previously, when a stock gapped above or below the psar price, sdi_psarstgy would simulate a reversal trade at the psar price. this was incorrect because equities often never trade at the psar price on a gap day. now, when an equity gaps through the psar price the reverse trade is simulated at the open price instead of the psar price.

as always, the updates to scripts are maintained on the original post for the script which you can find here.