Friday, November 30, 2007

Expand your knowledge

Monday, November 26, 2007

Buy signal for Computer Task Group (CTGX)

CTGX got a buy signal by the system. Looking at the weekly chart, we can see the stock is on the verge of breaking a strong resistance around 4.82. The resistance has been broken before during the last weeks but could not hold for too long. The stock had no real movement since the beginning of the year but looking few years back, around 2000 we can see the stock was once around 20 so there is quite a potential here. having said that one cannot say when will this happen.

The MACD indicator is positioned above it's signal line. The Chaikin Money Flow indicate the stock was aggressively bought during the last weeks but then sold in the last two week like most of the stocks during the steep decline of the last two weeks. The bearish behavior which the stock witnessed however, didn't bring it to the initial level prior to the bullish movement and it was only a partially sold.


Buy signal for TriQuint Semiconductor (TQNT)

TQNT got a buy signal by the system. Looking at the weekly chart, we can see the stock broke a very strong resistance around 5.7 which has been tested and a result became a support.

MACD positioned above it's signal line and CMF shows strong buying power.

BTW, I use Twiggs Money Flow as a replacement for CMF. it has the following advantages over CMF:

  1. To solve the problem with gaps, Twiggs Money Flow uses true range, rather than daily Highs minus Lows.
  2. Rather than a simple-moving-average-type formula, Twiggs Money Flow applies exponential smoothing, using the method employed by Welles Wilder for many of his indicators.


Sunday, November 25, 2007

Open positions for November 26

Last week's bearish behavior ended up with two sell signal as  seen in the following table. Looking at the High / Low indicator on the SPX, it seems it is highly oversold and I hope we'll see some bullish behavior this week.

As for the sell signals. I intend to close my positions for CERS and GPX during today's trading day.

Here is the status of my current holdings:

Symbol Entry Date Entry Price Current Price Profit %
ARTG 24/09/2007 3.00 4.13 37.67
INTV 24/09/2007 9.34 9.99 9.67
IDEV 24/09/2007 6.62 7.26 9.67
CERS 28/09/2007 8.9 7.59 -14.72
INFA 28/09/2007 15.72 16.40 4.33
LWSN 16/10/2007 10.15 9.41 -7.29
ANDW 19/10/2007 14.36 14.53 1.18
TYL 19/10/2007 14.08 15.82 12.36
AMSG 26/10/2007 26.68 25.95 -2.74
VGR 05/11/2007 21.55 21.84 1.35
GPX 05/11/2007 10.88 9.77 -10.20
SDIX 13/11/2007 5.24 5.04 -3.74
CTCH 19/11/2007 2.13 2.15 0.94

Friday, November 23, 2007

Reminiscences from a recession

Reading Paul B. Farrell column on MarketWatch and the comments that followed brought up some memories from the last years here in Israel.

It seems most people fear recession and its consequences. As someone who lives in a country which just came out of a rough period caused by a recession I can understand and relate to some of the emotions arise upon hearing the word "recession". As you might have guessed, I live in Israel. I work in the High Tech sector now and have been working as a developer in one of the public universities during the beginning of the recession period.

Following the Intifada back in 2000 (war between Israel and the Palestinians), economic growth had fallen from 8% in 2000 to 0% in 2001. Three years later, on 2004 following a deep recession, the government decided to execute a health plan. Among the steps which has been taken:

  • Cutting monthly salary by 5% for all public workers (myself included) for a period of 2 years. This act was called "Economy encouragement wage".
  • Raising the VAT for a period of one year.
  • Budget cut for all public offices.
  • Job cut in all public offices including government offices, universities, local council...
  • Cutting health care allowance.
  • Cutting national insurance allowance.
  • Major cut in the security budget which you may not know, but here in Israel, due to the regular tension between Israel and its surrounding neighbors, security budget relative to western countries is big.

The predictions of the ministry of finance office talked about a rough period of three to four years which in the end will get us out of the recession and improve the financial state of all sectors.

Those years weren't easy for me and my family. I have lost my job as more than 15% of the working population had. Luckily I was able to find a new job soon enough but there were lot of people which were unemployed for a period longer than a year. A lot of families found themselves under the poverty line and organization who aim to help those in needs sprout all over the country. Many factories and companies were bankrupt and things didn't look too promising.

Looking back, these weren't happy days but I believe they were necessary to bring us to where we are today with an economic growth of 6.6% only after three years.

It's a painful process but at the end of it lies a brighter future for all. I believe recession is cyclical in western economic societies and thus inevitable. All you can do is plan ahead for these times.

Wednesday, November 21, 2007


If you ever asked yourself what does it all mean?

Watch this hilarious video taken from "The Last Laugh" show by John Bird & John Fortune

Test results for my improved system

During the last weeks I have tried to improve the system by fine tuning different parameters I use. One example is to modify the value of the total volume traded in the last 20 days. Previously I have watched stocks that traded with a volume above 1,000,000. I have tried to reduce the number and found that 300,000 resulted in higher profit. The reason I used 1,000,000 in the first place was to make sure the stock is liquid enough. I believe that a stock trading with 300,000 shares in 20 days is still considered liquid.

In the process of tweaking my system, I was able to improve the average profit for 5 years by more than 100 percent. From 345% to 463%.

Here are some statistics regarding the improved system:

Simulation test period: November 9, 2002 - November 11, 2007
Maximum Risk Percent per trade: 1%
One way slippage: 0.2% of the price
I run the simulation on the complete Nasdaq Composite stock list

After running the simulation I moved the raw trades(559) to the Monte Carlo application and used 2000 runs which produced the results below.

Total trades: 559
Average profit: 463.58%
APR: 39.54%
Probability for win 300% profit in 5 years: 72.8%
Probability for win APR of 30%: 55.12%

Here are few screenshots from the Monte Carlo application:



APR Probability
APR Probability  

Sunday, November 18, 2007

Buy signal for November 17, 2007

CTCH got a buy signal. At the moment the MACD is above it's signal although it looks like it is going to cross it on it's way down. The "Twiggs Money Flow" indicator is positioned above zero at 0.18, which shows that money is flowing into the stock.

According to some research I have conducted regarding the MACD value at times of a buy signal, it seems there is no correlation between the two. This means that a positive MACD which crosses it's signal from below just as a buy signal is generated, doesn't improve the chance of the trade to become profitable. Trying to add an MACD rule into my system resulted in fewer trades and lower profit.

A few modification I have made to the system in the last few weeks, improved it's result substantially. I intend to post the results in the following week.

Close signal for CLWT

The stock was closed during the last week with a loss of -4.13%.

Open positions for November 17, 2007

It's been another week where mental endurance was tested to it's extent. The markets experienced high volatility which in the end resulted in 0.59% for the Nasdaq. The Dow, as the Nasdaq, saw great volatility and ended up with 1% gain.

As you can see from the table below the portfolio hasn't suffer greatly from last week and profit/loss shifted from one position to another.

Here is the status of my current holdings:

Symbol Entry Date Entry Price Current Price Profit %
ARTG 24/09/2007 3.00 4.17 39.00
INTV 24/09/2007 9.34 10.15 8.67
IDEV 24/09/2007 6.62 7.39 11.63
CERS 28/09/2007 8.9 8.24 -7.42
INFA 28/09/2007 15.72 16.17 2.86
LWSN 16/10/2007 10.15 9.61 -5.32
ANDW 19/10/2007 14.36 14.62 1.81
TYL 19/10/2007 14.08 15.85 12.57
AMSG 26/10/2007 26.68 26.91 0.86
VGR 05/11/2007 21.55 21.94 2.81
GPX 05/11/2007 10.88 10.04 -7.72
SDIX 13/11/2007 5.24 4.99 -4.70

Stay tuned for next week's update.

Sunday, November 11, 2007

Open positions for 10/11/2007

Here is the status of my current holdings:

Symbol Entry Date Entry Price Current Price Profit %
ARTG 24/09/2007 3.00 4.17 39.00
INTV 24/09/2007 9.34 9.96 6.64
IDEV 24/09/2007 6.62 7.07 6.80
CERS 28/09/2007 8.9 9.06 1.80
INFA 28/09/2007 15.72 16.00 1.78
LWSN 16/10/2007 10.15 10.06 -0.89
ANDW 19/10/2007 14.36 14.74 2.65
TYL 19/10/2007 14.08 15.31 8.74
AMSG 26/10/2007 26.68 26.03 -3.82
VGR 05/11/2007 21.55 21.48 -0.32
GPX 05/11/2007 10.88 10.03 -7.81

Stayed tuned for next week's update.

Monday, November 5, 2007

Buy signals for November 3rd

The scan for the previous week resulted with 2 buy signals:

NTWK which was sold 3 weeks ago due to stop loss signal and gained ~30% since, got a new buy signal. This example demonstrates one of the problems with computerized trading system. For the trained eye, the exits signal was a result of a natural and predicted behavior of the bulls who became restless after a 3 weeks rally which yielded ~70%. As a result the stock went down 10.86% to which the system responded with a stop loss signal. Since I'm bound to follow the system I closed my position. A closer look at the volume for the that week confirmed my analysis as it showed that the volume was much lower than the average volume. This tells me the major trend is still bullish. I will try to find a way to take into consideration the analysis above. This is not as simple as it may seem. This might work for NTWK, but running the modified system on different markets may result in a less attractive system (which is usually the case when you try to generalize a rule).

I was able to fine tune the system so it now ignores signal such as the above.

 VGR got a buy signal. Looking at the Twiggs Money Flow indicator shows the stock is being bought for the last two weeks. The stock is currently on the verge of breaking the resistance of 21.8. I intend to buy this stock during the following trading day.

GPX also got a buy signal and I intend to buy it as well.

Sunday, November 4, 2007

Open positions for November 3rd

Thursday was a real killer. Luckily, no sell signal were executed as Friday came.

A week like the one we saw builds my confidence regarding the system's stability. If it passed a day like Thursday without any sell signal (which means no stock lost more than 10 percent throughout the week) then we're doing fine.

Here is the status of my current holdings:

Symbol Entry Date Entry Price Current Price Profit %
ARTG 24/09/2007 3.00 4.54 51.33
INTV 24/09/2007 9.34 9.61 2.89
IDEV 24/09/2007 6.62 7.55 14.05
CERS 28/09/2007 8.9 9.17 3.03
INFA 28/09/2007 15.72 16.69 6.17
LWSN 16/10/2007 10.15 10.77 6.11
ANDW 19/10/2007 14.36 14.68 2.33
TYL 19/10/2007 14.08 15.58 10.65
AMSG 26/10/07 26.68 25.66 -3.82

Stayed tuned for next week's update.