Scott Carl -- Amateur Trader
I can't stand it when I get beat by the averages. I lose more than they do when they go down, and I gain less than they do when they go up. That's how this whole stupid week has been. I haven't stuck to my plan at all (yes, I've been sidetracked again).
Today I made a measly .45%--mostly because of massive selling in my account yesterday. I just haven't got the knack for balancing the downsides and the upsides. It was rare that I felt that way last year, and maybe it's the market as a whole that isn't quite right. I don't know.
I re-read Trade Your Way to Financial Freedom by Van K. Tharp over the last week. I'm surprised by the amount of information I didn't digest the first time I went through it. Both Trader Mike and Chris Perruna have excellent articles about what they learned from the book.
I really didn't understand the whole concept of risk the first time I read the book. I made sure that I didn't loose more than 1% of my portfolio on any one trade, but I had no measure of expectancy or the value of the risk that I was taking (or making) on each trade.
I went back though the Zweig Relative Strength 5 and the Zacks & Zweig #1 screens to calculate (based on weekly data) what the expectancy of each of those screens were during 2007. I calculated based on a buy on Monday and a sell everything on Friday. Here's the data:
Zack's and Zweig #1 2007
Total Trades=135
Winners=79 (59%)
Losers=56 (41%)
Average Gain=4.0%
Average Loss=3.20%
Expectancy=.32
Zweig Relative Strength 5 2007
Total Trades=244
Winners=139 (57%)
Losers=105 (43%)
Average Gain=5.33%
Average Loss=4.95%
Expectancy=.18
Just looking at those numbers would convince most people that both systems wouldn't even beat the market. Neither one produced even 60% winners. The spread between winners and losers wasn't even one percent. But both beat the market handily. ZZ#1 made 44.64% and Zweig RS 5 made 46.70 without any sort of money management.
I've been really lazy about tracking my trades and I really have no idea the risk (R) I took on each trade. I hope to change that now.
Posts
8 comments:
Hi Scott,
Dio you ave max drqawdown data for the Zack's and Zweig #1 screen?
THanks for posting so muchvaluable information when you write about long term strategies.
Scott,
Have you ever used VectorVest and if so what did you think? It seems a little pricey for what you get.
Hey Scott,
I'm just checking my charts. Are you getting only 4 that are bullish on the MACD? (aro, kai, airm, orcl).
I'm feeling good about a short term bullish sentiment in the market.
Scott,
Ok, I did the MACD a moment ago using daily. Using weekly I get 6 stocks (aro ww ngs amed kai esl).
Which do you use - daily or weekly?
thanks
Matt,
I got WFR KAI AIRM ORCL and ARG. ARO is close, but I didn't count it (even though I'd probably buy it based on its chart). I'm using daily charts.
Anonymous,
I haven't used VectorVest before.
Anonymous,
I haven't figured out a drawdown for ZZ #1 screen.
Hello Scott Carl. I'm another Scott Carl who is into investments. Just thought I'd say hi. I'm based in the Philadelphia area and am currently an advisor who is pursuing a CFA. I've studied a little of the technical side in my day, but am moving towards fundamentals currently. Best regards.
Hello to another Scott Carl. Small world. Do you get called "Carl" all the time like I do?
More often than "Scott", in fact ;)
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