+511 Club & +80 RS

[Riskslayer]

Hi-

I am a full-time trader living in Sterling, VA.

I am going to start sharing my work with you guys.

I have learned a lot from Billy, Mike Scott, and Pascal over the years. Now, its time to pay it forward.

I spent 100's of hours last year writing code, which is not my specialty, to implement the Effective Volume concepts, as outlined in Pascal's book, in TradeStation (TS) in the application called RadarScreen (RS).

I now trade on Daily and 1-min time frames.. thanks Pascal !

I took STZ from last summer, as pointed out by Pascal, as my model of steady, institutional accumulation.

I compute LEV across 20d's and focus on 2d, 5d, 10d, 15d & 20d sums. If each of these is progressing smoothly higher, i.e. 20d > 15d > 10d > 5d > 2d then that stocks scores the maximum.. My s/w calls that +511, and that is the +511 club... -511 is bad..

Each month I form a list of names that is based on price and volume cuts, in Mar I am looking at about 2400 names. Each weekend, I cull that list into 8 files of about 120 names, and I watch these like a hawk during the trading day. IMO - the very best set-ups in the market are the +511 with IBD RS ratings of +80 or higher.

I propose to share that select list with you guys everyday..

If I do not have feedback that you want me to continue this, then on May 1st .. I will stop posting.

All my best,

Shawn

[Pascal]

Thank you Shawn.

Your work is very interesting and I will keep an eye on these stocks.
Every day could be hard to continue. You might do that maybe twice a week so that the burden is not too heavy.



Pascal

[brrim]

Shawn; Thank you for so generously sharing your list. I popped them into HGSI to see if any of them look ripe for a move this week. REGN caught my attention.
I don't know if you use HGSI so I will explain the 3 gifs.

There is a 17 dma Bollinger Band squeeze or compression of the BB. This view is created by having a 17 dma on the chart with 17P BB varying from 0.5 to 3.29 std dev. A BB squeeze usually precedes significant movement of price. Coming out of the squeeze the initial direction of price frequently can be a head fake in the opposite direction of the real move.

The MMA (multiple moving average) chart has short, intermediate and longer range MAs. The short are green, intermediate blue and longer term red. Convergence of moving averages is similar to compression of a coil. When energy is released it can be powerful. Look at its move in December 2011.

Both of these charts suggest that the REGN spring is set. There is no way to predict price direction, but once unleashed it will probably be strong. I would move this one near the top of the list.

Best regards,
Robert

[brrim]

REGN volume has also quieted down. ADV from 10-50 days varies from 500K-745K. Last 3 days are
369K, 416K, 277K. Another sign of ripeness.
Robert

[Riskslayer]

Hi-

I look through this list to find the very best, and on top of that, IMO this market is on the edge of a sell signal, so I want to be super-picky on names and entries.. this is not Jan 2013 or Fall 2010.. or Spring 2009..

I have been watching REGN for sometime - IMO, tomorrow its probably not the day .. thinking it needs time..

My best pivot ideas for trading tomorrow:

CELG, HW, AEGR & CCOI - not all of these may be in the list I posted, but they were on Th or Fri morning.. (we need to follow these names for a few days..)

Also, I live on my profits and losses, and I am strongly inclined not to trade tomorrow b/c I do not see the market as providing wind at our back.. I determine this by mostly looking at the 5d and 10d up and down volume on $NYA and $COMPQ - and only entering new trades when its all green (I cheat sometimes, e.g. I had a little to FNGN on Fri when things were about like there are right now for ) . Right now, I am about 15% invested..

If the market power trends tomorrow, of course, I am going to go long the best set-ups hard. So, I try not to predict. When I am at my best, I react..

Thanks for responding,

Shawn

[Mike]

Hi-

I look through this list to find the very best, and on top of that, IMO this market is on the edge of a sell signal, so I want to be super-picky on names and entries.. this is not Jan 2013 or Fall 2010.. or Spring 2009..

I have been watching REGN for sometime - IMO, tomorrow its probably not the day .. thinking it needs time..

My best pivot ideas for trading tomorrow:

CELG, HW, AEGR & CCOI - not all of these may be in the list I posted, but they were on Th or Fri morning.. (we need to follow these names for a few days..)

Also, I live on my profits and losses, and I am strongly inclined not to trade tomorrow b/c I do not see the market as providing wind at our back.. I determine this by mostly looking at the 5d and 10d up and down volume on $NYA and $COMPQ - and only entering new trades when its all green (I cheat sometimes, e.g. I had a little to FNGN on Fri when things were about like there are right now for ) . Right now, I am about 15% invested..

If the market power trends tomorrow, of course, I am going to go long the best set-ups hard. So, I try not to predict. When I am at my best, I react..

Thanks for responding,

Shawn

I see REGN as a fifth stage base with three high volume sell off weeks and no high volume up weeks in the base. Bollinger squeezes don't predict the direction of the next move.

[Riskslayer]

Hi-

I am going to post the longer list of +511 names, 114 names for tomorrow.

Along with the culling only the names with RS +80, 41 names for tomorrow.

Take care,

Shawn

[Riskslayer]

Hi-

120 names in the +511 Club for Wed, and 44 that are +80 RS.1777717778

Remember that a TS Plug-In is available from Pascal if you would like to see the LEV, SEV, & TEV w/ TradeStation.

Also, I believe Frank Tiberia is still making TS available at no charge with a few thousand in an account.

I am struggling with replying to some of the private messages, so its easiest for me if you would directly email me at shawn_molodow@hotmail.com

Thanks,

Shawn1777717778

[Riskslayer]

Here are the files:1780217803

[Riskslayer]

178191781817818

[Riskslayer]

Hi-

Here are the files.

Shawn1783017831

[Riskslayer]

Hi-

Here are the names.

Shawn1785617857

[Riskslayer]

Hi-

Lowest number of names in both lists to date.

Take care,

Shawn1787317874

[Riskslayer]

Hi-

1787817879

[Riskslayer]

Hi-

I have consolidated the information into a single .xls. Also, added a tab on -511 given market conditions.17934

Take care,

Shawn

[Riskslayer]

Hi-

Here are the lists.

Shawn17937

[Riskslayer]

Hi-

Just a quick word on how I use this information.

I try to confine my purchases to the RS +90 names (3rd tab) and then only when 5d & 10d Up/Down volume on $COMPQ and $NYA are positive, and I moderate overall exposure using the the MEM techniques outlined by Mike Scott.

The last few days, the RS +90 names have been doing well, so I took several very small position near the close today. My MEM count on $SPX is showing the buy signal still on (whilest $COMPQ is off), and we just about go tall green on the Up/Down Vol.. $COMPQ - when I took my positions, this looked like it was likely to close all green.

I took test positions in AIMC, ETH, GILD, GMCR, GNRC, HES, NPSP, PTEN, SNE, SIG, TMH, TRLA.

If the market continues to improve and these names hold-up, I will add a more at the close tomorrow1795317954.

Take care,

Shawn

[Riskslayer]

Hi-

I am using the +90 RS list as current market leaders, and when they are up, I am feeling buoyant about the market.

From yesterday's note and my test positions, we see

NPSP +7.0%
AIMC +5.4%
TRLA +3.4%
GMCR +3.3%
PTEN +3.0%
GILD +3.0%
SIG +0.9%
SNE +0.8%
TMH +0.6%
GNRC +0.1%
ETH +0.1%

and 1 negative: HES -0.5% .

11 of 12 positive, and 6 of 12 +3.0%.. makes me feel bullish.

Of course, we have an IBD FTD on $COMPQX today as well.

Good luck all,

Shawn

[Pascal]

Hi-

I am using the +90 RS list as current market leaders, and when they are up, I am feeling buoyant about the market.

From yesterday's note and my test positions, we see

NPSP +7.0%
AIMC +5.4%
TRLA +3.4%
GMCR +3.3%
PTEN +3.0%
GILD +3.0%
SIG +0.9%
SNE +0.8%
TMH +0.6%
GNRC +0.1%
ETH +0.1%

and 1 negative: HES -0.5% .

11 of 12 positive, and 6 of 12 +3.0%.. makes me feel bullish.

Of course, we have an IBD FTD on $COMPQX today as well.

Good luck all,

Shawn

Good work Shawn!!


Pascal

[Riskslayer]

Hi-

+511 & 90 RS names held up well today.

Nice call by Pascal on PTEN, and HES was barely down.17985

Take care,

Shawn

[Riskslayer]

Hi-

I have re-ran a search on the MarketSmith database for names > $7.00 and 100K vol. This gave almost 3,000 names. I then delete names that have zero vol in more than 1/2 of their 1-min bars over 50 days - this took the file down to about 2,700 names. The prior file had 2,400 names.

I have been publishing the # of names in the +511 Club category and +80 RS, and accordingly, the numbers will be a little skewed based on starting with about +12% more names than previously. I believe the # is secondary indicator of direction, what's most important is to look at the names and find good entries on the strongest names - RS +90, and the increase in file size may suggested a few more strong names to look at.

Take care,
18001
Shawn

[Riskslayer]

Hi-

Most CANSLIM-style traders suggest that one first and foremost focus on the leaders. Which causes many to ask -which names are the leaders? I use the the +90 names from the +511 Club as my leaders. These names shift some on a day-to-day basis with names coming on and off the list on a particular day, but everyday, I put these 10-20 names into a watch list to see how they perform throughout the day. To me, that is focusing on the leaders and its relatively objective.

Last Friday morning, all the +90 RS Names were Red for most of the morning, and I was concerned and started selling the weaker names and reducing. Around noon on Fri, the market turned to the upside, and I added some back on. By EOD, the +90 names were about equally split between red & green - IMO, this was borderline unacceptable price action from leading names.

Today, all the +90 names opened red (except LIFE) and increased losses throughout the day. In particular, 16 of 20 +90 RS names were down more than 2%, and 8 of 20 were down more than 4%. I view this as very negative price action by the leaders.

I am about 25% long, but prepared for more downside in the days ahead.

Take care,18008

Shawn

[canucck]

Shawn,

Thanks for sharing your analyses.

[Riskslayer]

18024Hi-

Today's results showed good leadership (yesterday's +511 Cub & RS +90):

BLMN 4.83%
RYAAY 2.71%
GILD 2.70%
SNTA 2.57%
TRLA 2.32%
AMGN 2.18%
AIMC 1.94%
ADBE 1.52%
DGI 1.45%
TMH 0.92%
GNRC 0.43%

Shawn

[Riskslayer]

Hi-

All 14 leaders (+511 Club & RS +90) finish negative. Not bullish.

GILD -0.31%
SSI -0.32%
AIMC -0.35%
TMH -0.69%
SNTA -0.80%
ADBE -0.84%
WAG -1.04%
TRLA -1.11%
NWS -1.17%
DGI -1.39%
GNRC -1.59%
EPL -1.91%
BLMN -3.44%
NCS -5.06%


Shawn

18038

[brrim]

Shawn; I really appreciate your posting the lists and the day's results as it really provides insight into the market seeing how a dynamic list of leaders is doing.
Great work and thank you.
Best regards,
Robert

[Riskslayer]

Thanks Robert!

Another poor day for the leaders (+90 RS members of the +511 Club), 9 of 11 were Red:

TSLA 3.41%
EPL 1.32%
CHH -0.11%
EXAM -0.28%
ADBE -0.57%
TMH -1.14%
BLMN -1.16%
RYAAY -1.22%
NWS -1.86%
OSK -2.34%
GILD -2.39%

Shawn

18055

[Pascal]

Shawn,


Great work! Thank you!

How much is your list of leading stocks overlapping that of "Stocktwits 50?"

http://stocktwits50.com/

It might be interesting to have a weekly list of leading stocks and see if this fixed list is doing better or worst than the market, during a fixed period of time such as one week, 10 days or 20 days.

Thanks



Pascal

[Riskslayer]

Hi Pascal,

I have been running screens on the IBD 50 and ST50 for sometime now.

ST50 updates each weekend, I think IBD 50 may also be updated mid-week as well. I compile my merged list on the weekend. For this week, the merged list is 93.. so there were 7 names that over-lapped, I would guess there are between 5-15 names each week that overlap on these lists.

These list themselves change every week, or maybe even twice a week in the case of IBD 50. My list changes each day.

A more static list would be Jerry Samet's index components.. which maybe changes every 3-6 months..

Suggestions from the broader group are welcome.

Let me think about what might be useful for the group, look over any feedback and get back to you,

Shawn

[Riskslayer]

Hi-

Here is how the 7 leaders from the last post did on Fri:

SSI 2.36%
RYAAY 0.69%
ADBE 0.65%
CHH 0.33%
TRLA -0.54%
TMH -0.71%
EPL -2.06%

I do not consider this constructive price action from leaders, even though an equal weighting across the 7 names would have shown a gain.

Also, note the MEM models for both $SPX and $COMPQ have turned off their buy switch last week; so, NO new buys for me.

My exposure is about 6% net long on leaders (GILD, TRLA, LIFE, TSLA, a few others) - These are small test positions that I did not sell when the Buy Switches went Off. I also have another 6% in a few dividend ETF payers (REM, EMLP, CHI) which are less volatile and I am holding for some yield.

I will continue to publish the .xls of +511 Club so we can see which names attract institutional buying and show the best RS during this corrective phase - these leaders usually (but, not always) turn-up a couple of weeks prior to the market bottoming. Thus, we can be best prepared for when the market conditions become favorable.

Shawn

18090

[Riskslayer]

18095Hi-

Here is how the 17 leaders from the last post did today:

4.93 TSLA
2.47 WRLD
2.46 OMX
1.65 GILD
1.42 COR
1.00 THRX
0.93 CHH
0.75 LAMR
0.74 WAG
0.53 EPL
0.52 HEES
-0.02 TM
-0.6 SSI
-0.8 SWFT
-0.82 SPNC
-0.85 DGI
-1.43 AMWD

These leader daily results (# of gainers vs # of losers and gainer % vs loser %) are more typical of an uptrend.

Shawn

18096

[Riskslayer]

Hi-

Today's results for leaders posted yesterday:

EPL 5.57%
RYL 5.24%
ANAC 2.57%
SMP 1.96%
ONXX 1.48%
MTZ 1.44%
TRLA 1.30%
DGI 1.26%
CHH 0.93%
SSI 0.57%
GRFS 0.37%
ATLS 0.33%
PERI -2.61%

Solid leader results here (12 of 13 pos and avg gain +1.57%)

Shawn

18106

[Riskslayer]

Hi-

Here is how the LEV Leaders from yesterday's post fared today:

GPOR = 4.32%
SSI = 1.88%
EPL = 1.79%
MTZ = 1.56%
WAL = -0.55%
RYAAY = -1.38%
NWS = -1.70%
ONXX = -4.22%

4 of 8 winners and overall avg gain for today = +0.21%

This is borderline acceptable performance b/c the indexes were mixed today (IWM up, DIA down, QQQ flat).

I started tracking the avg daily performance of the LEV Leaders on Apr 16, and since then the avg performance across all names and all days is +0.40%.

Shawn

18121

[brrim]

Shawn; Thank you. I love your nightly Market MRI. You've tapped into the pulse of the market.
Best regards,
Robert

[Riskslayer]

Thanks Robert!

Your encouragement lets me know that this work is useful to others.

The LEV Leaders posted last night performed today as follows:

RYL 7.79%
WAGE 3.31%
TSLA 3.11%
SSI 1.11%
WAL 0.69%
AMWD 0.65%
EXAM 0.00%
HEES -0.15%
RAS -0.81%
EPL -1.04%
CBM -1.31%

6 winners, 1 draw and 4 losers; avg gain across 11 names was +1.21%.

The LEV Leaders performed well today, especially when compared to QQQ's @ +0.53% and IWM @ +0.65%; this shows that the LEV Leaders are leading, and I view that as constructive.

The avg next day gains for each day posted in this thread is +0.50% per day

This is the avg of the avg gain % each day; no special weighting to account for more/less names on a particular day - just assumes the whole account is spread across all the names equally each day.

The attached .xls was only able to locate 4 LEV Leaders for tomorrow, I am not sure what, if anything, this pointing at.

Take care,

Shawn18140

PS: I am updating this post b/c someone reached out and shared the following with me re: the long list of +511 Club members:

@ RS 89:

1. FSL
2. LAMR
3. PCS
4. CBRL
5. PFPT
6. AOS

88:
SPF
EXAM

My Opinion: I have noticed some super moves over the last week or so: 1st from the bios's and pharms (GILD, BIIB, CELG, GSK, etc..) - the bio's pulled back over the last couple of days from unsustainable moves, and then a couple of days ago: NFLX, etc.. yesterday.. and then today.. lots of explosive moves (e.g. STMP, NXST, ANGI, NOW, AMBA, etc.) ... so, IMO... the RS bar has been raised considerably in the last week.

[Harry]

HI Shawn,

I appreciate these daily postings also. Haven't personally started using yet, but hope to in the next month or two!

Harry

[Riskslayer]

Hi-

Harry, thanks for the words of encouragement.

The 4 LEV Leaders for Fri performed as follows:

HEES 0.41%
JCOM -0.27%
NOW -2.01%
NNI -2.02%

1 out of 4 was a winner, and avg gain was -0.97%.

The overall avg since Apr 16 is now: +0.33

These are the *official* stats and would usually cause me some concern, but I was also tracking the near miss names that I posted on Th. They performed better:

FSL 7.97%
PFPT 5.16%
SPF 2.93%
AOS 0.90%
PCS -0.50%
CBRL -0.74%
EXAM -0.94%
LAMR -1.08%

These names averaged +1.71%. I am not going to include these #'s in the on-going stat's b/c although they did not meet the LEV Leader definition: they were only at RS +89 and +88 on Th night. But, I do look at this as providing evidence of more constructive forces at work in the market than I would have taken from the 4 LEV Leaders.

There are 12 LEV Leaders in the attached .xls for us to look at on Mon, and I feel that 12 names (vs 4) will provide a more representative view of the market.

Take care,

Shaawn
18152

[Riskslayer]

Hi-

The results from last Fri:

ILMN 2.84%
HEES 2.50%
LNC 1.11%
TM 0.91%
ISIS 0.66%
AMWD 0.27%
BKS 0.16%
RYL -0.40%
FSL -0.70%
ALKS -0.76%
TSN -0.88%
WAGE -1.17%

Constructive price action from the LEV Leaders, 7 of 12 winners, avg again 0.38%, and overall avg for all days 0.34%

Shawn

18157

[Riskslayer]

Hi-

Mon's LEV Leaders performed as follows:

LNKD 2.03%
LNC 1.10%
SBGI 0.41%
ELLI 0.39%
JCOM 0.22%
PERI -0.06%
BKS -0.28%
USNA -0.46%
DGI -0.55%
FSL -0.83%
TMH -1.24%
RJET -2.78%

5 out of 12 winners, and avg gain is -0.17%. Avg gain on all day & names is +0.29%.

Today's price action was not acceptable for LEV Leaders; puts us on-guard for tomorrow.

Take care,

Shawn

18183

[Riskslayer]

Hi:

I guess yesterday's post showing poor performance from LEV Leaders was telegraphing today's market action (despite decent gains on Tu across the indexes and some favorable MEM signals).

Much poorer performance today from yesterday's LEV Leaders:

SBGI 2.87%
PNK 2.36%
THRX -0.27%
SPF -0.88%
CBRL -0.88%
SPRD -1.60%
ILMN -1.36%
DAL -1.75%
MEI -5.42%
FSL -5.43%
NCS -7.48%

2 out of 11 gainers, avg across the 11 was -1.80% (now the overall avg is +0.12%)

I consider this to be clearly negative action, and a warning sign.

Take care,

Shawn

[Riskslayer]

Hi-

Some of you guys have reached out and asked about my routine, set-up, etc..

Here is a quick picture of my command center: 18214

Each of the monitors are 23.6 in Acer or Asus, and cost <$150 USD or less (on Newegg). The supports are from Tyke Supply (< $100). The Ikea desk is old & of zero commercial value. The laptops are an i5 HP (<$600 6/2012) and Asus i3 freebie (check slickdeals.com), and $1400 desktop (ebay vendor) running the 4 monitors with an over-clocked i7 and 32 GB Ram. Everything, was about $3K. TS is free, and I am trying to get off Qcharts which is $150 per month. IB is my primary broker and TS & Fidelity are back-up w/ the Fidelity commission-free ETF's.

BTW - I always have the EV Site up.. I am always hard-staring the 20DMF.

Ok, on to the market: today was good:

TXI 4.08%
DAL 3.86%
HEES 2.87%
WBMD 2.78%
ILMN 1.77%
PPC 1.00%
TSN 0.98%
HHC 0.60%
EXAM 0.37%

9 of 9 winners, and avg gain 2.03% - overall avg: +0.27%

Secret sauce for you guys who have actually read this far... put these LEV leader names on a special watch list, and if they are not the day's tell w/n the first 10-15 min.. then its going to be a down-day (if they are down) and up day (if they are up)18215- 1st one to proof me wrong on this gets a free dinner at Dante's in Great Falls, VA - on me..

All my best,

Shawn

[Riskslayer]

Hi-

LNKD in was a LEV Leader on Fri, that hurt..

HEES 5.48%
CREE 3.36%
DGI 1.64%
LAMR 0.52%
RJET 0.18%
CYH -0.98%
SPF -3.22%
YELP -3.48%
LNKD -13.07%

5 of 9 winners, avg -1.06%

Shawn

18267

[Riskslayer]

Hi-

The results today were:

AXL 4.04%
HEES 3.52%
TLLP 2.43%
ILMN 2.03%
EXH 1.94%
GWRE 1.14%
JCOM 1.01%
CX 0.50%
SSNC -0.05%
ARNA -1.44%
YELP -1.38%
THRX -3.24%

8 of 12 winners, and avg gain of +0.88%

Shawn

18274

[Pascal]

Shawn, since your lists are calculated and published after the close, it could make sense not to include the opening gaps in each stock's calculated return.

Also, wouldn't it be interesting to set a weekly list and see the return for a five days period?
That way, you avoid the day-trading difficulty and you can see whether the stock can be in general held for a few days.


Pascal

[1bullseye]

This is really great stuff and much appreciated!




Shawn, since your lists are calculated and published after the close, it could make sense not to include the opening gaps in each stock's calculated return.

Also, wouldn't it be interesting to set a weekly list and see the return for a five days period?
That way, you avoid the day-trading difficulty and you can see whether the stock can be in general held for a few days.


Pascal

[Riskslayer]

Hi-

Interesting day, another earnings hit to FSLR resulted in a significant decline.

18293

5 of 9 winners, and avg was -0.62% from close-close and -0.782% from open-close.

Shawn


18292

[Riskslayer]

Hi:

18309


5 out of 10 winners, avg gain close-close was +0.56% and open-close gain was +1.16%


Take care,

Shawn

18308

[Riskslayer]

Hi-

18325

I seldom hold a full position through earnings, and occasionally I will only take 1/2 off rather than sell out before earnings, and thereby roll the dice if I really like the name, e.g. I sold 100% of my LNKD before the earnings call (luck, for sure) and I held JCOM small through earnings (luckily, I got out really quickly this AM).

As I watch the earnings season play out and how +511 club names react, the results have been quite interesting. That a name is on the +511 Club the night before an earnings event is a surprise to me .. but, hot names like FSLR & LNKD accomplished this.. I guess Institutional buyers buy into earnings.

On a different matter, it appears to me that there is rotation going on in the market, e.g. after being a leading sector for months, XLU has seen some declines over the last few days. If some of the big pharma names (GSK is my tell) and consumer retail brands (JNJ is my tell) cannot resume their up trends in the next several days, and the biotech sector falters (IBB is my tell); then I think we have more evidence of the rotation. Meanwhile, the market indexes are holding up at recent-year highs, so I see rotation to other names rather than a rotation to cash which equals a downtrend.

At this point, I only have theories about where $$ may be flowing, but am I holding Japan long via TM & DXJ; some tech names (CREE, GOOG, SPLK, QIHU), Divy names (HLLS, EMLP, REM, CHI, RESI) and others (IPG, CBRL). If you look at the LEV charts on the EV site, you will see the silky smooth LEV up trends that I favor, e.g. IPG, CBRL & TM. In order to sort his all out, my analysis starts with the long +511 Club list and I look further down the RS list into the 70's and mid-60's. Alternatively, one could wait until the beneficiaries of the rotation emerge up through the RS rankings.

All my best.

Shawn18324

[Riskslayer]

Hi-

Market is in a super--strong uptrend.

18353

8 of 10 winners, and avg gain is +1.56% (close to close) & 1.81% (open to close).

We want to be thinking about getting up on margin right here

I strongly recommend you guys look to Pascl's real time offering, and take a look at 50d look at TM, CREE. IPG & GOOG (I own all these names, just follow the money) - 50d's shows you what is materiel Vs not.

Pascal has given all u need to make a lot of $$$$$.

Shawn

18357

[Billy]

If you feel this is time to go on margin after 6 consecutive months and 3 consecutive weeks of QE-propelled gains without any meaningful pullback or correction, just when the Fed is beginning to lay the grounds for a “soft” exit out of QE and on an index options expiration week prior to an even more shaky VIX expiration week, I think you are becoming too complacent and long-biased opinioned. You probably didn’t prepare for a plan B just in case the market decides to sell-off suddenly due to a logical change in order flow at such a mature stage of a bull advance.

We don’t know when the sell-off will come but it can happen at any moment from now on and we have to be ready for it. It might even be more nasty than usual precisely because of the current historical high levels of margin debt only seen just before the 2000 and 2007 crashes. Margin calls can create a panicky snowball effect; professionals know it and will seek opportunities to shake out investors exposed on margin.

Now, I admit that topping most often is a slow process and vigilant observers of the market should have second chances to exit near the temporary highs. But that will happen on very volatile and frightening moves, not an ideal time to be on margin.

Go on margin if you really believe it is the best strategy, but please take quickly your leveraged profits off the table while you have them and cut your losses as much faster as you are leveraged!
Just your old chap sentiment here.
Billy

18356

[Riskslayer]

Hi-

Billy, thank you for your note. I will take care, and try to be on guard for a correction. I also see reports that short interest is at high levels. http://www.dailyfx.com/forex/technical/ssi/spx500/2013/05/09/ssi_spx500.html

I have assembled the previous week's LEV Leaders. There are 45 names. I will report back how this list does over the following week.

Take care,

Shawn
18358

[Riskslayer]

Hi-

Here are the results for today:

18364

Shawn

18365

[Riskslayer]

Hi -

18375

Take care,

Shawn

18376

[Riskslayer]

Hi -

18402

Lots of great opportunities out there.

All my best,

Shawn

18403

[Riskslayer]

Hi-
18422

Take care,

Shawn

18423

[Riskslayer]

Hi-

Better than ever...

18453

I hope you guys are participating in this rally.

NAV was a perfect IBD set-up - I was unable to take advantage.. but, that goes in the model books..

Got on ERX

Shawn

18454

[Riskslayer]

Hi,

The win rate was 64% with 29 wins vs 16 losses.

The avg gain was 1.23% with PERI being the largest gain of +17.06% & BKS the greatest loss - 14.20%

18456

Shawn

18457

[Riskslayer]

Hi-

18474

Shawn

18475

[Pascal]

Thank you Shawn.
This is great to see how your work produces returns on a weekly base.


Pascal

[Riskslayer]

Hi-

Thanks Pascal. I hope everyone can use this information to benefit their trading.

18500

Take care,

Shawn

18501

[Riskslayer]

Hi-

Tough day at the office.

Here are the results:

18520

Shawn

18521

FWIW - I am expecting choppy unconfirmed conditions for the next several days.. then, either: 1) confirmed down move , or 2) re-assertion of uptrend w/ a rotation to industrials, e.g PSX or XLI.

If am correct, the stocks you have owned for that last few weeks will probably not continue to go higher.

On Japan, most of the world's hedge funds (and me) are waiting to buy TM, DXJ, etc. on a pull-back. Note the recent several days of gap-higher and then move-higher price moves. Then, today DXJ puts in a shooting star doji - really, its gotta have a more ominous, dreadful candlestick name, but I do not think there is an official westernized name for a shooting start that is also an outside reversal candle on higher volume, but you get my point.. let's be patient on Japan for now.

PSS: Anyone notice that TBT has been on the +511 Club list for several days??? Its low RS, but nice bullish engulfing candle for those who believe interest rates go higher from here (that group of people would include me and anyone else who remembers when a 7% 30-year fixed mortgage was a good deal). Probably shorting the long term debt market, i.e. long TBT, is a reasonable use of our time for the foreseeable future.

[Riskslayer]

Hi-

18542

Take care,

Shawn

18543

[Riskslayer]

Hi-

18571

ok, the gap down was bought.

Shawn
18558

[Riskslayer]

Hi-

The LEV Leader Index is comprised of the previous weeks RS +90 names that were in the +511 Club in the previous 5d's. So, this week's results are for the names that were LEV Leaders from May 13-17, and their performance is tracked over the next week, May 17 to May 24 close.

This last week the LEV Leaders showed significant avg losses of -2.11% and the win rate was only 24% with 14 winners against 45 losers. I take this to mean that the leading stocks have issued a warning.

18572

Take care,

Shawn

PS: these 2 .xls files are the for this last week and for the coming week, if you would like to track this index on your own.

1857318574

[Riskslayer]

Hi-

18578

Shawn

18579

[Riskslayer]

Hi-

Continued weakness in the leaders.

18597

Shawn

18601

[Riskslayer]

Hi-

Pretty good results from the LEV Leaders today:

18622

Thanks,

Shawn

18623

[Riskslayer]

Hi-

Here are the weekly results:

18643

Take care,

Shawn

Here are the LEV Leaders for May 31 - Jun 7

18646

[Riskslayer]

Hi-

Here are the results from Fri, May 31, 2013:

18647

Take care,

Shawn

18648

[Riskslayer]

Hi-

Interesting day with many high RS, momentum names taking heavy losses, especially early, e.g. TSLA

18654

Take care,

Shawn

18655

[jowillis]

Is there a explanation of the +511 Club somewhere?

Thanks,

Jim



Hi-

Interesting day with many high RS, momentum names taking heavy losses, especially early, e.g. TSLA

18654

Take care,

Shawn

18655

[Riskslayer]

Hi-

The +511 Club is a screen of about 2700 names that is done each night to find the names that show steady upward progress of Large Effective Volume (LEV) over the last 20d. This is believed to be an expression of steady Institutional accumulation in these names.

+511 is the highest number the screening algo's applies to names that show increasing LEV at 2d, 5d, 10d, 15 & 20d. The algo assigns other numbers to different LEV configurations, .e.g -511 shows decreasing LEV at each of these points. This screen saves one the time of manually looking at 2700 names, but some of the +511 names show more *jagged* LEV than others, and therefore, I would suggest that you look at the most promising names in the "RT Effective Volume" section of this site to confirm the smoothness of the LEV uptrend.

The +511 group of names is also further screened each night for IBD RS, and the names above +80 and +90 are called out separately in different tabs in the attached .xls. I believe the +90 names represent leadership in the market, and I call them LEV Leaders and present results for these names over 1 week and next day.

Let me know if you have additional Q's.

Take care,

Shawn

PS: In my personal trading, when trading the long side of the market +80% of all the long positions are from the +511 club list, and mainly the LEV Leaders

[Riskslayer]

Hi-

18671

Shawn

18672

[Riskslayer]

Hi:

Another way I use this list, is as a leadership list. Leaders usually signal market action in advance. Note that the results here started being non-positive around Mid-May - to me that was a warning. I am now 98% cash (and the remainder is short TLT and IWM, similar to Pascal's macro ideas) and have been so for several days through the market chop. Volatility is growing, be on guard.

When this list turns positive on a consistent basis, then we can look to move out on the long side. Also, note the number of names is low - the # on the list is approaching the mid-April lows.

Last comment: We are tracking Institutional accumulation here; that is not the same thing as names that will for sure advance. Bear markets take all names down, they eventually get to every name, notwithstanding whether Institutions are buying them or no.. Institutions will buy all the way to the bottom... they must buy.. we do not have to.

18695

Take care,

Shawn

18696

[Riskslayer]

Hi-

18700

Shawn

18701

[Riskslayer]

Hi-

This index tracks the returns for the LEV Leaders from the previous week. So, the LEV Leaders posted for May 28-31 are compiled into one list and tracked over the following week, i.e. Jun 3 - 7.

18711

Shawn

For next week, the LEV Leader Index will track these names which were LEV Leaders Jun 3-7:

18712

[Riskslayer]

Hi-

Results from Fri:

18713

Shawn

For Mon:

18714

[Riskslayer]

Hi:

18731

Shawn

18732

[canucck]

Hi,

I was curious if you filter out lower volume stocks? If so, what volume do you use for filtering.

Thanks for posting your updates.

[Riskslayer]

Hi-

When the 2700 name were assembled a $7.00 price and 100K avg volume (over 50d's) was used as a cut-off threshold.

In addition, if more than 40% of the 1-min time intervals for a given name do not show volume, then these names create an error in the software I run, and they are excluded for that day.

I hope that helps,

Shawn

[canucck]

Yes, thank you.


Hi-

When the 2700 name were assembled a $7.00 price and 100K avg volume (over 50d's) was used as a cut-off threshold.

In addition, if more than 40% of the 1-min time intervals for a given name do not show volume, then these names create an error in the software I run, and they are excluded for that day.

I hope that helps,

Shawn

[Riskslayer]

Hi-

18761

Shawn

18762

[Riskslayer]

Hi-

18801

Shawn

18802

[Riskslayer]

Hi-

Every LEV Leader was positive today, that last happened Apr 16. In addition to that, all of the +80 RS names (all 33) were positive today. Here are the +90 names.

18807

Shawn

18808

[Riskslayer]

Hi -

18838

Shawn

18839

[Riskslayer]

Hi-

18840

Shawn

For next week, we are watching:

18841

[Pascal]

Hi-

18840

Shawn

For next week, we are watching:

18841

Shawn, -0.57% in a week when the S&P500 lost 1.01% is good.
Just for your reference, below is a table of the results of my own stocks picking method when the 20DMF is in a SHORT mode.

You can see on the first column that LONG SPY trades during the 20DMF Short signals period would have generated losses of 80.3%, while LONG trades on the best EV picks would have generated a loss of more than 100%. This means that a method that produces better return than a reference such as SPY even during downturns is a pretty good stock picking method.

I wish that you could back-test your method for the past, but it is important anyway to keep track week after week of the method's return compared to a benchmark.

You can also see that shorting carefully selected stocks during a 20DMF short signal would not have generated a better return that simply buying SDS. This is something to carefully weight when investing: it is worthy to invest much time/energy into stocks picking when a double leveraged ETF will do better with less work?

My back-tests have shown that in a 20DMF short signal, it is better to buy SDS, but in a long 20DMF signal, stock picking is working better than SSO (double S&P500 long ETF.)

Anyway, please continue the good work and you might try to reduce the number of stocks you watch every week.




Pascal

18850

[Riskslayer]

Hi-

We can see that Avg gains from last Fri's close to today's close were positive; whilest, from the open today to close, the Avg was negative.

18864

Shawn

18863

[Riskslayer]

Hi-

Here are the results for today:

18874

Shawn

Tomorrow's list:

18875

[Riskslayer]

Hi-

18891

Shawn

18892

[Riskslayer]

Hi-

86 Names in -511 Club vs 76 Names in +511 Club, that cannot be bullish:

18907

Shawn

For tomorrow:

18908

[Riskslayer]

Hi-

18922

Shawn

The LEV Leaders from last week will be tracked in the coming week for performance.

18923

[Riskslayer]

Hi-

I am taking this week off and will return the next week.

Take care,

Shawn

[Riskslayer]

Hi-

Picking up the process again.

Here are the names for today.

Shawn

19003

[Riskslayer]

Hi-

+511's names outnumber -511 names (62 vs 32); so heading in the right direction.

Today's results for the LEV Leaders:

19009

Here are the names for tomorrow to track:

19010

Shawn

[Riskslayer]

Hi-

Today's results are:

19024

That files for tomorrow:

19025

Take care,

Shawn

[canucck]

Hi,

Can you explain why some stocks are grouped separately and shaded yellow on the 511 tab, please?

Thanks again for sharing and have a great 4th of July!

[Riskslayer]

Hi-

I run about 9 files with a a few hundred names after the close in what is about an hour long process.

Sometimes I am multi-tasking on other things, so to keep organized I shade in yellow the names that came from one of the files and then not shade the next for organization.

On the next tabs, the coloring separates the 80-90 RS and 90-99 RS which I code.

Take care,

Shawn

[Riskslayer]

Hi-

Happy 4th of July to those that celebrate that day!

19033

For Fri:

19034

Shawn

[Riskslayer]

Hi:

Here are the results from Fri:

19050

Interesting (and encouraging) to see Pascal's GNW (called out in Fri's pre-market comment) at the top of the LEV Leader list and up +3.61% on Fri (Pascal's other name was PRU which was up + 2.38%, not bad..).

I cannot wait for Pascal to start publishing that list of leaders that him and Billy have developed.

Take care,

Shawn

19051

[Riskslayer]

Hi-

Here are the result from Tu:

19076

For Wed trading we have:

19077

Take care,

Shawn

[Riskslayer]

Hi-

Here are the results for today.

19092

And, for tomorrow,

19093

Take care,

Shawn

[Riskslayer]

Hi-

I was 71% long-invested coming into day; and I am now about 75% (as can be seen below in the close-close vs open-close #'s'; today's gains were primarily on the morning gap and the market could not be day traded for great profit this Th)

Extra commentary: biotech, M&A (due to rising interest rates) & solars.

I have 20% of my accts in FBIOX (biotech) and GABAX (Gabelli is excellent at M&A catalysts).. M&A is on the rise b/c CEO's are like home buyers, CEO's are looking to buy companies before interest rates get back to normal. I do NOT own home builders or related.

On Solar, no good ETF or Mutual Fund vehicles I know of .. so, I own SCTY and should own ECTY (+511 names both). Smart people I know tell me to watch this space (I do try to be cautious with Chinese companies).

LNKD seems to be the most important large cap growth story to own for mutual fund managers (price & volume today says this). I have a similarly sized position in GOOG, although I believe LNKD will be higher (%-wise) by end-of-year.

TSLA, of course, is this year's AAPL - its a must own... and I have stock and Jan 2014 calls..

I have a few other individual biotech names in my portfolio b/c they are just getting it done.. THRX is the biggest individual biotech I own and that is b/c it has been a consistent LEV player on the +511 list.

SSNC was on +511 list for many days, and is a larger position of mine which I entered based on +511 status last week.. again, SSNC is getting it done without worry.

Here are today's specific results:

19106

For Fri:

19107

Take care,

Shawn

[Riskslayer]

Hi

19146

For Mon:

19147

Shawn

[Riskslayer]

Hi-

19174

For Tu:

19175

All my best,

Shawn

[Riskslayer]

Results from Tu, Jul 16:

19186

For Wed, Jul 17:

19187

Shawn

[Riskslayer]

Hi-

Better day than yesterday:

19189

For Th, Jul 18:

19190

Shawn

[Riskslayer]

The results for Th, Jul 18:

19225

For Fri, Jul 19:

19226

Shawn

[Riskslayer]

Here are the results from Fri (unfortunately, I am still not blindly following these names in my trading);

19227

For Mon, Jul 22:

19228

Have a Great Weekend Everyone,

Shawn

[Harry]

Hi Shawn,

Thanks again for keeping up with these posts - very kind. I better get off my butt and start following also!

Quick question, can you explain how you narrowed down Thursday's list? When I open the list posted Thursday night for Friday, I see the following 10 names that look to have a RS 90 (above 89 and colored in light orange):

AEGR
PPC
TA
TUES
HWAY
NBIX
BWS
ACM
DY
HERO

Yet the results you posted for Friday list only 6 of the above? How did you narrow it down? What am I missing?

Thanks,
Harry

[Riskslayer]

Here are the results from Fri:

19229

Shawn

[Riskslayer]

Hi-

Results from Mon:

19239

For Tu, Jul 23:

19240

Take care,

Shawn

[Riskslayer]

For Tu:

19263

For Wed:

19264

Shawn

[Riskslayer]

Hi:

For Wed the results were:

19284

For Th:

19285

Shawn

[Riskslayer]

Results for Th:

19316

For Fri:

19317

Shawn

[Riskslayer]

Results from Fri:

19336

For Mon:

19337

Shawn

[Riskslayer]

Hi-

Results from Mon:

19351

For Tu:

19352

Shawn

[Riskslayer]

Hi:

For Tu, the results are:

19375

For Wed, we are looking at the RS +90 name on the 2nd tab:

19376

Shawn

[Harry]

Thanks Shawn! Do the bold, underlines symbols have any additional significance?

[Riskslayer]

Hi Harry,

Those are names that I am personally interested in; not necessarily buy recommendations though

Take care,

Shawn

[Harry]

Thanks Shawn! Appreciate the postings!

[Riskslayer]

Hi-

Results for Wed (BGFV - bad earnings hurt the avg, a lot):

19377

For Th:

19378

Shawn

[Riskslayer]

Hi:

Results for Th:

19394

For Fri:

19395

Shawn

[Riskslayer]

Hi:

Here are the results for Fri:

19408

For Mon:

19409

Shawn

PS: the +511 methodology looks at 20d of the LEV, and accordingly, I am going to use 3-mon RS ranking for LEV Leaders rather than regular RS which is a 6-month measure.

[Riskslayer]

Hi:

For Mon the results were:

19423

For Tu, we are looking at:

19424

Shawn

[Riskslayer]

Hi:

Results for Tu:

19432

For Wed:

19433

Shawn

[Riskslayer]

Hi-

Results from Wed:

19450

For Th:

19451

Shawn

[Riskslayer]

Hi-

I missed the results from last Fri (summer time confusion).

Here are the names I am tracking for today. Mon.

19483

Shawn

[manucastle]

Hi-

I missed the results from last Fri (summer time confusion).

Here are the names I am tracking for today. Mon.

19483

Shawn

Shawn,

Do you have access to the weekly IBD50 constituents. ?

Thanks in advance.

Trev

[Riskslayer]

Hi Trev,

Yes, I have access to the IBD 50.

Shawn

[Riskslayer]

Hi:

Here are the Mon results:

19486

For Tu:

19487

Shawn

[manucastle]

Hi Trev,

Yes, I have access to the IBD 50.

Shawn

I appreciate your very valuable input and the amount of work you do but would it be possible to show a list of the IBD50 once a week ?

Thanks in advance.

Trev

[Pascal]

I appreciate your very valuable input and the amount of work you do but would it be possible to show a list of the IBD50 once a week ?

Thanks in advance.

Trev

Trev,


I am sorry, but IBD's list is proprietary to IBD and I do not believe that Shawn has been allowed by IBD to publish it.



Pascal

[Riskslayer]

Hi:

For Tu the results are:

19500

For Wed we are looking at:

19499

Shawn

[Riskslayer]

Hi-

For Wed, Aug 14, the results were:

19513

For Th, Aug 15, we are tracking:

19514

Shawn

[Harry]

Shawn,

Great work as always. Have you thought about a way to parse down the list or identify the most profitable to avoid lots of commissions?

Harry

[manucastle]

Hi-

For Wed, Aug 14, the results were:

19513

For Th, Aug 15, we are tracking:

19514

Shawn

Hi Shawn,

Thanks for your excellent work which I am following with interest !

A couple of questions please :-

1. Have you generally found that the recent quarterly results have had positive or negative impact for the watchlist companies ? Would you tend to hold through results announcements ?

2. Is the holding period lengthening or shortening recently ?


Thanks in advance.

Trev

[Riskslayer]

Hi Trev,

I have not carefully studied the relationship b/n ER's and LEV Leader names, but I have been somewhat surprised at how often LEV Leader names show up on the list just before ER's.

My sense from posting the #'s each night is that there is a bias towards more positive moves vs negatives moves the trading day after ER's for the LEV Leaders, but the success rate is certainly not 100% or even 90%, for sure..

The vast majority of the +10% gainers and -10% losers on the results I have posted during the last few weeks have been due to ER's. Something I will track next earnings cycle b/c until now I had assumed that a stock's LEV would taper off prior to ER's, i.e. Institutions would slow buying into ER's.

On hold periods, I think its been difficult to hold swing trades on individual names for more than a couple of weeks for me, and certainly, I have not held anything for more than 3 weeks. Since the May 22 highs, gains of more than 15% have been rare. e.g. we are looking at the MEM model probably going on a zero exposure today and the 20d MF is on a sell as of last night's close.

From the Jul 11 FTD until yesterday, Aug 14 .... there have been 25 trading days.. and, now we are looking at being in cash or short.. so, IMO, there has not been a long enough period of healthy tailwinds for swing traders to hold as long as I would like ..

I hope that helps you understand my impressions,

Shawn

[manucastle]

Hi Trev,

I have not carefully studied the relationship b/n ER's and LEV Leader names, but I have been somewhat surprised at how often LEV Leader names show up on the list just before ER's.

My sense from posting the #'s each night is that there is a bias towards more positive moves vs negatives moves the trading day after ER's for the LEV Leaders, but the success rate is certainly not 100% or even 90%, for sure..

The vast majority of the +10% gainers and -10% losers on the results I have posted during the last few weeks have been due to ER's. Something I will track next earnings cycle b/c until now I had assumed that a stock's LEV would taper off prior to ER's, i.e. Institutions would slow buying into ER's.

On hold periods, I think its been difficult to hold swing trades on individual names for more than a couple of weeks for me, and certainly, I have not held anything for more than 3 weeks. Since the May 22 highs, gains of more than 15% have been rare. e.g. we are looking at the MEM model probably going on a zero exposure today and the 20d MF is on a sell as of last night's close.

From the Jul 11 FTD until yesterday, Aug 14 .... there have been 25 trading days.. and, now we are looking at being in cash or short.. so, IMO, there has not been a long enough period of healthy tailwinds for swing traders to hold as long as I would like ..

I hope that helps you understand my impressions,

Shawn

I find it a fascinating subject - if a stock is performing well just before earnings, does it generally figure that it will continue in the same direction after the results ? Is the prior performance a good indication of better than expected results.


On average do more strong stocks continue upwards after the results than downwards ?

I would imagine that the current general market direction will affect the answer.

Has anybody managed to do a long term test of this ? Any long term investors have actual trading evidence one way or the other ?

Trev

[Riskslayer]

Hi-

Results for Th:

19538

For Fri:

19539

Take care,

Shawn

[Riskslayer]

Hi:

Fri's results:

19565

For Mon, we are tracking:

19566

Shawn

[Riskslayer]

Hi:

Results for Mon, Aug 19, 2013:

19570

For Tu, Aug 20, 2013:

19571

Shawn

[Harry]

Shawn,

I may be wrong if I ran the calculations, but surprised that Open-Close returns have been better than Close-Close. I would have guessed the other way around. Good news for those that want to follow.

Regards,
Harry

[Riskslayer]

Hi Harry,

In general, you are correct when viewed on a month by month basis.

I have gone through the data published in this thread from May 7 to Aug 14. I did not publish certain days here when I was out on vacation or had other matters, so I have excluded SPY data on those dates too. I will update these stats and post at the end of Aug.

Overall from May 7 to Aug 14: Open-to-Close +10.11% vs Close-to-Close +13.57% vs SPY +4.48%.

For May 7-31 stub period, Open-to-Close +1.60% vs Close-to-Close -0.89% vs SPY +0.99%

For Jun, Open-to-Close -0.56% vs Close-to-Close -0.64% vs SPY -1.46%

For Jul, Open-to-Close +7.30% vs Close-to-Close +13.57% vs SPY +5.01%

For Aug 1-14 stub period, Open-to-Close +1.85% vs Close-to-Close +1.45% vs SPY -0.06%

May 7 to Aug 14 has included a pretty decent 8% pullback from May 22 to Jun 24, and a 10% V-shaped rally from Jun 24 to Aug 2, and Q2 earnings.. So, the sample size has been small, but some nice events have occurred during the period.

I have not done a careful study yet, but much of the Jul out-performance by Close-to-Close appears to be due to LEV Leaders being the *on average* benefactor of earnings surprises which express themselves primarily as earnings gaps which the Open-to-Close did not benefit from as much.

I would also note that Pascal has done some back testing and said that this method works best when the market is on an overall buy signal and not too over-bought.

It makes sense to me that when the 20d MF is on a sell signal (as it is now), IBD is in market correction (as it is now), etc. this methodology will likely not give positive returns and may not even out-perform the SPY since the LEV Leaders are usually high beta names.

More forward-testing data is needed to build our confidence in this work, so I will continue publishing the data.

Take care,

Shawn

[Harry]

Wow Shawn, quite a response! Thank you for the detailed information.

[Riskslayer]

Hi-

20d MF is on a sell, I am 100% cash, but we continue the work...

19607

For Wed,


19608



Shawn

[Harry]

Good evening Shawn,

I don't believe AAPL closed positive O-C today?

Harry

[Riskslayer]

Hi Harry,

Thanks for helping with the QA..

The results did not look right to me this morning, because the C-2-C always goes from most positive to most negative, and when I looked this am, that was not the case.. Had to update the spread sheet.

Thanks,

Shawn

[Riskslayer]

Hi-

I am going to try and report results based on a 5d rolling window. I assume an equal amount is invested each day over the last 5 days in the LEV Leader groups, e.g. $10K per day is bot on the open and the names from Aug 15 would be sold on the close today. Under these assumptions, the overall amount in the market would be about $50K at a time. This is s strategy that reduces the slippage losses due to commissions and unfavorable bid/asks which can occur on the thinner names. I am going to paper trade this strategy at Interactive Brokers to get a better sense of possible real-world returns.

The 5d rolling results are summarized at the bottom of .png file and the overall file is attached below.

Results from Wed. Aug 21, 2013:

19609

Names for Tracking on Th, Aug 22, 2013:

19610

Here is the spreadsheet for the 5d rolling results:

19611

I am traveling tomorrow, but will do my best to keep up with the study here.

Take care,

Shawn

[Riskslayer]

Hi-

Results for Th:

19634

For Fri:
19635

5d rolling:

19636

Shawn

[Riskslayer]

Hi-

Results for Fri, Aug 23, 2013:

19640

For Mon, Aug 26, 2013:

19641

Rolling 5d file:

19642

Shawn

[Riskslayer]

Hi:

some small corrections made (Aug 27, 2013)

Results for Mon, Aug 26, 2013:

19686

For Tu, Aug 27, 2013:

19687

5d rolling data:

19688

Shawn

[Riskslayer]

Hi:

Results for Tu, Aug 27, 2013:

19689

For Wed, Aug 28, 2013

19690

Rolling 5d data:

19691

Shawn

[Riskslayer]

Hi-

First of all, I would like to thank Pascal for letting me post here.

Second of all, I have noticed that running a 5d rolling program on the +90 RS (3 month measure) gives way too many names to trade....

So, I am cutting back to something I can trade. I am going to take the top +95 RS (3 month) names, but not more than 4 each day and hold for 5d's. To resolve ties on who's in/out.. I am going to take the highest IBD Composite score to decide.

At heart, I am an academic, but I trade for my living and we need to be practical, so we buy @ market 9:35 am (why? let the bid vs ask settle) and sell @ market 3:40 pm ET (why? leave the party b4 the day traders on these high beta names). This will be a success if we don't get screwed.. input welcome on this..

The very recent cumulative results from Aug 21:
SPY -01.03%
regular method +0.58%
all RS (3 month) +95 +1.58%
cutting off to < 4 names +1.93%.

Shawn

PS: Harry, can you watch this and QA my posts? much thanks...

[Pascal]

Shawn,

This has been a good experience.
It is important to limit yourself to a few names.
This selection method will work fine as far as you have the market direction right.
Believe me, I back-tested it. I also back-tested the IBD composite without EV.
You need a market direction model for stocks picking to work.



Pascal

[Riskslayer]

Pascal,

You are completely right..

I am 100% cash personally...

For now, this work is totally academic (on the long side)

Shawn

[Pascal]

Pascal,

You are completely right..

I am 100% cash personally...

For now, this work is totally academic (on the long side)

Shawn

I am still short, but not a large position.
I feel that assistant traders are in charge now and mainly day-trading.
When the big boys will be back after Labor day, they might want to shake the tree to replenish on the cheap.
There is enough uncertainty now to trigger a large down move (large is between 3% and 5%).


Pascal

[Harry]

PS: Harry, can you watch this and QA my posts? much thanks...

Shawn - I will do my best!

Harry

[Riskslayer]

Hi-

Results from Th, Aug 29, 2013:

19740

For Fri, Aug 30, 2013:

19741

5d rolling data:

19742

Shawn

[Riskslayer]

Hi-

Results from Fri, Aug 30, 2013:

19748

For Tu, Sep 3, 2013:

19752

5d rolling data:

19750

Shawn

[Riskslayer]

Results for Tu, Sep 3:

19785

Only 3 names were +95 RS Wed, Sep 4 and they are in blue at the top, i.e. Z, BBY, NFLX

Shawn

[Riskslayer]

Hi-

19800

Shawn

[Riskslayer]

19832

Shawn

[Riskslayer]

Hi-

19853

Shawn

[Riskslayer]

Hi:

For Tu, Sep 10 the results were:

19871

Shawn

[Riskslayer]

Hi:

Results for Wed, Sep 11, 2013:

19886

Shawn

[Riskslayer]

Hi-

Results for Th, Sep 12, 2013:

19908

Shawn

[Riskslayer]

Hi

For Fri, Sep 13 the results are:

19910

Shawn

[Riskslayer]

Hi-

I have noticed a more bearish character in the LEV Leaders since about the middle of last week, the overall market seems to be holding up pretty well, so maybe its just a rotation and/or leadership rest.

Results for Mon, Sep 16, 2013:

19937

Shawn

[Riskslayer]

Hi:

Results for Tu, Sep 17:

19948

Shawn

[Riskslayer]

Hi-

Results for Wed, Sep 18:

19965

I am not trading these names mechanically, but it was a surprise and noteworthy that a Chinese coal company made the list ...again..

Shawn

[Riskslayer]

Hi-

Here are the results for Th, Sep 19:

19977

Shawn

[Riskslayer]

Hi-

Here are the results from Fri, Sep 20:

19982

Take care,

Shawn

[Riskslayer]

Hi-

Here are the results for Mon, Sep 23, 2013:

There were no names that made the +95 RS cut-off.. I am not sure what that means.. possibly rotation or a pause?

20032


Take care,

Shawn

[Riskslayer]

Hi-

Here are the results for Tu, Sep 24.

Only 1 name, SWY, made the +95 cut-off

20053

Shawn

[Pascal]

Selection is sometimes difficult.
If you are too restrictive, then you end up with too few candidates to be able to operate a good selection.

The fact that there are few long candidates could indicate that funds are not buying leaders for now.
What I observed in the past days however is that the number of shorts candidates is decreasing, which could mean the opposite: funds are not shorting!

I back tested the number of possible candidates related to the average returns but could not find a clear correlation.
What I however found is that when you try to get for example 10 positions, if your selection is too strict, you often end up with being under invested. This means that you miss some of the up/down side.

I hence prefer a larger selection coupled to a system that only crops the five or ten best candidates... or I operate a manual selection, which is my preference, because I like to feel more clever than a computer (in hindsight it is seldom the case.)


Pascal

[manucastle]

Selection is sometimes difficult.
If you are too restrictive, then you end up with too few candidates to be able to operate a good selection.

The fact that there are few long candidates could indicate that funds are not buying leaders for now.
What I observed in the past days however is that the number of shorts candidates is decreasing, which could mean the opposite: funds are not shorting!

I back tested the number of possible candidates related to the average returns but could not find a clear correlation.
What I however found is that when you try to get for example 10 positions, if your selection is too strict, you often end up with being under invested. This means that you miss some of the up/down side.

I hence prefer a larger selection coupled to a system that only crops the five or ten best candidates... or I operate a manual selection, which is my preference, because I like to feel more clever than a computer (in hindsight it is seldom the case.)


Pascal

I have about 140 stocks to choose from. Choices from several disciplines - value, mechanical and momentum but it sure takes a lot of work !

Trev

[Riskslayer]

Hi-

We see another single name for today BCEI.

The stats being computed here are based on adding a maximum of 4 new names each day near the open, and selling the oldest 4 names near the close. The further assumptions for computing the Avg's, is that each day, 20% of the acct is invested in the new names, no matter what the number of names. This results in a glitch when we have zero names, and we are running only at 80% invested for that particular day, but this has only happened once, so for now I am ignoring that.

Note, that even though this program has only added 2 new positions in the last 3d, there are still 10 names in the portfolio for today. The maximum number of names in the portfolio would be 20, but this would be unusual b/c there are often repeats, like QIHU and TSLA for today.

My sense is that this program/algo ranges between 10-18 names on most day, and that 15-16 names is about the daily avg. This has not been back-tested, etc. and perhaps there are more optimal approaches, but this number of names is reasonable from an implementation perspective and is somewhat diversified from a risk management viewpt.

Results for Wed, Sep 25:

20058

Shawn

[Riskslayer]

Hi-

For Fri, Sep 27:

20066

Have a great weeekend,

Shawn

[Riskslayer]

Hi-

I think I missed this post.

For Th, Sep 26 the results were:

20067

Shawn

[Riskslayer]

Hi-

Here are the monthly and total result since I started May 7. This is a summary of the data published in this thread.

Total returns from close-to-close is +21.4% & open-to-close +15.5% vs SPY close-to-close +4.9%

The end of month (EOM) data is called out in yellow.. note the LEV Leaders generally outperformed SPY each month.

20069

No accommodation is made for market direction, i.e. the algo is always running. I adjusted for the Sep 20 SPY dividend.

Shawn

ps: close-to-close appears to outperform open-to-close, but we will continue to monitor. Note, a rolling 5d portfolio that holds 80% of the portfolio overnight would likely capture most of the close-to-close benefit, if there is one.

[Riskslayer]

Hi-

Results for Mon, Sep 30, 2013:

20098

Shawn

PS: there were 8 unique names in the portfolio for Mon, Sep 30 - this is the lowest I have noted so far..

[Riskslayer]

Hi-

Results for Tu, Oct 1, 2013:

20124

Shawn

[Riskslayer]

Hi-

Results for Wed, Oct 2, 2013:

20153

Shawn

[Riskslayer]

Hi-

Results for Th, Oct 3, 2013

20196

Shawn

[Riskslayer]

Hi-

Results for Fri, Oct 4, 2013

LCI -14% on its secondary announcement was a major drag on performance, but LEV Leaders still finished well above the major ETF benchmarks on Fri.

20206

Take care,

Shawn

[Riskslayer]

Hi-

20296

Take care,

Shawn

[Riskslayer]

Hi-

20d MF is on a Sell Signal.

In the future, I will publish data that assumes that during Sell or Cash signals that this model goes to cash and compare those results to continue to trade these names in adverse market conditions. In this way, we can measure the comparative advantage of sitting out general market downtrends.

The results for Wed, Oct 9, 2013:

20315

Shawn

[Riskslayer]

Hi-

Performance for Th, Oct 10, 2013 (20d MF is on a short signal):

20336

BZ and MOLX were removed b/c they were acquired. I try to avoid merger targets in the LEV Leaders b/c their price most usually do not move up or down much. I missed these 2, but will correct that here.


Shawn

[Riskslayer]

Hi:

Results for Fri, Oct 11, 2013

20345

Shawn

[Riskslayer]

Hi-

For Mon, Oct 14, 2013:

20350

Shawn

[Riskslayer]

Hi,

Results for Tu, Oct 15, 2013

20354

Shawn

[Riskslayer]

Hi-

Results for Wed, Oct 16

20395

Sorry, for the delay.

Shawn

[Riskslayer]

Hi-

Results for Th, Oct 17, 2013

20396

Shawn

[Riskslayer]

Hi-

Results for Fri, Oct 18, 2013:

20397

Shawn

[Riskslayer]

Hi-

Results for Mon, Oct 21, 2013

20416

Shawn

[Riskslayer]

Hi-

For Wed, Oct 23, 2013:

20454

Shawn

[Riskslayer]

Hi-

For Th, Oct 24, 2013:

20489

Shawn

[Riskslayer]

Hi-

Results for Fri, Oct 25, 2013

20501

Take care,

Shawn

[Riskslayer]

Hi-

Results for Mon, Oct 28, 2013

20544

Take care,

Shawn

[Riskslayer]

Hi-

Results for Tu, Oct 29, 2013

20558

Shawn

[Riskslayer]

Hi-

I missed posting these results.

Tu, Oct 22, 2013:

20559

Shawn

[Riskslayer]

Hi-

Results for Wed, Oct 30, 2013:

20593

Shawn

[Riskslayer]

Hi-

For Th, Oct 31, 2013:

20594

Shawn

[Riskslayer]

For Fri, Nov 1, 2013

20618

Shawn

[Riskslayer]

HI-

Results for Tu, Nov 5, 2013:

20647

Shawn

[Riskslayer]

Hi-

Results for Wed, Nov 6, 2013:

20662

Take care,

Shawn

[Riskslayer]

Hi-

Results for Th, Nov 7, 2013:

20695

Take care,

Shawn

[Riskslayer]

Hi-

Results for Fri, Nov 8, 2013:

20701

Take care,

Shawn

[Riskslayer]

Hi,

These are the results for Mon, Nov, 2013

20702

Shawn

[Riskslayer]

Hi-

Here is a compilation of the data I report in this thread. Recall, this portfolio is always long, and no accommodation is made for market direction.

From May 7 to Nov 8:

LEV Leaders (close-to-close) = +17.02% & (open-to-close) = +9.96%
Note: a 5d rolling portfolio better approximates close-to-close performance because open-to-close results ignore gains or losses that occur outside market hours.

SPY = +9.77%

Oct 2013 was notable because SPY increased about 4.6% in Oct vs the LEV Leader's decline of -5.3%. Thus, the LEV Leaders gave back about 10% of its May through Sept out-performance vs SPY.

I am not sure how to explain these results or what happened in Oct, other than speculating about possible leadership rotation, e.g. leading oil producers seem to be reversing fortunes, and maybe the 3 month RS criteria is not fast enough to reflect changes that happen in a few weeks. In any event, I will continue to report results here.

Shawn

20704

[Riskslayer]

Hi-

Results for Mon, Nov 11, 2013:

20751

Shawn

[Riskslayer]

Hi-

Results for Tu, Nov 12, 2013

20771

Shawn

[Riskslayer]

Hi-

Results for Wed, Nov 13, 2013:

20798

Take care,

Shawn

[Riskslayer]

Hi-

Results for Th, Nov 14, 2013:

20820

Shawn

[Riskslayer]

Hi-

Results for Fri, Nov 15, 2013 :

Looks like we are back to the +2x SPY out performance

20853

Shawn

[Riskslayer]

Hi-

Results for Mon, Nov 18, 2013

20875

Shawn

[Riskslayer]

Hi-

Missed Nov 19 due to visitors in town. I will try to catch up as I can.

For Wed, Nov 20, 2013:

20967

Shawn

[Riskslayer]

Hi-

For Th, Nov 21, 2013:

20968

Shawn

[Harry]

Hi Shawn,

Values are missing in you post.

Harry

[Riskslayer]

Hi-

For Tu, Nov 19, 2013:

20969

Take care,

Shawn

[Riskslayer]

Hi-

Harry, thanks for the note. I have switched over to an alternative charting program, and until I write some custom indicators, I miss the open-close values unless I capture them within a few hours of the close. I was away on the day in Q, and missed them.

For Fri, Nov 22, 2013:

20992e

Shawn

[Riskslayer]

Hi-

Results for Mon, Nov 25, 2013:

20994

Shawn

[Riskslayer]

Hi-

Results for Tu, Nov 26, 2013:

21003

Shawn

[Riskslayer]

Hi-

Results for Wed, Nov 27, 2013:

21018


Happy Thanksgiving!

Shawn

[Riskslayer]

Hi-

Results for Fri, Nov 29, 2013:

21037

Shawn

[Riskslayer]

Hi-

Returns for Mon, Dec 2, 2013:

21069

Take care,

Shawn

[Riskslayer]

Hi-

Results for Tu, Dec 3, 2013"

21121

Shawn

[Riskslayer]

Hi-

Results for Wed, Dec 4, 2013

21139

Shawn

[Riskslayer]

Hi-

Results for Th, Dec 5, 2013:

21166

I missed the open-to-close stats.

Shawn

[Riskslayer]

Hi-

Results for Fri, Dec 6, 2013:

21172

Shawn

[Riskslayer]

Hi-

Performance for Mon, Dec 9, 2013

21219

Take care,

Shawn

[Riskslayer]

Hi-

Performance for Tu, Dec 10, 2013:

21245

Take care,

Shawn

[manucastle]

Hi-

Performance for Tu, Dec 10, 2013:

21245

Take care,

Shawn

Shawn,

The 5 day rolling average seems to have been negative for some time. Is this abnormal behavior from your past backtests ?

Thanks in advance,
Trev

[Riskslayer]

Shawn,

The 5 day rolling average seems to have been negative for some time. Is this abnormal behavior from your past backtests ?

Thanks in advance,
Trev

Hi Trev-

I think there has been institutional selling in the markets for several weeks. Look at the last 35d trading days on the 20d MF chart and you will see a clear and steady decline of money flow. I sent the below chart to a trading buddy on Tu morning, Dec 10, before the market opened, highlighting exactly this.

21258


Moreover, IBD didstirbution days has been remarkably high over the last few weeks.. by my count we recently had 9 dd in the $SPX in a 25d window; and this was all true before this afternoon's sell off.

Personally, I have been 95% in cash since mid-day Mon, Dec 2. The 5% is in BPO, a stable REIT.

I will do an end of year comparison of the LEV Leaders to the SP500 and see how we stand. I think the results will be continue to outperform SP500 by about 2x..

Take care,

Shawn

[Riskslayer]

Hi-

Performance for Wed, Dec 11, 2013

21282

Shawn

[Riskslayer]

Hi-

Results from Th, Dec 12, 2013:

21304

Shawn

[Riskslayer]

Hi-

Results for Fri, Dec 13, 2013

21306

Shawn

[Riskslayer]

Hi-

Results for Mon, Dec 16, 2013:

21342

Shawn

[Riskslayer]

Hi-

Results for Tu, Dec 17, 2013:

21379

Shawn

[Riskslayer]

Hi-

Results for Wed, Dec 18, 2013:

21427

Shawn

[Riskslayer]

Hi-

Results for Th, Dec 19, 2013

21436

Shawn

[Riskslayer]

Hi-

Results for Fri, Dec 20, 2013:

21491

Shawn

[Riskslayer]

Hi-

Results for Mon, Dec 23, 2013:

21522

Shawn

[Riskslayer]

Hi-

Results for Tu, Dec 24, 2013:

21530

Shawn

[Riskslayer]

Hi-

Results for Th, Dec 26, 2013:

21553

Shawn

[Riskslayer]

Hi-

Results for Fri, Dec 27, 2013:

[Riskslayer]

Hi-

Results for Fri, Dec 27, 2013:

21578

Shawn

[Riskslayer]

Hi-

Not sure if I will be able to get to this unless I do it now, so here are the EOY results.

Most of the years $SPX gains came in the first 6 months (Dec 31. 2012 close to May 22 close - about 21%), thereafter.. we saw about 9% (close May 22 to close Dec 27) as measured on my TradeStation daily charts.

LEV Leaders did +27% from May 7 until Dec 27... and $SPX did about +16% over this same time period. The LEV Leaders gave back about 10% advantage vs $SPX during the budget debacle of Oct 2013, but still have maintained a +10% advantage over $SPX since I started recording this strategy.

I have been busy trading my own account, but hopefully will be able to trade this strategy in 2014 with real money. I have gained significant advantage by watching how these names are doing off the open.. if the names are green in the first 15-min.. the day is almost always good. I am currently long ZLTQ (plus others) and about 95% invested...

The following results are compilation of the data published on this thread everyday. There is no new information here, just a summary for your convenience...

21581


Shawn

[Pascal]

Thank you Shawn.

When you are buying a leader 15 minutes after the open, for how many days would you keep it before rotating?


Pascal