mdwin01

SIUYA - I like your caption " .....context is king".. I'm trying to take qualified rules such as "the trend is your friend," quantify them in my backtest dataset, and come up with rules to trade with. So, for example, in my long only backtest, when the context is the market, here are some results: 1) if market trend is ignored my winner rate is 46% 2) if 3 month market trend prior to long position entry is up, then my winner rate is 55% 2) if 1 month market trend prior to long position entry is up, then my winner rate is 57% 4) if both 3 and 1 month market trend prior to long position entry is up, then my winner rate is 71% The objective is to figure out how to balance out short and long stock positions. I would rather not be 100% long or 100% short with all my positions at the same time, in order to stay more market neutral, especially in choppy markets.

Does anyone have historical data for channeling stocks with at least 10% range? Especially for high volatility sideways markets? I do have a backtest for almost 2 years from one source that I'm optimizing right now... but my dataset contains very directional markets - end of 2008 to begining of 2010 - very steep bear market and a very steep bull market.

Thank you, Justaguy. Given that you do determine the trend, how do you balance out your short and long stock positions? >> "As for chop, there are a few ways to determine it. When the HHHL is happening but other HHHL are contained within (obviously long) the previous HHHL" I'm not sure I know what you are getting at.. Did you mean to say that choppy markets contain conflicting as opposed to matching trends in different time frames?

What has worked for you as far as determining what direction to trade in -- long or short, based on the market and stock past trends? For example, do you only go short with 100% of your trades if the market is below 200 DMA? Or do you look at shorter moving averages on both the market and the stock you are about to trade, and balance out with some short and some long positions? How has your approach worked in choppy markets that are possibly establishing new trends? I'm experimenting with different variables, such as if the stock moving average over last 90 days is trending up and the market day moving average is basically flat, then I'd go long on my position, but don't go long with more than 70% of my positions... Btw, I'm a swing trader in equities only strategy, with up to 10 concurrent positions, and average hold time of 14 days.