June 2017's Stocks and Commodities magazine has a very interesting interview with Ross Cameron of Warrior Trading. He publicly converted $583 into $100k in 45 days at the beginning of 2017. The results are on YouTube.
I decided to code what he said in the interview.
Every day there is a stock that moves 20-30%. Find it when it is up only 5-10%. 80% of time they are gapping up pre-market. Trade 9:30-11:30am, exit all trades. Have the rest of the day free.
S&C Interview check list of factors/strategy:
- At open buy stocks that gap up 10%+
- float <100M shares (approximated)
- strong daily chart: price > exponential ema200
- $1.00 < price < $20 (user configurable).
- history of big moves (user configurable). 1 previous 60% within last 3 months.
- sector-wide catalyst or technical breakout (not implemented)
7. Liquid so exit orders don't fail. Setting below 30 can't get out of trades.
8. In the interview he did NOT give an exit strategy. I coded sell at 11:30am if not stopped out.
- With the simple entry/exit rules, the entire 2017 success is due to catching HTGM on 3/24.
- If you run this for 10 years you go bust
Additions / Optional settings
- Sell at open
- Trailing stops (for both long and short strategy)
- Wait for pull back of n% before buying
You can play with the parameters to see if any produce a return over a 10+ year horizon. Likely better entry/exit rules and additional factors are needed to make it tradeable.
I didn't test all possible combinations of input parameters.
License is MIT. Use at your own risk.
|Returns||1 Month||3 Month||6 Month||12 Month|
|Alpha||1 Month||3 Month||6 Month||12 Month|
|Beta||1 Month||3 Month||6 Month||12 Month|
|Sharpe||1 Month||3 Month||6 Month||12 Month|
|Sortino||1 Month||3 Month||6 Month||12 Month|
|Volatility||1 Month||3 Month||6 Month||12 Month|
|Max Drawdown||1 Month||3 Month||6 Month||12 Month|