Sunday, January 25, 2009


The reason I have been making such few posts is because I have been switching over to Tradestation as my trading platform and have been putting considerable amount of time trying to program some automated trades. I have programed a momentum driven strategy that only works for high momentum stocks (like SKF). I do not know if this strategy will be useful going forward, but here are some results showing its strengths and weakness.

Each trade has a position size of 10k. Commision is $.01/share and slippage is $4 per share.
Requirements for trading the stock are: 400k average volume, and avg daily change of 3%.

Note: The Annual Rate of Return is somewhat lower than what it should be since the stock started trading on 2-1-07, but the first trade was only put on 08-07.



I will be posting more results later, but just know that I am showing the 2 ETFs that work really well for this strategy. Most stocks it will not trade because the average daily move of the stock is < 3% and so the startegy will be too choppy.

I am not sure if this startegy is worth while, but I will continue to work on it for some time.