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American Capital Agency Corp. Message Board

  • jess_1554 jess_1554 Mar 1, 2013 9:33 AM Flag

    OT - MAIN

    RE: Doc’s formula for entry at EX+3. This was discussed at length in previous posts.
    The results of this strategy were so good I ran it for all days between EX+3 and the following EX-1 for all periods since January 2009 with the following results:

    Total days formula was applied = 771 days in 50 periods. 23 of the 50 periods contained entry hits. One period of the 23 was a loss. Total losing days were 6 for a total of 0.46. Longest consecutive time without any entry hits was 7 periods (roughly 7 months).

    Total number of days containing entry hits = 138 for a net gain of 145.69. Average gain for all periods = 2.91. Average gain for periods containing hits = 6.33. Average gain per trade = 1.06. Largest gain for one trade = 3.85. Longest holding period for a single trade = 16 days.

    The strategy is a little cumbersome and takes daily attention to apply, but the loss rate is almost negligible and the gains excellent. Setting up a spreadsheet with the formula could signal buys by entering the PPS near the close of each day.

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    • Hey Jess,

      Thank you for your work and enthusiasm. Were you applying the GLAD rules for MAIN in your posted results, with X+3 as your initial buy, if GLAD rules in force, and then new buys for each forward date until X-6 as each new GLAD date rolled by? Finally, were all accumulated shares exited on the close of EX-1?

      Thanks Jess,

      DocReits

    • bowhunterron@ymail.com bowhunterron Mar 1, 2013 10:19 AM Flag

      First, let me say thank you to you and Doc for the work you put into this. I was thinking as a strategy, I would make my first buy Maybe 1/2 the position on EX+2 (from scenario #1) Then switch over to scenario 2 and make subsequent buys using the formula. That way if at the close of EX+3 you do not have a quantity greater than 0.035 you are in the trade using the entry point from scenario 1. Thoughts

      • 1 Reply to bowhunterron
      • Bow -

        Sounds like a good strategy to me. Starting with EX+2 each period gives a profit 80% of the time and keeps you more or less constantly in the game.

        Running the formula on EX-3 and every day thereafter until the following EX-1 gives a profit almost 100% of the time, but there are long dry periods, and taking total advantage of a big winning period takes a much larger investment because trades accumulate during the period. For instance, the most winning period in the study had 15 winning trades. If $1000 was invested in each trade, $15000 would be needed before cashing in. (but doubling your money in 16 days in this particular case). Of course, just because the formula indicates the possibility of a winning trade, does not mean you have to make the trade.

        The beauty of the formula trade, to me, is it is almost pain free. A buy signal results in a profit 96% of the time, at least historically. (Standard whine about history not necessarily repeating is worth remembering).

        I intend to follow it, and have set up a spreadsheet to flash the buy signal automatically upon entry of PPS near the close each day.

 
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