Trade Ideas at open 14-Nov-2013 , $NLY, $NTAP

Trade Ideas at open 14-Nov-2013 , $NLY, $NTP

Trade Ideas - 17 Nov 2013

operating the Quant-Ideas pro database , with the below query

price > 5 & trade sample size over past 4 years > 25, & the average monthly volume > 5 mil & the %age winners > 70% , & the outlier profit factor >  2 ,& pay off ratio >1.5   & the historical average profit of >0.5%

we found the following three trades , assuming one enters the trade at open on 14th Nov-2013 and exit at 14th Nov 2013 close.

1) Short $$NLY ( Annaly Capital Management Inc ( NLY ) at next open , when $NLY closes above 2% from open 

below the trading odds for short at next open when $NLY closes above 2% from open the previous day and buy to cover the next day at close, since last 4 years

  • Total # of Trades : 26
  • Percent Profitable Trades : 73%
  • Number of Win Trades : 19
  • Number of Loss Trades : 7
  • Avg Profit Trade % : 0.81
  • Median Trade % : -0.70
  • Avg Win Trade % : 1.33%
  • Avg Loss Trade % : 0.61%
  • Max Win Trade % : 2.78%
  • Max Loss Trade % : 2.04 %
  • Max Consecutive Wins: 12
  • Max Consecutive Losses: 2
  • Ratio Avg Win / Avg Loss % :2.18
  • Profit Factor :5.67
  • Outlier Adjusted Profit Factor :5.04

2) Long $NTAP (NetApp Inc ( NTAP ) at next open / hold for few trading days ,  when  $NTAP Aroon Oscillator turns positive

Exit # Trades % Wins Avg Profit Median Avg Win % Avg Loss % Payoff Max Loss
NO2C 34 71 0.72 0.59 1.35 -0.8 1.69 -1.72
t+1 33 67 0.74 0.31 1.6 -0.97 1.65 -2.13
t+2 33 73 0.95 0.48 1.81 -1.37 1.32 -4.53
t+3 33 82 1.54 1.67 2.76 -3.99 0.69 -7.38
t+4 33 70 1.66 1.36 3.53 -2.64 1.34 -5.72
t+5 33 58 1.74 0.96 4.97 -2.64 1.88 -7.97
t+10 33 70 1.96 2.24 4.95 -4.9 1.01 -14.61
t+20 33 79 4.07 2.59 6.88 -6.35 1.08 -13.1

N2OC is entry at Next Open and exit Next close ( i.e 14 Nov open and 14 Nov Close)

t+1 , entry at current close ( 13 Nov 2013) and exit at 1 trading day after ( 14 Nov 2013) , and so on ..

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