<< First, thank you for giving us a taste of your research, I find your approach very
interesting. But I must confess, that if I had your list of best and worst candidates, I'd
still want to use that list as the pool of stocks for short term trading. :-) >>
Actually, I have been doing this on a small investment basis
since Jan 19, 1999. Since I have been on the long side only in a pretty good albeit choppy market, I am up about 13 percent
on 8 1/2 round trips. DELL EMC AMGN and SCH are the stocks
involved. While all have been in the top 15, they are not necessarilly within the top 4-5. I just was more familiar
with these 4 than the other top selections.
Obviously, this means nothing, but has been instructive relative
to how such big volume/ big cap stocks trade.
<<As far as stops, there's at least one statistically based approach, maximum adverse
excursion. In short, take the results of your backtesting, and for all winners that were at
one time in losing territory, how far into negative territory did they go before turning
around? Eg. you may find that 90% of stocks that ever go more than 25% negative
never recover, so that would be the stop-loss point>>
I still feel uncomfortable about stops. This may change but
I feel broker/market makers can take you to the cleaners on stops.
Also, my commissions would nearly double. I am open on exit methods
at this time.
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