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Portfolio123 » List all forums » Forum: Ranking Systems and Factors/Functions » Thread: NoBars sell rule - Pullback exit. |
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gfagerlin
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Running a 5 stock daily pullback, I learned something about the noBars sell rule. I get holding periods of 1 to 6 days with a noBars > 2 sell rule. Below is the detail and what I think is going on. Here are the sell rules. "1 day rise" - close(0) / benchclose(0) > (close(1) / benchclose(1)) * 1.09 "2 day rise" - close(0) / benchclose(0) > (close(2) / benchclose(2)) * 1.05 "Time out" - nobars > 2 "3 day rise" - close(0) / benchclose(0) > (close(3) / benchclose(3)) * 1.00 Stocks bought on 12/2 (based on 12/1data) failed to trigger the "Time out" sell rule when rebalanced today, 12/5. The "3 day rise" rule said to sell and I did. Looking at realized transactions, after rebalance, shows 3 Days for the stocks. So - 1. I bought on 12/2 AM and sold on 12/5 AM - I held for 3 calendar days, although one might call this 4 days, or 3+. 2. Apparently noBars did not count 12/2 but started on 12/3 recording 12/3 & 12/4. Since this would be 2 bars the noBars > 2 sell rule was not triggered. 3. Had I not sold, I would expect that the port would trigger the noBars rule after today (Friday), I would sell Monday and show 5 days as a holding period. This explains how I get holding periods of 1 to 5 days with a noBars > 2 sell rule. With a holiday on Monday, I would get 6 days which a sim of the port shows happening occasionally (about 3%). Dates are confusing and I think the above is correct. If anyone sees a flaw let me know. My reasoning is to sell if I get a gain equal or better than the ATRN(3,0) > 9 buy rule. If not, hang in a little longer, but not too long. These sell rules doubled the returns for this model over the "traditional" noBars > 2 and close(0) > close(1) rules I started with. They don't work with all models. Glenn ---------------------------------------- [Edit 2 times, last edit by gfagerlin at Dec 5, 2008 12:48:58 PM] |
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