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Test Portfolio Changed…

Written by and copyright © 2005-2016 by Thomas N. Bulkowski. All rights reserved. Disclaimer: You alone are responsible for your investment decisions.
See Privacy/Disclaimer for more information.

This page shows a test portfolio based on industry relative strength. You can find background information on the method here.
I strongly suggest you read the information in the link, including results 2.

Warning:I am not recommending that you use this portfolio to build a trading system or to trade the securities listed
in the portfolio. I just show
this model as an experiment of how a portfolio based on industry relative strength would do in real life. Some of the securities have made large gains but the draw down
also tends to be huge. That means you can lose a substantial amount of money following this portfolio.

You should conduct your own research to verify this trading idea and performance before relying on the results. Historical testing
may not reflect real-time trading and past performance does not guarantee future results. See Privacy/Disclaimer for more information.

Portfolio Construction Rules

I used the following guidelines to construct and maintain the portfolio.

  • Securities selected for inclusion in the portfolio come from a database of approximately 550 securities.
  • On 11/13/2008, I allowed the portfolio to trade ETFs, too. Those are now included from the start date (1/1/2008).
  • All trades are in round lots (no fractional shares) of at least 100 shares each.
  • Commissions are $10 per trade ($10 for a buy and $10 for a sale).
  • SEC fee is applied to all sales (not buys) at the current rate (as of May 2008) of $11/$1,000,000 of value.
  • No slippage is factored into the trades.
  • All trades occur at the opening price the next trading day after a signal.
  • Concurrent (multiple) open positions in the same stock are not allowed.
  • The portfolio can hold an unlimited number of securities.
  • Securities priced less than $5 per share are excluded.
  • Commissions and SEC fee are applied to the S&P 500 index as if it were a stock.
  • Dividends are not included nor interest on cash balances, taxes, ECN fees and so on.
  • Margin is not allowed.
  • Each buy is for no more than $30,000, including commissions.
  • For a buy, pick from the top performing industry over the past 6 months. This was originally set for the top 3 industries but too many whipsaws occurred (selling one day and buying
    it back the next day). The changed boosted performance for the year while cutting the maximum potential loss.
  • Do not buy if the previous trade in the same stock was a loss and it occurred within 31 days (the wash sale rule).
  • Select the top 3 best performing securities in that industry, based on the price change for each stock over the past 6 months (stock relative strength).
  • Sell all of the securities in an industry if the rank drops to or below 5.

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IRS Test Portfolio Trading Strategy

This portfolio uses two methods for selecting securities: industry relative strength and stock relative strength. Both methods
look at today’s close versus a close 6 months ago.

I set the parameters to buy at rank 1, three securities per industry, and sell at rank 45. That tested best for profits. However, since only 48 industries were represented, waiting for
the sell rank to hit 45 suggested a buy and hold mentality with the potential of giving back too much profit.
I redid the spreadsheet to include an average of the maximum loss. I define the maximum loss as the largest decline below the buy price while the stock is owned. This is
not the same as the draw down.

Having found the maximum loss per stock, I just averaged the results to get the largest average decline. I did this to help smooth over the large declines caused by
dead-cat bounces. Those make the losses look far worse than they actually are.

I combined the average maximum loss and the average gain and sorted the results. The spreadsheet shows the order. Using the new information,
I determined that buying when the rank climbed to 3 or higher, using 3 securities, and selling when the rank dropped to 5 gave the best profit, smallest loss, and did not concentrate the portfolio
in any one industry.

Tracking the portfolio in real time showed that several securities were sold on one day and rebought the next. So, I changed the buy signal to select only securities from the top performing
industry (a rank of 1). A rank of 2 did not cure the whipsaw problem. The change boosted the performance for the year while cutting the maximum potential loss slightly and substantially
cutting the number of trades. All of that is a win-win setup.

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IRS Test Portfolio

In the table, the Buy/Sell columns show the dates when shares were purchased/sold at the opening price. The Net Change column is the profit or loss of the trade, expressed
as a percentage (shares x sell price – commission – SEC fee) – (shares x buy price + commission). If the trade is still open, the closing price as of the
date the list was created is used as the sale price. The S&P Change column is the change in the S&P 500 index between the Buy
and Sell dates, using the same Net Change calculation as for the stock. The Max Loss column shows the largest drop below the buy price during
the time the stock was held. This is not the same as a draw down but it is a potential loss. If you owned the stock and panicked, you could have sold at such a loss. However,
the system does not work that way, so the actual loss is not as severe (but you have to hold the stock until told to sell).

— Thomas Bulkowski

Stock Buy Shares Price Sell Price Net
Change
S&P
Change
Max
Loss
LUV 12/16/2014 700 $41.80 01/08/2015 $40.99 -2.0% 2.2% -7.3%
JBLU 12/16/2014 1,900 $15.07 01/08/2015 $15.08 0.0% 2.2% -5.0%
FDX 12/16/2014 100 $176.57 01/08/2015 $173.18 -2.0% 2.2% -7.4%
BMRN 01/06/2015 300 $93.11 01/23/2015 $96.03 3.1% 2.0% -4.9%
AMGN 01/06/2015 100 $158.78 01/23/2015 $160.00 0.6% 2.0% -4.6%
AGN 01/06/2015 100 $211.78 01/23/2015 $222.37 4.9% 2.0% -1.1%
CELG 01/06/2015 200 $112.49 01/23/2015 $123.87 10.0% 2.0% -2.7%
ABAX 01/07/2015 500 $57.29 01/22/2015 $59.53 3.8% 1.4% -2.1%
MWIV 01/07/2015 100 $171.81 01/22/2015 $189.58 10.2% 1.4% -1.4%
PDCO 01/07/2015 600 $47.81 01/22/2015 $50.37 5.3% 1.4% -0.3%
HSIC 01/07/2015 200 $136.00 01/22/2015 $138.14 1.5% 1.4% -0.9%
LOW 01/12/2015 400 $68.72 01/16/2015 $66.05 -4.0% -2.6% -2.7%
TSCO 01/12/2015 300 $80.16 01/16/2015 $75.10 -6.4% -2.6% -4.4%
HD 01/12/2015 200 $105.17 01/16/2015 $100.86 -4.2% -2.6% -3.1%
HE 01/23/2015 800 $34.29 01/27/2015 $34.00 -0.9% -0.7% -0.6%
PNW 01/23/2015 400 $72.51 01/27/2015 $71.55 -1.4% -0.7% -0.5%
IDA 01/23/2015 400 $68.99 01/27/2015 $69.13 0.1% -0.7% -0.4%
BMRN 01/26/2015 300 $98.09 01/29/2015 $98.35 0.2% -2.3% -0.6%
CELG 01/26/2015 200 $123.55 01/29/2015 $119.57 -3.3% -2.3% -1.2%
AGN 01/26/2015 100 $224.00 01/29/2015 $222.66 -0.7% -2.3% -0.3%
Stock Buy Shares Price Sell Price Net
Change
S&P
Change
Max
Loss
VRTX 01/26/2015 200 $125.86 01/29/2015 $112.40 -10.8% -2.3% -1.9%
BSET 01/27/2015 1,300 $23.06 02/09/2015 $24.00 4.0% 0.3% -5.1%
HNI 01/27/2015 600 $49.34 02/09/2015 $53.26 7.9% 0.3% -2.0%
ETH 01/27/2015 900 $31.70 02/09/2015 $27.54 -13.2% 0.3% -17.2%
INCY 01/28/2015 300 $83.51 02/03/2015 $79.45 -4.9% -0.5% -4.8%
ALKS 01/28/2015 400 $71.25 02/03/2015 $72.78 2.1% -0.5% -1.5%
IDXX 01/28/2015 100 $166.26 02/03/2015 $158.26 -4.9% -0.5% -5.0%
PCG 01/30/2015 400 $60.14 02/09/2015 $56.02 -6.9% 1.7% -3.9%
IDA 01/30/2015 400 $70.14 02/09/2015 $64.69 -7.8% 1.7% -4.7%
POR 01/30/2015 700 $40.55 02/09/2015 $37.55 -7.5% 1.7% -3.2%
WSO 02/09/2015 200 $110.99 02/26/2015 $116.57 4.9% 2.9% -1.4%
LL 02/09/2015 400 $64.89 02/26/2015 $51.35 -20.9% 2.9% -4.1%
BLDR 02/09/2015 4,700 $6.28 02/26/2015 $6.23 -0.9% 2.9% -2.1%
FAST 02/09/2015 700 $42.19 02/26/2015 $42.48 0.6% 2.9% -2.9%
ALKS 02/10/2015 400 $67.54 04/01/2015 $61.22 -9.4% 0.9% -9.3%
IHE 02/10/2015 100 $158.97 04/01/2015 $172.15 8.2% 0.9% -0.3%
PJP 02/10/2015 400 $72.11 04/01/2015 $76.27 5.7% 0.9% -0.4%
NSP 02/20/2015 500 $51.59 07/21/2015 $51.89 0.5% 1.4% -7.3%
AHS 02/20/2015 1,400 $21.17 07/21/2015 $31.05 46.6% 1.4% -1.8%
CCRN 02/20/2015 2,600 $11.11 07/21/2015 $12.75 14.7% 1.4% -11.6%
Stock Buy Shares Price Sell Price Net
Change
S&P
Change
Max
Loss
ASGN 02/20/2015 700 $38.26 07/21/2015 $40.24 5.1% 1.4% -20.0%
LOW 03/06/2015 400 $73.84 06/09/2015 $68.79 -6.9% -1.0% -8.5%
HD 03/06/2015 200 $115.96 06/09/2015 $109.79 -5.4% -1.0% -8.1%
WSO 03/06/2015 200 $117.52 06/09/2015 $122.75 4.4% -1.0% -1.9%
VMC 05/07/2015 300 $86.95 05/22/2015 $92.10 5.8% 2.4% -0.1%
CRH 05/07/2015 1,000 $27.87 05/22/2015 $28.68 2.8% 2.4% -0.2%
MLM 05/07/2015 200 $148.64 05/22/2015 $154.13 3.6% 2.4% -0.7%
VMC 06/03/2015 300 $90.62 08/21/2015 $92.50 2.0% -3.6% -7.4%
MLM 06/03/2015 200 $149.11 08/21/2015 $165.28 10.8% -3.6% -5.1%
CRH 06/03/2015 1,000 $28.33 08/21/2015 $29.03 2.4% -3.6% -5.9%
BSET 07/02/2015 800 $33.81 07/21/2015 $37.22 10.0% 2.4% -0.8%
TILE 07/02/2015 1,100 $25.13 07/21/2015 $24.30 -3.4% 2.4% -5.2%
AYI 07/02/2015 100 $189.00 07/21/2015 $194.35 2.7% 2.4% -1.9%
ELNK 07/28/2015 3,900 $7.66 08/28/2015 $8.38 9.3% -4.1% -5.0%
STMP 07/28/2015 400 $71.47 08/28/2015 $80.92 13.1% -4.1% -8.5%
VRSN 07/28/2015 400 $68.52 08/28/2015 $69.19 0.9% -4.1% -6.6%
SKX 08/04/2015 200 $149.18 10/19/2015 $45.70 -69.4% -3.1% -20.0%
CROX 08/04/2015 1,900 $15.08 10/19/2015 $11.36 -24.7% -3.1% -28.0%
NKE 08/04/2015 200 $114.95 10/19/2015 $131.71 14.5% -3.1% -17.8%
DUG 08/24/2015 300 $82.88 09/10/2015 $72.64 -12.4% -1.2% -20.4%
Stock Buy Shares Price Sell Price Net
Change
S&P
Change
Max
Loss
SMN 08/24/2015 700 $42.75 09/10/2015 $38.30 -10.5% -1.2% -14.8%
DXD 08/24/2015 1,100 $26.44 09/10/2015 $24.04 -9.1% -1.2% -13.0%
TPX 09/10/2015 300 $78.20 09/21/2015 $77.21 -1.4% 1.0% -4.6%
AYI 09/10/2015 100 $198.59 09/21/2015 $191.92 -3.5% 1.0% -6.3%
TILE 09/10/2015 1,200 $24.09 09/21/2015 $25.11 4.2% 1.0% -2.4%
ELNK 09/22/2015 3,600 $8.23 01/20/2016 $5.75 -30.2% -4.3% -28.8%
STMP 09/22/2015 300 $79.48 01/20/2016 $89.57 12.6% -4.3% -11.4%
VRSN 09/22/2015 400 $70.23 01/20/2016 $73.56 4.7% -4.3% -4.5%
SRS 09/23/2015 500 $52.45 10/08/2015 $48.72 -7.2% 2.6% -6.6%
DXD 09/23/2015 1,200 $23.64 10/08/2015 $22.09 -6.6% 2.6% -6.4%
SDS 09/23/2015 1,300 $22.78 10/08/2015 $21.55 -5.5% 2.6% -5.4%
DUG 01/12/2016 300 $84.01 02/22/2016 $73.07 -13.1% -0.2% -14.8%
SMN 01/12/2016 700 $40.84 02/22/2016 $36.79 -10.0% -0.2% -10.4%
SKF 01/12/2016 500 $51.45 02/22/2016 $55.23 7.3% -0.2% -0.4%
KLAC 02/02/2016 400 $66.31 02/08/2016 $64.60 -2.7% -3.2% -1.1%
SMTC 02/02/2016 1,400 $20.56 02/08/2016 $17.05 -17.1% -3.2% -11.9%
XLNX 02/02/2016 600 $49.21 02/08/2016 $47.70 -3.1% -3.2% -4.1%
BKH 02/04/2016 500 $50.70 04/18/2016 $58.50 15.3% 8.7% -5.0%
AVA 02/04/2016 700 $37.97 04/18/2016 $40.31 6.1% 8.7% -2.8%
EE 02/04/2016 700 $42.52 04/18/2016 $44.91 5.6% 8.7% -7.4%
Stock Buy Shares Price Sell Price Net
Change
S&P
Change
Max
Loss
ISIL 02/22/2016 2,400 $12.37 04/22/2016 $12.85 3.8% 8.7% -3.8%
AMAT 02/22/2016 1,600 $18.70 04/22/2016 $20.94 11.9% 8.7% -3.3%
KLIC 02/22/2016 2,600 $11.43 04/22/2016 $11.00 -3.8% 8.7% -7.7%
VMI 04/22/2016 200 $139.25 05/03/2016 $138.94 -0.3% -0.7% -2.2%
TKR 04/22/2016 800 $35.79 05/03/2016 $35.36 -1.3% -0.7% -3.1%
ITW 04/22/2016 200 $104.80 05/03/2016 $104.54 -0.3% -0.7% -1.1%
BAX 04/25/2016 600 $43.31 05/02/2016 $44.39 2.4% -1.1% -0.1%
HSIC 04/25/2016 100 $172.00 05/02/2016 $168.86 -1.9% -1.1% -1.3%
JNJ 04/25/2016 200 $113.31 05/02/2016 $112.22 -1.1% -1.1% -1.5%
VMC 04/26/2016 200 $109.55 05/02/2016 $108.26 -1.3% -1.1% -1.2%
MLM 04/26/2016 100 $170.29 05/02/2016 $170.19 -0.2% -1.1% -0.7%
EXP 04/26/2016 300 $75.00 05/02/2016 $74.32 -1.0% -1.1% -1.6%
EDE 05/02/2016 800 $33.62 06/20/2016 $33.77 0.4% 0.4% -1.4%
MGEE 05/02/2016 500 $50.01 06/20/2016 $54.81 9.5% 0.4% -1.2%
NI 05/02/2016 1,300 $22.69 06/20/2016 $25.27 11.3% 0.4% -0.4%
MLM 06/07/2016 100 $186.99 08/29/2016 $188.69 0.8% 2.8% -4.7%
EXP 06/07/2016 300 $80.93 08/29/2016 $83.09 2.6% 2.8% -12.0%
VMC 06/07/2016 200 $116.35 08/29/2016 $116.00 -0.4% 2.8% -3.6%
SWN 06/08/2016 1,900 $15.44 06/13/2016 $13.10 -15.2% -1.0% -12.0%
COG 06/08/2016 1,100 $25.70 06/13/2016 $24.92 -3.1% -1.0% -3.6%
Stock Buy Shares Price Sell Price Net
Change
S&P
Change
Max
Loss
EQT 06/08/2016 300 $75.76 06/13/2016 $75.14 -0.9% -1.0% -2.2%
NFG 06/14/2016 500 $55.14 07/28/2016 $55.42 0.4% 4.3% -1.8%
STR 06/14/2016 1,100 $25.00 07/28/2016 $25.10 0.3% 4.3% -0.4%
ATO 06/14/2016 300 $75.80 07/28/2016 $78.80 3.9% 4.3% -0.7%
DVN 06/14/2016 800 $35.60 07/28/2016 $36.21 1.6% 4.3% -7.8%
CLR 07/13/2016 600 $45.72 08/02/2016 $42.00 -8.2% 0.7% -9.7%
APA 07/13/2016 500 $57.54 08/02/2016 $50.50 -12.3% 0.7% -11.4%
HP 07/13/2016 400 $69.70 08/02/2016 $61.59 -11.7% 0.7% -13.3%
AMD 08/15/2016 4,400 $6.78 Open $9.45 39.3% 1.0% -16.5%
NVDA 08/15/2016 400 $63.12 Open $93.39 47.9% 1.0% -9.2%
CY 08/15/2016 2,700 $11.09 Open $11.22 1.1% 1.0% -13.2%
EGN 08/18/2016 500 $55.73 10/13/2016 $57.90 3.8% -2.4% -8.3%
DVN 08/18/2016 600 $43.66 10/13/2016 $44.04 0.8% -2.4% -13.3%
NFX 08/18/2016 600 $46.29 10/13/2016 $42.82 -7.6% -2.4% -15.2%
MS 12/05/2016 700 $42.30 Open $42.51 0.4% 0.3% -1.2%
GS 12/05/2016 100 $225.52 Open $231.38 2.5% 0.3% -0.1%
RJF 12/05/2016 400 $72.97 Open $73.36 0.5% 0.3% -0.2%

 

Using completed trades only, a portfolio with a starting value of $2,901,367.00 would be worth $2,872,486.39, a change of -1.0%, with a maximum loss of 28.8%.

For completed trades only during 2016, the change is -0.8%.

Including open trades, the starting value would be $3,067,800.00 and the ending value would be $3,063,893.28, a change of -0.1%, with a maximum loss of 28.8%.

For open trades during 2016, the change is 1.4%.

This report was prepared on December 6, 2016 and it covers the trades shown.

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Written by and copyright © 2005-2016 by Thomas N. Bulkowski. All rights reserved. Disclaimer: You alone are responsible for your investment decisions.
See Privacy/Disclaimer for more information.
Your momma is so fat that her cereal bowl came with a lifeguard.


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2021 Forecast Update…

Blog: October 2021 As of 11/12/2021   Indus: 36,100 +179.08 +0.5%     Trans: 16,760 +51.37 +0.3%     Utils: 908 -1.97 -0.2%   ...

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