First let me thank Sam for contributing, cannot say I have spent much time looking at 9 day bars, been a thought provoking couple of hours. I would tend to agree that clarity is not the strong suite of this particular report. Perhaps if we break the rules down in pseudo code, we can make sense of them. One point, given that a bar is a rolling 9 day period, backtesting this would be difficult. What you see today, would not be what you saw on that day in a live scenario.

Watch List Rule: If only the previous two 9 day period closes are down, then add to the watch list during the current 9 day period. Watch period for a given stock only lasts for a rolling 9 day period.

Buy Criteria: If the stock declines 2% from the close of the previous period, then go long.

Sell Criteria #1: Upon the start of the next (new) 9 day period, close the position if the stock opens above your purchase price. (It would appear that it is that day and that day only)

Sell Criteria #2: Assuming that criteria in #1 is not met, then hold for 9 more days and close the position on the first day open of the next 9 day period.

One other point on clarity, the chart's columns are not real clear. I take it to mean .....

Date on screen - means the day it was added to the watch list

Closing price MOS 2% - This would be the basis for adding to the watch list. Essentially the close from the previous period.

Trigger Price - This is the entry price based upon a 2% decline from "Closing price MOS 2%"

First open if above cost - sell criteria #1 price

Second open - sell criteria #2 price.

If there is a NA under trigger price, it was on the watch list and a position was never taken. If there is a price, then that is the entry price. The sell price is in one of the last two columns which are mutually exclusive.

One comment on the lack of price stop .... wow!! All sorts of things can happen in the potentiall time stop holding period of 11~19 days. This was a quick post, please excuse the misspelled words that I am sure are in here.

Thoughts .... ?


BGS

I've run the formulas thru Tradestation and come up with some interesting observations.  The strategy does a nice job on some stocks (MCD, ROK, and I'm sure some others that I haven't looked at yet) but there can be huge drawdowns that will scare you on some volatile stocks (AAPL, GOOG).  If you can stomach a $1300 - $1500 drawdown on a $10,000 trade, then you'll like this one.  Perhaps this strategy will work with lower volatility stocks.  I used Dicemans idea about C18 < C27 etc. to convert the formulas to a daily based strategy instead of 9 day.   For those tradestation types, here is some crude code.


if marketposition = 0 and openD(27) > openD(18) and openD(18) > OpenD(9) and
 (((openD(9) - openD(1))/openD(9)) * 100) > 2 then buy next bar at open;

if marketposition = 1 and barssinceentry = 9 and open > entryprice then sell next bar at open;

if marketposition = 1 and barssinceentry = 18 then sell next bar at open;

Sorry to misquote you diceman.  On another note, look at MCD on a 9 day chart.   The one thing that stood out was that after three 9 day lower segments, if the newest segment opened above the close of the previous segment, it was usually profitable.  Perhaps that is what the author is trying to point out.   That is how I coded the Tradestation code.... it looks promising but I can't seem to duplicate the authors trades which means I don't  have all the pieces of the puzzle figured out yet.  Thanks again..... 

Diceman:

Wouldn't the formula be:

c<c8 and c8<c17 and c17<c26

since 
c   =day1
c1=day2
c2=day3
c3=day4
c4=day5
c5=day6
c6=day7
c7=day8
c8=day9
c9=day10

The edited note republished today, Saturday, does help clarify some of the confusion. I'm sure the rush to meet the publishing deadline caused the typo(s) oversight.

Also, my curt note was not to disrespect Sir 9-Day Period's generosity. I woke up too early today, then was frustrated trying to make his system work. Thank you Sir 9-Day Periods.

So for my fellow "newbies" to Telechart customization, here's what I think works. Tell me if I'm off the mark.

First, make a new watchlist of the stocks you'll want to scan using this system. I named mine "9 Day Periods Master List" and then just copied the 500 SP500 stocks to it for starters.

Press F9 key to open a 9-day chart template.

Next, open the Chart Template Editor by pressing the letter "I" on the keyboard. Following the instructions, click the "+ sign" next to the "Middle" title, and choose Percent True. Enter in the formula window this line exactly: C<C1 and C1<C2 and C2>C3. It's a Boolean formula so type "and" and not +, etc. I wasn't sure what to choose for smoothing so sticking with the theme I selected 9, and then Simple, then Save.

Now using the new watchlist you just made with the SP500 stocks or whatever stocks, ETFs you want to scan, use the pick list under the watchlist name to scan by Indicator Sorts", which is the last category of sorts at the bottom of the list that pops up. Under "Middle", you should see the %true C<C1 and C1<C2 and C2>C3 line you had just entered in the Chart Template Editor. Choose that and scan.

Your list should then be sorted with all those stocks 100% true coming to the top of your watchlist, followed below by the stocks not making the cut (and therefore not 100% true). You'll see the percentages listed to the right of the stock's name. Flag all the stocks that are 100% true, and copy them to yet another new watchlist with the sort date included in the title. These are the stocks that closed at least 2% below their previous 9 day period close. Do this everyday and you'll end up with 9 watchlists you're constantly watching, after you delete the oldest when you add the most recent daily list of the sorted stocks.  Some of those stocks will be trending higher and I suspect those are the ones Sir 9-Day watches closest to buy.

His Sell intructions are pretty clear, I think, although I'm not sure why I need to sell immediately if the stock opens above my purchase price. Couldn't I use a stop loss and/or other criteria to decide when to sell, in case I found a winner that wants to run?

Hope this helps, and I hope I interpreted the instructions correctly.

Rich

Chris,
This is LLY (boy I hope I have that symbol correct). I did it quickly as you can see. Hopefully no mistakes.
I'll dispense with the column headings which you can see above.

2/8/05       55.40     54.29      N/A
4/1/05       51.19     50.16      N/A
6/6/05       57.69     56.53     58.20
8/9/05       53.84     52.76     53.50
10/12/05  52.18    51.13      -            51.12
2/8/06       55.70    54.58      N/A
4/13/06     53.27    52.20      52.65
8/22/06     54.98    53.88      N/A
11/7/06     56.98    55.84      -           54.23
3/8/07       52.36    51.31      N/A
6/20/07     56.77    55.63     56.82
7/30/07     54.77    53.67     56.70
10/26/07   52.68    51.62     -            49.93
2/11/08     50.23    49.22     50.63

4/13/06 is a good example to use re the MOS 2%. The stock continued to go down in subsequent 9 day periods, but you had a profit, at the first open after the nine day period you put it on, because it opened up above your cost, so you were out.

I might as well address some other questions that have been raised or that might be raised.
Gee, 18 days and a stock can go to hell. Yup. That's why you spread the risk among many stocks, over many transactions over a long period of time (think 1 year, two years, three years). You'll have drawdowns but that comes with the system. If you want to protect against down markets, hedge this out with S&P puts. You also continue to make each transaction the same dollar amount. The stock can go to hell over a max of 18 days, but it can also go up appreciably over that time or over a nine day max period. I've had many many transactions where at the first open after the nine day period in which I put it on, I had a loss, only to have a huge gain on my close (the second open after the nine day period in which I put on the transaction). Look, you have to have proper money management with this system.

Why 2%? Why not 2.25% or 1 1/2 %. You certainly can switch the parameters. These are the ones I feel comfortable with. The parameters are  very robust around  9 day and 2%. 

Why not wait until there are three down periods (i.e. c<c1 and c1<c2 and c2<c3). Absolutely can be done and the probability of gain is even greater. Sometimes the number of exposures is limited. As someone who thought of becoming an actuary, I like lots of exposures and I normally get more to choose from using two down periods. Today, however, with the market down so much it is easy to find stocks and ETFs with many down nine day periods (e.g. QQQQ). Over a long period of time, the probabilities are going to be even more in your favor.

Why spread the risk by doing it daily (that is, putting on some each day that you can). You do this because you are looking for markets and stocks to rebound at some point and the probability is better if you spread your risk over a nine day period as opposed to any one day (and of course in some cases you are holding on for 18 days).

Hope this helps.

Sam        

Sir 9 Day (Sam)

You are both a true gentleman and a scholar. Thank you for your kind patience and clarifications.

Rob