June 2017's Stocks and Commodities magazine has a very interesting interview with Ross Cameron of Warrior Trading. He publicly converted $583 into $100k in 45 days at the beginning of 2017. The results are on YouTube.
I decided to code what he said in the interview.
Basic Philosophy
Every day there is a stock that moves 20-30%. Find it when it is up only 5-10%. 80% of time they are gapping up pre-market. Trade 9:30-11:30am, exit all trades. Have the rest of the day free.
S&C Interview check list of factors/strategy:
- At open buy stocks that gap up 10%+
- float <100M shares (approximated)
- strong daily chart: price > exponential ema200
- $1.00 < price < $20 (user configurable).
- history of big moves (user configurable). 1 previous 60% within last 3 months.
- sector-wide catalyst or technical breakout (not implemented)
Additional factors/strategy
7. Liquid so exit orders don't fail. Setting below 30 can't get out of trades.
8. In the interview he did NOT give an exit strategy. I coded sell at 11:30am if not stopped out.
Observations
- With the simple entry/exit rules, the entire 2017 success is due to catching HTGM on 3/24.
- If you run this for 10 years you go bust
Additions / Optional settings
- Sell at open
- Trailing stops (for both long and short strategy)
- Wait for pull back of n% before buying
Closing Thoughts
You can play with the parameters to see if any produce a return over a 10+ year horizon. Likely better entry/exit rules and additional factors are needed to make it tradeable.
I didn't test all possible combinations of input parameters.
License is MIT. Use at your own risk.
Cheers,
John Glossner