Strategies based on abnormally high volumes

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
Post Reply
Shivar
Contributor
Contributor
Posts: 1
Joined: Fri Oct 13, 2006 4:51 pm

Strategies based on abnormally high volumes

Post by Shivar » Sun Jan 28, 2007 12:12 pm

Did someone backtest on US mid caps (let's say between 3 and 15 billions capitalization) the following idea:
Whenever the daily volume is significantly above the average (let's say 4 times bigger than the quarterly average) and if there are no news on the market, then play the trend. Exit when the news come or after a significant profit(loss) has been locked in.

It typically looks to work quite well a few days before the announcement of quarterly results when some insiders trade for massive amounts in one direction. But I have troubles to backtest it extensively on the 300-400 considered stocks

Shivar

ratio
Roundtable Knight
Roundtable Knight
Posts: 338
Joined: Sun Jan 15, 2006 11:07 pm
Location: Montreal, Canada

Post by ratio » Sun Jan 28, 2007 12:34 pm

I Have not program mine, but I follow a trading system, based on canadian stock, that do approximatively that. Enter on Momentum and volume.

So far here are some of the result:

2007 YTD: +24.62%
1 Year : + 106.77
Since inception: (September 2004) + 529.49%

But what is the most interesting, is that they used a delay entry.

They have 5 portolio, and the difference is that the entry signal is delay by 1 week each. ie. You get the signal, you wait one week and you enter.

and Portfolio 2 is wait 2 week and so on.

The best one is typically wait 4 week.

They typically carry 5 to 6 stock,

tony5147
Contributing Member
Contributing Member
Posts: 8
Joined: Sun Jan 21, 2007 11:17 am

Hi

Post by tony5147 » Sun Feb 04, 2007 11:29 am

Hi Shivar :

What you can do is to keep track of a list of stocks that would gap up/down after earnings announcement.

Price Movement of a few points from such shares before earnings announcement are quite common. But you must trade with the trend in a hit-&-run manner and exit your positions before the actual earnings announcement.

Post Reply