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
Strategies based on abnormally high volumes
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,
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,
Hi
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.
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.