Investing

Trading idea- Based on Graham (TSX)

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  • Nov 14th, 2017 1:05 pm
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[OP]
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Dec 14, 2010
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July 3, 2017 signal:

SELL: RCH
BUY: VLN, CVG

The model holds up to 10 stocks and it will be 100% invested (0% in cash) after today's rebalance.


Rod
Everything about my Investing and automated Trading strategies to boost your income: https://boostyourincome.ca
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rodbarc wrote:
Jul 3rd, 2017 6:44 am
July 3, 2017 signal:

SELL: RCH
BUY: VLN, CVG

The model holds up to 10 stocks and it will be 100% invested (0% in cash) after today's rebalance.


Rod
The volumes on these 2 are tiny lol..
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boyohboy wrote:
Jul 4th, 2017 11:15 am
The volumes on these 2 are tiny lol..
Seriously lol
<2k average in a day combined... Seems there's no liquidity requirement within the model
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SkimGuy wrote:
Jul 4th, 2017 3:20 pm
Seriously lol
<2k average in a day combined... Seems there's no liquidity requirement within the model
Still didn't (couldn't) buy either yet.

For a moment in the morning looking at VLN, without a single transaction for an hour or smth, i was like is it de-listed from TSX or what?

CVG has $2 bid-ask spread, ewwwwww.
[OP]
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Interesting, that's the smallest cap we've come across since inception, and the model only looks for price > 5 and Exchange (TSX). No volume rules. But it makes sense to include that on a model that is expected to be more liquid, so I will run some tests and report back with a rule for minimum liquidity.

EDIT: The model does have market cap rules, and both CVG and VLN has a market cap > 300 MM as per the rules. However, I agree that the volume can be an issue, and I think that warrants some changes to make the model able to scale.

Rod
Everything about my Investing and automated Trading strategies to boost your income: https://boostyourincome.ca
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My other Canadian trading models have a rule to choose stocks which the average trading volume for the last 60 days > 100,000. I've added the same rule for this Graham model, and the results were better - higher annualized return, same drawdown, therefore higher Sharpe ratio. I will modify the model to incorporate this rule moving forward.

Both CVG and VLN finished closed higher than they open today, so there's a chance for those that will sell tomorrow might lock a small profit or break even. I will update the signal considering the rebalance by the new rules.

Image


Rod
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[OP]
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Updated signal with volume rule (for July 5, 2017):

SELL: CVG, VLN
BUY: XTC, GIL

I will update the first post with these changes and the new rule. I believe this will help the model to scale better over time.


Rod
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rodbarc wrote:
Jul 4th, 2017 5:39 pm
Updated signal with volume rule (for July 5, 2017):

SELL: CVG, VLN
BUY: XTC, GIL

I will update the first post with these changes and the new rule. I believe this will help the model to scale better over time.


Rod
Thanks for the update regarding volume. Back to XTC and GIL we go!
[OP]
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Ismellofhockey wrote:
Jul 5th, 2017 12:48 am
Rodbarc, where do you get all the data to build your model?
The model is built based on an investing or trading idea, which I gather from investing books or research / white papers. Once the model is built and ready for execution (backtesting or live) it makes use of market data and economic factors to buy or sell based on the defined rules.

The data used to run the model (after it's built), are provided by Compustat Snapshot, Standards and Poors, CapitalIQ and Interactive Data.


Rod
Everything about my Investing and automated Trading strategies to boost your income: https://boostyourincome.ca
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GIL up 5% from the pre-market bid-ask....

EDIT: ... didn't hold...
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Trying to get rid of CVG but no buyers at a reasonable bid price lol

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