Just quickly put together a system for this, non-discretionary obviously.
RoR: 17%
Max Drawdown: 24%
Rules;
- Yearly low within in the last 6 months.
- 65 crosses above 200ema.
- enrty rank; (100 * Close / 5 day atr) (used for when there are more setups than open slots, a random entry generates roughly the same returns)
Filters;
- Price > 25c
- Lowest volume for last 20 days > 100,000
- Lowest turnover (Close*Vol) for last 20 days > 100,000
Exit:
- Initial Stop of 5% * Entry Price (next open price)
- Trailing stop; 45 day lowest low.
Not a bad first pass, think there might be something in this. I will add though, the 25c price limit rules out a lot of the ones we have in the list. I haven't been able to develop any system on the spec end of the market, must be too volatile.
Tested this from 2015 to Today. Based on max 7 positions at any one time, works with >10% RoR from 5 to 15 positions, lower end obviously has less trades and more risk per trade etc.
A note on the exit, I tried ema's and the usual trailing % stops, not sure why the lowest low for the last xx days works here but it does. The standard 40% trailing stop has a 13% RoR with a larger drawdown at 35%. Might be worth looking into a volatility style stop as well.
Like most equity curves, it has been sideways since 2021! Hopefully recovering to new highs shortly.
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