Energy stocks and more system thoughts

So a few more trades this past week, I'll point on the bad: CEG.
I was really anxious to get in to this stock, it hit my target which was well below the previous close, and then sunk to my stop-loss. On the bright side, risk was limited, but I feel like I could have done some better research and known that this stock was gonna dive like it did (still not quite sure why). It's actually around another good buy point, but I am reluctant to get back in, even though my gut says buy. I'll watch it and see what happens.

I ended up getting in another utility, CNP, hopefully that will go a little better, and I'm out of SRE which hit it's price target the previous week. I am wondering if I need to check the correlation between stocks and make sure that I am not over investing in a specific market.

My system testing has going fairly well. I have developed systems that return 50-60% paper profits. I am running in to a bit of a problem in keeping track of my changes and then the results of those changes. I really need to keep a spreadsheet of these backtests and the changes made.

I implemented the move the stop up to buy price which didn't seem to have too much an effect on the overall system (about a 1% change in Annual return over 10yr). I have a ton of ideas I'd like to test in addition to this. I'd like to test a multiple entry and exit system. Take some of the best systems out there and combine them to work in sync. After that I'd like to work with specific stock lists for different systems placing trade priority based on strength of signal or other confirming signals. I really need to spend some time on position sizing. Right now I am using a very small volatility adjusted algorithm (basically a simple subtraction off the base amount based off volatility).

One last thought, from something I read this week. I really need separate systems for bull markets, for bear markets and sideways markets. This is gonna take some time, as right now my system is mostly for sideways markets, but it also works well with bulls. I need more specific systems for a market like this, where I can follow a strong trend for a shorter period.

EWP good... NYX kicked my butt

So two trades closed this week. EWP (Spain ETF). Bought a good low, sold at my target of 59.12. NYX on the hand hits it stop loss at 79.70. This drove me nuts as it seems to have bounced off this level. I should have gotten out earlier, but even when Euronext reported good numbers, it still spiked down. According to Cramer, he said there was a big seller dumping it. There isn't much I can do to avoid this. I should have stayed with my original time sell, and not let this ride. If I had done this, I could have renentered at around 80, and be at a better spot right now.

So as far as system to development, I've been playing with coding up a longer hold period for strong trends. The algorithm went like this (kind of like a chandelier exit) :
a) When I hit target one (say at 2x ATR), move stop loss up to buy price
b) Move target up
c) repeat

So this brought down total returns in backtesting, however there were some real good long term trades. I'm really trying to focus on different exit strategies now. I think if I combine this strategy with a few more indicators for exit I might be able to squeeze some more points out of the system.

X, hilo, and NYX

Okay, so here is a better trade that I made this past week:

Stock X:
Buy: 5/1/2007 99.88
Sold: 5/8/2007 108.00

I have been playing with wealth lab quite a bit, and I have modified one of the hilo scripts which got me the entry in to this trade.

X hit the lo on the hilo at 99.88, with oversold indicators (ADX And Stoch). I set the target at around 107.50, I ended up selling at 108 because it opened up higher. A nice 8% profit.

It closed at 113 today, so I'm not quite sure how to feel about this. This trade was all automated with limit orders, and I hit my profit target(3xATR), so I am happy about that. On the other hand I'm torn. I've toyed with using chandelier exits that move in the direction of the trend, but in my initial testing I haven't seen good results. Maybe if I hit the target, and then set a chandelier exit. Or maybe sell half the position at 1st target and then implement a chandelier exit.

There are so many variables in the system I am trading that I can attempt to tweak in WL and see how it performs over time. Right now I am fairly happy with this system for now, until I learn a bit more. In all the tests I've run it produces 30-40% returns backtested...

On another note, I have an open position in NYX (bought at 84.29). It's been fairly volatile of late, but looks to have a lot of support in the high 81's. Many are speculating it to go up quite a bit when they release the Euronext numbers next week. Of course there also lots of shorts bashing the stock too. My gut it telling me to widden my stop and target a bit in anticipation of next week. Maybe I should attempt an exit strategy like described above. We'll see...