I am currently working on a PnL analysis for the Hillside scans. Hillside is one of the trading desks featured on HFL and uploads daily a summary of positions made based on various scans using stochastics, money flow, bollinger bands, and volume (under Analysis > Hillside Materials). To provide a quick background on these scans, Hillside initiates positions triggered by these different scans at the close and holds them for a period of five trading days. The scans work in long/short pairs, so for instance, they will go long names on an uptrend with a stochastic below 20 while shorting names on a downtrend with a stochastic above 80. For each pair of scans, the same dollar amount is invested on both sides, or in other words, they remain dollar neutral on each pair of scans. Also, for each scan, each position is equal weighted (is roughly equal in value). Currently, Hillside includes in their position stats the following scans: Uptrend w/ Stochastic <20 paired against Downtrend w/ Stochastic >80; Improving Money Flow paired against Declining Money Flow; Strong Volume Gainers paired against Strong Volume Decliners; Buy Bollinger Band paired against Sell Bollinger Band; Put/Call Buy paired against Put/Call Sell.
Hillside began posting stats for these scans on HFL on Dec. 10, 2010. Below is a snapshot of how the scans have been performing:
Note: the Put/Call scans show zero PnL as this pair of scans was just recently added to the list.
Again, the above show stats at the end of the five day holding period, which is why the latest data is for Jan. 14, 2011. In sum, the best performing scan so far has been the Bollinger Band pair- buying names that tick above the upper Bollinger Band and shorting names that tick below the lower Bollinger Band. You can go into their spreadsheets to view which specific names were bought/shorted using these scans. But as an example I will go over two of the biggest winners using the Buy Bollinger Band scan. On Jan. 10, 2011, at the close, they initiated a long position in RAX, 237 @ 31.88. Five trading days later they sold out of the position at an exit price of 34.53. So they pretty much bought the bottom and sold at the top of that move, resulting in a PnL of about +$628. Another trade that worked well was the long position in EOG that was initiated on Jan. 7, 2011. Below is the daily chart of EOG. Their entry price was 94.26 and exit price five sessions later was 100.58. On 96 shares, this trade resulted in a profit of $607.
Another stat that I am starting to track is the number of positive days and negative days for each pair of scans. Again, supporting the idea that the Bollinger Band scan has performed the best so far, the ratio of up/down days is greatest with 11 days of positive PnL and just four days of negative PnL.
I will continue to build upon this PnL analysis and look for opportunities to optimize the use of these scans.
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