Know Sure Thing Rate of Change Strategy

Overview This trading method is called the Know Sure Thing Rate of Change based on work done by Martin Pring and developed into a trading method by Calvin Mays. A 3 month backtest are included.

StrategyMarket:
Stocks
Duration of Trade
Typically Week
Type of Trade
Momentum
Risk/Reward
Expected reward/risk ratio of >1.
Account RulesDrawdown: Will stop trading and close positions when I am down 10% of equity designated for this trading. Will resume when I have done a causal analysis to determine what was wrong and implement changes.

Tools Used
Computer: Dell Laptop
Software: Amibroker
Internet Connection: Qwest VDSL
Backup Systems: Work computer

ProcessTime in and out of trades
Initiating Long positions will occur only if the NASDAQ 8 day EMA is above the NASDAQ 55 day EMA

Setups
1) The stock must be listed on the current Valueline list for a timeliness of 1
2) The stock will cross over the 4 on the ROCTOT line. The ROCTOT of the stock is calculated as followsROCTOT = MA(ROC(Close, 25) + ROC(Close, 15) + ROC(Close, 5), 5)
3) The initial stop will be placed at 0.25 below the 21 day EMA of the close.
4) Once a week the stop will be raised to the 21 day EMA of the Close - 0.25. Possibly more often if it looks as if the market will change Position SizingShares = Equity / (5 * Share Price) rounded down to the next 5 share increment

Determining Exits
1) The stop loss is executed
2) The ROCTOT of the stock is below 4.

Metrics
1) Followed rule for when in trade
2) Followed Rules for Setup (yes or no for 1 – 4)
3) Position Sized according to Rule
4) Followed Rules for Exit and stop loss
5) # of wins
6) Total Trades
7) Overall Strategy working
a. Return on Equity (Month)
b. Reward/Risk Ratio (Month)
c. Expectancy (Month)
d. %Drawdown (Daily) Quick calculation