Margin Portfolio (MP) Rules

Margin Portfolio Rules

This portfolio uses a long and short mean reversion algorithm to scan all the stocks in the entire US equity market for buy/short signals each night   It does not depend on the, news, fundamentals or complicated technical analysis.

 This portfolio will take a maximum of 10 positions and allocate 10% of the portfolio to each trade. This way the portfolio is not risking more than 10% on any one trade. We then sort all candidates on their 100 day Historical Volatility to ensure we are trading the ones with the highest volatility.

Scans are run and posted to the members only site by 8:00 PM ET before each trading day. A verified version of the scans will be posted by 12:00AM ET before each trading day.

The rules for each strategy are as follows:

Long Entry rules:

  • Price is over $2.00
  • Volume’s 21/day moving average is over 500,000
  • ADX (10) is over 20
  • RSI(2) is less than 70
  • The close is in the bottom 40% of today’s range
  • Is not OTC
  • Close is greater than MA(200)
  • Limit order percentage will vary with market conditions and based on monthly optimization.

Long Exit rules:

  • If the close is a percentage below MA(200)
  • RSI(2) close is greater than 50

Short Entry rules:

  • Price over $10.00
  • Volume’s 21/day moving average is over 2,500,000
  • Close is higher than previous day for 4 days in a row
  • Today’s return is greater than yesterday’s return
  • Is not OTC
  • Close is top 25% of yesterday’s daily range
  • Limit order percentage will vary with market conditions and based on monthly optimization.

Short Exit rules:

  • Close is less than ConnorsRSI 50
Advertisements