ActiveTrader 2008-11 | Insider Buying strategy
Author: fairone99
Creation Date: 6/1/2015 1:25 PM
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fairone99

#1
Hi!

I have few questions about the ActiveTrader 2008-11 Insider Buying strategy:

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What is the "int timeoutEntry = 50;" for? And, subsequently, this line of code "if( ( bar + 1 - SetupBar ) < timeoutEntry )" - why do we need this line of code here?

Thanks,


Alex
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Eugene

#2
QUOTE:
What is the "int timeoutEntry = 50;" for?

The entry rule is:

"Enter long tomorrow if the stock has declined at least 50 percent (determined by today’s low price) from its 250-day high and has insider buying of at least $300,000 during the past 50 days. (Note: Insider buying is the aggregated dollar value of combined insider buy transactions on the open market of a security.)"

Highlighted is the definition behind the timeoutEntry.

QUOTE:
And, subsequently, this line of code "if( ( bar + 1 - SetupBar ) < timeoutEntry )" - why do we need this line of code here?


The idea is to wait while the price has declined, record that state, and keep waiting until there's a $300K in insider buying within the agreed period (i.e. timeoutEntry). If no matching volume of insider buying follows in these 50 days, the setup is invalidated and process is restarted from the beginning. The design pattern is explained in detail in this Knowledge Base article:

WealthScript Techniques | Setups, Triggers, Delays, and Timeouts
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fairone99

#3
Thank you, Eugene...

Let me re-cap your answer...

For example:

At 5/20, stock xyz has fallen by the preset 50% decline. A state is recorded at 5/20. Within 50 (timeoutEntry) "bars" after 5/20 if there are accumulated insider buying of at least 300K, than an action will take place. Is this correct?

I also notice this parameter "private StrategyParameter paramPeriod"; paramPeriod = CreateParameter("Time span, days", 50, 5, 300, 5); within the strategy. Is this parameter used for the above mentioned purpose not the timeoutEntry?


Alex
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Eugene

#4
1 - Yes.

2 - Used in calculation of aggregated insider buying (sum of buys during this time span).
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fairone99

#5
Thank you, Eugene...

Let me re-cap the whole thing:

Assuming: I set the private StrategyParameter paramPeriod ("Time span, days") to 5.

In order for a buy alert to be triggered today, stock xyz had to decline at least 50% within the past 50 (timeoutEntry) days/bars plus accumulated insider buys (in dollar amount) have to be at least 300K within the past 5 (paramPeriod, "Time span, days") days.

Is this correct?


Alex
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Eugene

#6
Yes, looks correct to me.
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fairone99

#7
Great and thank you, Eugene. It is all clear now.
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Eugene

#8
fairone99 asked:

Hi!

While studying the ActiveTrader 2008-11 | Insider Buying Strategy, I see the following comment and code:

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My question is that now we are in WLP6 and I am using Wealth Lab Pro 6.8. So is this block of code still valid? Are Insider transactions series still not split-adjusted in Wealth Lab Pro 6.8?

Thanks in advance for help.


Alex
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Eugene

#9
Alex,

It would be surprising if handling a fundamental series would change from WLP5 to WLP6 but anything can happen. Let's ask Cone who is the man when it comes to Fidelity data.
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Cone

#10
I'm not aware of any change for that, nor do I think it was ever considered a problem. Anyway, it would be very easy to determine by following an upcoming split (EXPO, INSY, MPC, and ROST this week) and comparing the data before and after.

Let's follow the INSY split tomorrow. Currently the last two insiders sales are shown as follows on Yahoo! and WL Pro:

May 27, 2015 FOURTEAU PATRICK Director 1,311 Direct Sale at $60.14 per share. 78,843
May 27, 2015 TAMBI BRIAN Director 3,100 Direct Sale at $60.09 per share 186,279

Let's refresh the data on Tuesday after the spit and compare.
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Cone

#11
And the answer is....

Insider data are not split-adjusted - not at Fidelity or at Yahoo! Finance.

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fairone99

#12
Thank you.

Yes and the data is still the same, not split-adjusted.