jackmack
334 posts
msg #107817
- Ignore jackmack
modified |
8/27/2012 7:58:40 AM
For chart purposes how would you add the 5 and 10 day EMA?
Thanks
Check that - found in SF 2.0 can just add to charts
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jackmack
334 posts
msg #107818
- Ignore jackmack |
8/27/2012 8:30:28 AM
bjfeen were you able to update your spreadsheet with the 3% stop loss?
Also - thank you for sharing this with us here - that is some awesome work :-)
Thank you
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jackmack
334 posts
msg #107830
- Ignore jackmack
modified |
8/28/2012 9:51:36 AM
tconte - just wondering if you wouldn't mind trying the same idea but using the 30 day SMA (vs. 50) as
requested by novacane32000.
Trade SSO signal only above and SDS only when below - and only trade on the "next" signal given
once price moves through the SMA to prevent potential whip-saws and use the 3% stop and do not
take the next trade unless it corresponds with the price trend as indicated by price in reltion to 30 SMA.
Just curious if it improves overall results because viewing a chart of SSO or SDS the 30 day SMA
looks to capture a lot of the signaled trades and by not taking the inverse (counter trend) trades it
could possibly increase the overall equity curve.
Thank you
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tconte
13 posts
msg #107841
- Ignore tconte |
8/28/2012 11:04:09 PM
jackmack. The result is not impressive. The capital at the end is $313k, and a lot of trades did not qualify, ending up with an average of 1 trade per month. Please see the link below.
https://docs.google.com/spreadsheet/ccc?key=0Ah-vGIsKIZandHlTb3JBZ2Z3UVVaVTd4OGV3XzIwYVE
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jackmack
334 posts
msg #107848
- Ignore jackmack
modified |
8/29/2012 8:07:28 AM
tconte
Thank you for taking the time to do this - it appears the 50 day SMA is indeed the better approach if one is using this other than the way Kevin originally set out.
Thank you again for your time and efforts.
Do you think this set up with the 50 (SMA) could be scripted so SSO entered on the NEXT signal when price is above or slopping up -- and SDS when the NEXT signal when price is below or slopping down?
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tconte
13 posts
msg #107861
- Ignore tconte |
8/30/2012 4:23:32 PM
You're welcome, Jackmac.
I am not sure about the scripting, though.
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Kevin_in_GA
4,599 posts
msg #107862
- Ignore Kevin_in_GA |
8/30/2012 5:53:16 PM
- it appears the 50 day SMA is indeed the better approach if one is using this other than the way Kevin originally set out.
+++++++++
Did you compare this result to the backtest data and stats I posted in the first thread? I think it falls short by about $1 Million dollars (and I'd love to see drawdown and Sharpe ratio data on any variant). If in fact it does outperform the simple stochastic crossover I would happily adopt it, but to date I have not seen any equity curve or basic stats that convinces me to switch.
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tennisplayer2
210 posts
msg #107873
- Ignore tennisplayer2 |
8/31/2012 10:39:06 AM
There is an intraday cross. If this holds up, we are to buy SDS on Tuesday. I'm not sure what I'm going to do yet.
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Kevin_in_GA
4,599 posts
msg #107879
- Ignore Kevin_in_GA |
8/31/2012 2:47:07 PM
Yeah, this has been hopping between SSO and SDS all day. If it does not end up in SDS by the end of the day, it most likely will on Tuesday. Clearly the flip is near.
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reticent67
2 posts
msg #107880
- Ignore reticent67
modified |
8/31/2012 3:02:20 PM
Kevin,
Once again, great work on an exciting new filter and thank you for sharing it. I too would be interested in seeing a screenshot of the trading rule in Prodigio? I'm trying to backtest and am coming up with wildly different results than yours. Have you abandoned NinjaTrader in favor of Prodigio. I'm still on the fence about which one I like best/trust more.
Cheers,
Rick
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