Kevin_in_GA
4,599 posts
msg #107881
- Ignore Kevin_in_GA |
8/31/2012 5:18:18 PM
End of day flip from SSO to SDS. Enter at the open on Tuesday.
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Nickster8074
53 posts
msg #107908
- Ignore Nickster8074 |
9/3/2012 11:48:48 PM
Kevin, when back testing this system and the ETF was stopped out, did the simulation buy whatever signal was long on the next day or did it buy the opposite ETF whenever it went long? The reason I ask is that when your ETF is stopped out, which happened about %45 of the time, usually the next several days will stay long on the ETF you were stopped on. So, in theory, I'd be waiting in cash for the opposite ETF to go long, correct? If your simulation went long on the following day, regardless of whether it was opposite or not, that may explain your exceptional results. It would be as if there were no stop loss. I hope this makes sense.
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Kevin_in_GA
4,599 posts
msg #107928
- Ignore Kevin_in_GA |
9/6/2012 10:56:06 AM
Ouch. ECB announcement is driving the markets today. SDS is currently at 13.96, triggering the 3% stop loss from the open on Tuesday at 14.41.
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jackmack
334 posts
msg #107930
- Ignore jackmack |
9/6/2012 11:13:28 AM
Kevin - this is still one of the best filters I have ever come across.
The 3% will be made up and then sooooo much more.
Crawl - Walk - Run
Thank you again for sharing.
Cheers
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tennisplayer2
210 posts
msg #107933
- Ignore tennisplayer2 |
9/6/2012 12:56:26 PM
Kevin, I agree with Jack. Thanks for the filter and I will continue to trade it. Also, thanks for your honesty and openness. You are a man of character.
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Kevin_in_GA
4,599 posts
msg #107934
- Ignore Kevin_in_GA |
9/6/2012 1:24:22 PM
I think today highlights two things for me:
1. This market trades less and less on technicals or fundamental data, and more on news than ever before.
2. Leverage cuts both ways. I highlighted the fact that I was surprised this system had a good Sharpe ratio given it's use of the doubles. Over time it has generated solid profits, but it always is frustrating to get stopped out.
I'm optimizing a set of long-only trading filters for the S&P 500 index that I'l post once I have finished the analysis. These are based on the index itself, so they could be played using a number of different strategies or instruments. Given the limitations to SF code, not all of them are directly translatable into SF, but I'll post the ones that are.
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tennisplayer2
210 posts
msg #107935
- Ignore tennisplayer2 |
9/6/2012 3:06:15 PM
Kevin, thanks and looking forward to the new filters.
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jackmack
334 posts
msg #107938
- Ignore jackmack |
9/6/2012 4:38:07 PM
Thank you Kevin
I cannot wait to see them.
Cheers
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Eman93
4,750 posts
msg #107944
- Ignore Eman93 |
9/6/2012 7:00:17 PM
I think when all 3 happen at the same time you get a move like today....
The only thing you can control is the risk... that is it..
the only thing charts do is graphically plot price and volume over time.. those are the only facts you have, the rest is mathematical models of the facts.
its simple but the hardest thing I have ever done......LOL.... but I have never run with the bulls...GLT
http://stockcharts.com/public/1424685/chartbook/129091841
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novacane32000
331 posts
msg #107945
- Ignore novacane32000 |
9/6/2012 7:41:43 PM
Page one shows this filter has had 7 consecutive losses in BT.
2011 had a streak where 6 of 8 trades were losers starting around April but then the next 13 of 14 trades were winners.
As Kevin mentioned-sometimes we just need to recognize when a market is news driven.
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