BarTune1
441 posts
msg #107946
- Ignore BarTune1 |
9/6/2012 7:51:57 PM
Eman is dead on when he says the only thing you can control is the risk. I have played pretty much only pairs the last two to three weeks and todays move had little effect on my portfolio despite the large move in the indexes.
I did however start taking short positions late in the day (APOL, ESI, JCP,QSII). I am concerned a little with the jobs number tomorrow and a possible carry over, but I manage risk by position size and will add likely add to the shorts late tomorrow if the market spikes up again.
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novacane32000
331 posts
msg #107969
- Ignore novacane32000 |
9/9/2012 3:19:46 PM
Kevin , are you ok with posting your stratsearch startegy syntax for this filter?
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Kevin_in_GA
4,599 posts
msg #107970
- Ignore Kevin_in_GA |
9/9/2012 4:42:16 PM
Stratasearch Code:
Entry
crossbelow(stochd(5, 1, 5,simple),stochd(5, 1, 10,simple))
Exit
crossabove(stochd(5, 1, 5,simple),stochd(5, 1, 10,simple)) or
traildown(3,unleveraged)
Entries and exits are the default
ref(open,1)
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novacane32000
331 posts
msg #107977
- Ignore novacane32000 |
9/9/2012 8:10:44 PM
Thanks
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jackmack
334 posts
msg #108007
- Ignore jackmack
modified |
9/11/2012 10:34:46 AM
Kevin,
Was the STOCHASTICS %D(5,1,5) %D(5,1,10) the one that created the greatest number of potential profitable trades or is it possible that a different time frame for cross above/below in the oscillator might produce better results?
Just asking
Thank you
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Kevin_in_GA
4,599 posts
msg #108009
- Ignore Kevin_in_GA |
9/11/2012 11:05:37 AM
Highest APR, low drawdown, high Sharpe ratio. Those were the criteria I loked for.
This specific combination was the highest APR and among the highest Sharpe and lowest drawdown.
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duke56468
683 posts
msg #108011
- Ignore duke56468 |
9/11/2012 1:15:26 PM
On this last trade a trailing 3% stop would have saved you several hundred dollars (depending on the size of the position) over a hard 3% stop. However in the backtests I did, a trailing stop did considerably worse over a 4 mo period.
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Kevin_in_GA
4,599 posts
msg #108012
- Ignore Kevin_in_GA |
9/11/2012 2:38:06 PM
Note: The addition of a 3% trailing stop here generated the best overall performance since 1/2/2007, as I had shown in the first post. The last four months is not necessarily representative of the system's long term performance.
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jackmack
334 posts
msg #108049
- Ignore jackmack
modified |
9/14/2012 8:44:35 AM
Just wondering - is there any statistical data that could be added to this that would indicate if a "stop" is hit in one day to take the opposite trade and just set your new stop at the buy price of the new position - this most recent SDS stop switching to SSO once the stop was hit. Again this would be for a one day stop being hit (a gap opening up or down).
Again - IF the stop occurs in ONE trading day - not a gradual day over day hit.
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Kevin_in_GA
4,599 posts
msg #108050
- Ignore Kevin_in_GA |
9/14/2012 9:32:28 AM
Not that I am aware of - that type of analysis would probably need to be done manually and I am not sure it makes sense given the overall historical results just keeping the stop as is and re-entering at the next crossover.
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