kraems17
4 posts
msg #108204
- Ignore kraems17 |
9/28/2012 10:07:44 AM
@jackmack. I was in at $63.12 on the 19th, and stopped out with the 3% trail on the 25th at $61.83.
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johnpaulca
12,036 posts
msg #108205
- Ignore johnpaulca |
9/28/2012 10:38:47 AM
19th was the end of a cycle.
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Kevin_in_GA
4,599 posts
msg #108206
- Ignore Kevin_in_GA |
9/28/2012 11:26:56 AM
I think it is worth reminding people to look at the stats I posted in the first post on this thread. The win % is only slightly over 53%, and the max number of consecutive losses was 7. Right now this has lost 4 in a row, I think. Not terribly inspiring, but well within the system's past statistical boundaries.
The 3% trailing stop is designed to improve overall risk/return ratios (basically the Sharpe ratio), which are usually an issue for 2x leveraged ETFs. It ultimately results in more losses, but smaller overall losses. I know it sucks when it happens, but it happens for a good reason.
If you are wanting higher win rates but lower overall returns, I would direct you to this set of divergence filters -
http://forums.stockfetcher.com/sfforums/?q=view&fid=1002&tid=108174&qrid=
These provide about 30% annual return with 85-90% win rates. Not nearly as impressive as the 200+% return seen with this system over the same time period, but they do meet many trader's pschological need to be "winning" more than to be richer.
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kraems17
4 posts
msg #108213
- Ignore kraems17 |
9/28/2012 2:25:04 PM
@Kevin_in_GA:
Absolutely, the long run stats and Sharpe ratio is what attracted me to this filter.
One loss doesn't have me phased, and the stop loss at 3% helps you get out when the trend isn't with the system without too big of a loss. I'd rather take a small loss and win 53% of the time, than not get stopped out and lose more.
Have you looked at swapping the Go Long and Go Short indicators on this one Kevin? I was looking at it this morning, and based on the recent chart, the signals would have you short SSO now, and long SDS and seemed to map more closely to the trend of the market. This could just be a result of a small sample set as I don't have access to good backtesting tools, but thought it was interesting none the less.
Thanks for all you share with this forum.
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Kevin_in_GA
4,599 posts
msg #108266
- Ignore Kevin_in_GA |
10/3/2012 2:50:16 PM
The filter now indicates a change in position from SSO (stopped out last week) to SDS.
Personally I am using the less profitable but more reliable Divergence filters I posted last week.
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jackmack
334 posts
msg #108335
- Ignore jackmack |
10/10/2012 3:31:13 PM
If I am reading this right the SSO buy signal kicked today?
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Kevin_in_GA
4,599 posts
msg #108339
- Ignore Kevin_in_GA |
10/10/2012 10:28:07 PM
Yup.
Last trade for SDS - in at 53.32 and closed today at 55.01 (a gain of a little over 3%).
As I posted earlier, I am trading off the divergence filters which have only had the CMF(14) filter trigger so far. Given the historical success of the cmf(14) filter buying in at this point would likely return a good profit, but I am going to wait for at least one other divergence filter to trigger before jumping in long on the SPY.
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kraems17
4 posts
msg #108340
- Ignore kraems17
modified |
10/11/2012 6:52:39 AM
Did anyone else get caught with the reverse 4 -> 1 split on SDS last week? My broker cancelled my open trailing stop which was expected, but I'm not able to close my current position until they take delivery of the new shares in 5-10 business days. Makes closing this out for a profit a little difficult right now! :)
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Kevin_in_GA
4,599 posts
msg #108341
- Ignore Kevin_in_GA |
10/11/2012 6:58:28 AM
I had not seen this, but you're right - the split was announced on 9/20 and took effect on 10/4.
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jackmack
334 posts
msg #108357
- Ignore jackmack |
10/12/2012 9:39:38 AM
Kevin
Would you mind sharing the Stratasearch filter?
Thank you
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