tombrown1
61 posts
msg #107420
- Ignore tombrown1 |
8/7/2012 10:50:25 AM
I did get results from both etfs. I think I'm going to do a full manual backtest over the next couple of days from the practical inception of these funds. I've never manually tested a trailing stop though. Is the trailing stop only calculated by the closing price?
TB
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Kevin_in_GA
4,599 posts
msg #107421
- Ignore Kevin_in_GA |
8/7/2012 10:59:44 AM
Trailing stops are usually from the high.
I would suggest back testing without a stop loss first - it is easier and from what I have seen also quite profitable.
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drew9
171 posts
msg #107426
- Ignore drew9 |
8/7/2012 12:20:14 PM
Hi Kevin,
After reviewing this, it is again some really nice work! If you really look at the signals, they tend to be a leading indicator of what is to come. If you moved the entries one or two days after the signal, the results appear to be much better. Perhaps you may want to run the backtest and try it? I think this is really impressive to use as a heads up with other indicators to confirm possible entries and exits. It seems to be dead on with a two day lag in choppy markets. I love leading indicators and this is one to add to the collection. Thanks!
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tombrown1
61 posts
msg #107428
- Ignore tombrown1 |
8/7/2012 1:30:09 PM
I understand they are from the high, but intraday high or end of day high? Also, do you sell intraday when stop is hit immediately? I can take some guesses, but I just wanted to make sure we are on the same page.
Best,
Tom
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Kevin_in_GA
4,599 posts
msg #107429
- Ignore Kevin_in_GA |
8/7/2012 1:58:09 PM
In backtesting, the daily low will be used to see if the trailing stop is triggered. Looking this up, the trailing stop is based off the close, not the high. Here is the Metastock formula for calculating it.
SVE_Stop_Trail%
perc:=Input("Trailing Loss % :",0,100,14);
loss:=C*perc/100;
trail:=
If(C>PREV AND Ref(C,-1)>PREV,
Max(PREV,C-loss),
If(CMin(PREV,C+loss),
If(C>PREV,C-loss,C+loss)));
Trail
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voidcomp
23 posts
msg #107431
- Ignore voidcomp |
8/7/2012 3:01:44 PM
How does this do with weekly periodicity, understanding that drawdown and return would probably be compromised in favor of fewer trades?
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duke56468
683 posts
msg #107445
- Ignore duke56468 |
8/7/2012 9:27:49 PM
Shouldn't I be able to sort on column 5 descending, and have either SSO or SDS pop to the top? I thought this would help in backtesting. Didn't seem to work.
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Kevin_in_GA
4,599 posts
msg #107448
- Ignore Kevin_in_GA |
8/7/2012 10:20:10 PM
By adding the line
ADD COLUMN SEPARATOR
before "add column go_long", the separator becomes column 5. Try sorting on column 6 descending.
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olathegolf
119 posts
msg #107450
- Ignore olathegolf
modified |
8/7/2012 11:31:16 PM
Nice, Kevin. Thanks.
Anyone interested in backtesting manually can download (and modify) a stochastics spreadsheet from: http://stochastics.weebly.com/
**Update: Looks like this is not free but you may find the link useful.**
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Kevin_in_GA
4,599 posts
msg #107463
- Ignore Kevin_in_GA |
8/8/2012 10:59:19 AM
Looking at today's values from stockcharts.com, freestockcharts.com and here on SF, the system will signal a move to go long on SSO at the end of the day (assuming no massive drop that would keep the current SDS trade going).
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