durgin
60 posts
msg #109129
- Ignore durgin
modified |
12/5/2012 1:03:54 PM
I agree that this is an "amazing filter" but it has it exactly backwards! For example, the posts say BUY SDS on 11/20 and SELL SDS on 12/4. Check the chart and see that was the wrong call. OK -- this is heresy because the backtest says the filter is correct. But I question if the backtest is correct. One thing I wonder about is if the backtest can deal with stock splits and reverse splits -- more common with leveraged ETFs.
I'm thinking of using this filter but just the opposite of what it says.
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jackmack
334 posts
msg #109130
- Ignore jackmack |
12/5/2012 2:24:14 PM
The filter is right - there is NO Holy Grail and this filter misses as acknowledged.
One thing I would like to see (if possible) would be the type of "look forward" back testing Kevin
had mentioned in his Connors RSI filter to see if that type of back testing would make any difference.
Kevin - would it?
Just curious
Thank you
Cheers
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VenturaTrader
44 posts
msg #109137
- Ignore VenturaTrader |
12/5/2012 9:58:55 PM
Yes, no holy grail and indeed the filter misses; that's the reason a 3% trailing stop is built in. This also reduces the stress of major drawdowns.
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Kevin_in_GA
4,599 posts
msg #109138
- Ignore Kevin_in_GA |
12/6/2012 12:09:59 AM
Kevin_in_GA
2,549 posts
msg #108696 11/6/2012 12:49:55 PM
Please look at the stats I posted for this filter (on the first page of this thread). The win % is only 53% and the average return a little over 1% per trade. I personally am not trading this one, as I have posted previously. This was an interesting system and one that others can use or modfy as needed.
I'm trading from my Divergence filters instead since I am happier winning more often with lower drawdowns even at the expense of possibly higher gains at the end.
How often does the filter make the right call? 53% of the time. To say that it trades backwards is fine - good luck in that endeavor (not being sarcastic).
Higher win rates provides a level of comfort. If that is what you want then I would suggest looking at the divergence filters I posted a while back. That is what I am using.
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jackmack
334 posts
msg #109814
- Ignore jackmack
modified |
1/2/2013 6:50:00 PM
Kevin
Just curious - had you ever run this filter on a set list of stocks to see if any returned greater returns than itself in a buy and hold scenario (example being the DOW30 or the S&P500) - by this I mean there are less volatile stocks that might trade within a range (or channel) and if those stocks were filtered out through back testing it might shed light on other fruit to be picked :-)
If those stocks that trade in a range or channel this cross over rule could apply to those that are discovered in back testing.
Guess what I am driving at is using this filter on the stocks in the S&P500 or DOW30 are there stocks that exhibit a greater propensity to show up and allow for greater gains than others since they may be less volatile and allow for entry long than short then long again if trading in a range - that is what I meant to ask above
Thank you
Cheers
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jackmack
334 posts
msg #113261
- Ignore jackmack |
5/10/2013 9:23:06 AM
Kevin - good morning
I was wondering if you wouldn't mind running this filter set in SS as I do not have and SF only seems to pick up SSO and blows out back test data.
Your current set up is (5,1,5) (5,1,10) but I was wanting to see how (5,1,5) (5,1,14) did in comparison on a side by side back test as you have listed on the first page.
Very sorry to have to ask for this.
Thank you in advance if you complete - if not I also understand.
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Kevin_in_GA
4,599 posts
msg #113274
- Ignore Kevin_in_GA |
5/10/2013 11:23:42 AM
You know that this wins only 53% of the time, right? And that the divergence filters (Pangolin D on Collective2) are much more reliable?
I'll run the comparison this weekend, but would still advise you to look at consistent win rates like those seen with the divergence filters.
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jackmack
334 posts
msg #113280
- Ignore jackmack |
5/10/2013 12:47:25 PM
Kevin
I agree COMPLETELY and I am in NO way challenging the win rate - I am merely curious as I cannot test the data here in SF.
Thank you for doing this.
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Kevin_in_GA
4,599 posts
msg #113281
- Ignore Kevin_in_GA |
5/10/2013 1:30:54 PM
Ok, just making sure!
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jimmyjazz
102 posts
msg #113313
- Ignore jimmyjazz |
5/11/2013 4:43:57 PM
Kevin, I'm not sure what the adjective is -- maybe "robustness"? -- but how do you assess the effect of a slight shift in win rate for these methods that are very close to 50/50? Perhaps it's an issue with all systems, but if I go from 53/47 to 52/48, that seems like it could lead to a HUGE drop in returns.
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