springhill
74 posts
msg #107473
- Ignore springhill |
8/8/2012 5:35:51 PM
Kevin,
Looks like SSO triggered long today.
But,,, it looks very oversold with Stochs above 75 and RSI(2) above 90
What do you think?
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Kevin_in_GA
4,599 posts
msg #107474
- Ignore Kevin_in_GA |
8/8/2012 5:56:39 PM
I will be buying SSO tomorrow at the open, unless there is a gap down that would get me in at a better price.
I have been skeptical of this rally for a while, looking at historical trends for this time of year and also relying on my RS systems, which have me in bonds. But this approach has consistently delivered YTD with a success rate of 75%, and is now up over 50%. We could argue about the meaning of RSI(2) over 90 or any other indicator all day, but you really can't argue with actual performance.
These trades typically last 3-6 days. Any indicator can stay overbought for that long, or longer.
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tconte
13 posts
msg #107475
- Ignore tconte |
8/8/2012 6:08:31 PM
Hello Kevin,
Thank you for sharing this filter.
I am pretty new at this, but I think that for SF Backtest to work, it needs to have in the Advance section "Maximum Entries Per Day" set to "2", so that you can see the two positions being switched on the same day at their respective open price, and "Maximum Open Positions" set to "1", so that you only end up long into one position. It is still not perfect, because sometimes both signals are long, or both signals are short, and SF misses the trade due to the fact that the exit crossover did not happen before or at the same time as the entry crossover. Nevertheless, very impressive results.
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tombrown1
61 posts
msg #107476
- Ignore tombrown1 |
8/8/2012 9:38:20 PM
Sorry for the rookie question, but I haven't spent any time with stochastics. What are the three inputs represented by Stochastics %D(5,1,5)? Is that the K period, the D period, and the smoothing period?
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drew9
171 posts
msg #107477
- Ignore drew9 |
8/8/2012 10:17:51 PM
Hi Kevin, you may want to try this as well with SPXL and SPXS? I entered SPXS near the close today even though this triggered this afternoon. When looking at the times when it fails, it tends to be when both lines merge near the top or bottom. They are right on top of each other now in the upper range. If you look back to the June 8th short, I think this is a repeat of what happened then. When the crosses occur near the middle, they are dead on with even a 1 or 2 day advance notice. With Bollinger, RSI and MACD all near the top, I just could not go long. MACD(2,3,1) diverged today and it has been very accurate lately. While this certainly could keep running, I sure hope I am right! Again, I really do like this as another tool. Thanks again and good trading!
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Nickster8074
53 posts
msg #107478
- Ignore Nickster8074 |
8/8/2012 10:32:31 PM
Tom, I calculated the stochastics as you stated (%k period, %d period, smoothing) and you are correct. It is calculated that way. So basically, stochastics %d (5,1,5) is a 5 day moving average of the %k and stochastics %d (5,1,10) is a 10 day moving average of %k.
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tombrown1
61 posts
msg #107479
- Ignore tombrown1
modified |
8/8/2012 10:36:54 PM
Ok Kevin, you have my attention. I've started a manual backtest using this for the first line:
- 5 for the k period, 1 for the d period, and 5 for the slowing period
and this for the second line:
- 5 for the k period, 1 for the d period, and 10 for the slowing period
I'm looking for the fast line to cross under the slow line. When the trading day closes with the cross, I buy at the open of the next day. When the trading day closes with the fast line above the slow line, I sell the next open. I used no stops (can't stand them).
I tested one etf at a time. I just finished August 8, 2011 to August 8, 2012.
SSO gained 112%
SDS gained 31%.
After testing the crash, I have a feeling I will have to retest everything with stops, but for now I'll leave them out.
More to come!
Thanks again for sharing Kevin.
TB
Edit: Oops, I made a small mistake in my calculations - backtest numbers are now correct.
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tombrown1
61 posts
msg #107480
- Ignore tombrown1 |
8/8/2012 10:37:49 PM
Thanks Nick.
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Kevin_in_GA
4,599 posts
msg #107482
- Ignore Kevin_in_GA |
8/9/2012 9:52:32 AM
Just to let folks know - I bought SSO this morning at $57.92. I tried to get a slightly better price watching the quote, and it moved up faster before I pushed the button.
Marketwatch says it opened at 57.74 this morning - should have just set it and let it take the open price, I guess!
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Nickster8074
53 posts
msg #107484
- Ignore Nickster8074 |
8/9/2012 10:26:52 AM
Kevin, what I did to avoid the run-up is to buy at about 30 seconds before open. The bid ask spread was only 3 cents and it got me in at 57.77. I did have a question though. You mentioned earlier in this thread that trading this filter without a stop loss was more profitable, will you be trading that way or will you use a trailing stop loss? Thanks again for the great filter!
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