bjfeen
24 posts
msg #107547
- Ignore bjfeen |
8/12/2012 3:08:27 PM
Kevin, because everybody seemed to be having an issue backtesting this system, I made a Google spreadsheet with charts going back to July 2006 that is accessible from the link at the bottom. Data is from Yahoo finance and no stop loss was used. Strategy was very successful during 2008 - mid 2009, but gave most of it back. Maybe adding the 3% stop loss will prevent that? BTW it has been doing very well again this past year.
https://docs.google.com/spreadsheet/ccc?key=0AuYZy0eiS8MSdEszRXpzSFlsZjVsYmxPbC04dmM0cGc
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novacane32000
331 posts
msg #107562
- Ignore novacane32000 |
8/12/2012 9:14:03 PM
My backtest going back to 2010 show that avoiding SDS trades when the market is trending up (such as it is now) improves results .SSO trades do best when the market is trending up but also hung in there during down periods.
Who woulda thunk it, trading with the trend works.
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blumberg
27 posts
msg #107568
- Ignore blumberg
modified |
8/13/2012 1:15:18 AM
So bjfeen's backtest has a starting equity of $100,000 ending in $387,945 about 6 years later and Kevin's backtest has $100,000 ending in $1,367,436 about 6 years later. Who is right?
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bjfeen
24 posts
msg #107569
- Ignore bjfeen
modified |
8/13/2012 8:07:03 AM
I wasn't using a stop loss. Including one should improve results. I'm working on that now...
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Kevin_in_GA
4,599 posts
msg #107570
- Ignore Kevin_in_GA |
8/13/2012 8:46:01 AM
Also make sure that you are rolling the profits each time into the next trade (minus $17.90 for commissions on both sides of each trade). This is how the backtest was set up on Stratasearch. From your spreadsheet it was not entrirely clear that this was what you were doing.
Start with $100,000 and roll all of your profit into every trade. Exit the trade at the open of the next day after the signal, and enter the other trade at the same time. I'll download the Stratasearch trade list and post a link to it here for comparison.
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tconte
13 posts
msg #107572
- Ignore tconte |
8/13/2012 11:03:44 AM
Also bjfeen, your signals don't seem to match the ones from StockFetcher. For instance on Aug26 2008, 999 days back, which is as far back as the system can go I think, SF shows SSO long with these readings:
SDS %D(5,1,5) 59.72 %D(5,1,10) 58.64
SSO %D(5,1,5) 37.44 %D(5,1,10) 39.21
and on Aug27 2008, we have the signal to switch and go long SDS with these readings:
SDS %D(5,1,5) 52.76 %D(5,1,10) 56.65
SSO %D(5,1,5) 43.34 %D(5,1,10) 40.98
Just wondering why your %D calculations are different
Also, your spreadsheet has the buy SDS signal on Aug26 2008 and the sell SSO signal on Aug27 2008, which means that you have probably calculated holding both positions for 1 day, but the principle of the strategy is to hold only one position at a time. Also your %running gain or loss is from the close to the close, but the principle of the strategy is to start from the open of the next day, and also the way that you are adding percentages at the end is not mathematically correct.
Just giving you a few pointers for accuracy.
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bjfeen
24 posts
msg #107573
- Ignore bjfeen |
8/13/2012 11:26:06 AM
I'm not sure why it is different, %K(5) is calculated using highest high and lowest low of the last 5 days and the closing value. %D(5,1,5) is the average %K(5) for the last 5 days and %D(5,1,10) is the average %K(5) for the last 10 days. It's a work in progress. I have made the spreadsheet editable for anyone to play with if they want and I'll keep a copy of the master. I'll keep updating the master as people find bugs or issues with it...
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jackmack
334 posts
msg #107574
- Ignore jackmack |
8/13/2012 11:37:20 AM
Kevin
Not looking to modify this in any way just wondering if I wanted to add an addition filter to this as a smoothing mechanism using the 30 minute SPY chart and an EMA (4) and EMA (24) cross (above and below - for long or short) what then would be the best stochastic settings?
Thank you
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tconte
13 posts
msg #107575
- Ignore tconte |
8/13/2012 11:37:42 AM
Here is a link to my own manual backtesting:
https://docs.google.com/spreadsheet/ccc?key=0Ah-vGIsKIZandG1rYlE5SWdCWUoyZVNod3ZQSFJXN0E
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novacane32000
331 posts
msg #107576
- Ignore novacane32000 |
8/13/2012 11:42:21 AM
tconte,cannot access your link w/o a password.
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