Kevin_in_GA
4,599 posts
msg #107374
- Ignore Kevin_in_GA |
8/6/2012 8:26:37 AM
Using this as an entry:
SYMLIST(SDS,SSO)
STOCHASTICS %D(5,1,5) crosses BELOW STOCHASTICS %D(5,1,10)
and your exit of:
STOCHASTICS %D(5,1,5) CROSSES above STOCHASTICS %D(5,1,10)
or
3% trailing stop
over the last two years with 2 maximum open positions and 2 trades per day
buying and selling at the open
Your equity summary would've lost about $300 total.
+++++++++++++++++++
I got bad results from SF as well. Two things worth checking:
1. I only saw that SSO was traded, never SDS. Check to see if SDS was ever traded, and if so was it alternating with SSO as it is supposed to be?
2. If you remove the 3% trailing stop, you get 22% return over the last 4 months on the SSO trades. Again, not sure if the stochastics here are calculated in the same manner as they are in Stratasearch.
Also, you should only have 1 position open and 1 trade per day.
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Kevin_in_GA
4,599 posts
msg #107375
- Ignore Kevin_in_GA |
8/6/2012 8:28:11 AM
Also, to make it simpler just ignore the "go_short" column, as this is simply to confirm that the mirror image ETF is sending the opposite signal at the same time.
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Nickster8074
53 posts
msg #107381
- Ignore Nickster8074 |
8/6/2012 10:19:02 AM
I backtested this filter by hand using the opening price the day following the signal and had some mighty impressive results. The only difference is that I used 3% stop loss as opposed to a 3% trailing stop loss. After commissions, I came up with slightly more than a 51% return from 4/4/12 to 8/3/12, a four month period. It seems quite choppy, but the results speak for themselves. Excellent filter once again Kevin!
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blumberg
27 posts
msg #107383
- Ignore blumberg |
8/6/2012 11:45:24 AM
The last four months were extremely choppy, therefore a stochastic crossover system has worked very well. I don't see how it would perform well during a trending market.
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Kevin_in_GA
4,599 posts
msg #107384
- Ignore Kevin_in_GA |
8/6/2012 11:59:05 AM
Just look at 2008 for a down trending market and post March 2009 for an uptrend. The graph I posted shows the net equity generated during those times. Both were solid.
Nice thing about this filter is a lot of people can use it at the same time and not skew the results, since the liquidity on these two ETFs is insanely high.
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tennisplayer2
210 posts
msg #107385
- Ignore tennisplayer2 |
8/6/2012 12:31:17 PM
Please correct me if I'm wrong, but I thought that when %D5 crosses above %D10, we should be long the market (in SSO) and when %D5 crosses below %D10 we should be out of the market (or in SDS). Thanks.
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Kevin_in_GA
4,599 posts
msg #107386
- Ignore Kevin_in_GA |
8/6/2012 12:49:31 PM
Consider yourself corrected - it is the other way. Seems counterintuitive but that's the way the filter works.
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VenturaTrader
44 posts
msg #107405
- Ignore VenturaTrader |
8/6/2012 10:40:28 PM
Also, to make it simpler just ignore the "go_short" column, as this is simply to confirm that the mirror image ETF is sending the opposite signal at the same time.
***********************************************************************************************************************************
Way to go Kevin!!
To avoid confusion I just took the "go_short" column out of your filter so the short signals are not seen. For those of us who are color blind it makes it easier to see the signals. Nice job!
Mike
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Eman93
4,750 posts
msg #107407
- Ignore Eman93
modified |
8/6/2012 11:17:42 PM
It looks like on the back test you did not utilize the 3% trail..
It says max draw down is 25%
Average position draw down is 5.08%
worst year is 6% and best year is 280%
That is also kind of a flag to me also that you could have that big a year. I think SDS did a reverse spit that could skew the results.
I just want people to understand the results need to be full analyzed and don't just throw your total account into it....
as you can see from this chart it is a good system...
http://stockcharts.com/public/1107832/chartbook/250425937;
Nice work and always enjoy your contributions.
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Kevin_in_GA
4,599 posts
msg #107414
- Ignore Kevin_in_GA
modified |
8/7/2012 8:59:44 AM
The data used in the backtest is from Yahoo. I think (but will check to be sure) that they have corrected for the splits and those crazy distributions they used to do every quarter.
The larger losses are the result of gaps down/up at the open.
UPDATE: Yahoo historical prices for both of these ETFs are corrected for splits and dividends.
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