| StockFetcher Forums · Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO | << 1 ... 4 5 6 7 8 ... 22 >>Post Follow-up |
| tconte 13 posts msg #107577 - Ignore tconte |
8/13/2012 12:28:33 PM Hi bjfeen, I think it's in your "Min Low(5)" column "I" formula. I checked it for SDS on Sep15,2008, and the minimum low should be $66.42, but your spreadsheet shows $69,50. |
| tconte 13 posts msg #107578 - Ignore tconte |
8/13/2012 12:35:31 PM novacane, sorry about that, I changed the settings of the file now, and anyone with the link can access it without a password. Please try it and let me know if you have been able to access it. Thanks. |
| novacane32000 331 posts msg #107581 - Ignore novacane32000 |
8/13/2012 1:40:41 PM tconte.I can see it now.Thanks for sharing your work. |
| blumberg 27 posts msg #107582 - Ignore blumberg modified |
8/13/2012 2:13:04 PM tconte: It looks like your backtest produced much lower returns than Kevin's as well. Must be bc didn't include stops? |
| tconte 13 posts msg #107584 - Ignore tconte |
8/13/2012 3:35:35 PM thanks novacane for your feedback. blumberg, the capital appreciation is different because of the timeframe. I could not get more than 999 days back from SF, which represents about 4 years of data. Kevin started in Jan 2007 so that's 1 and a half year more for a total of 5 and a half years approximately. Nevertheless, my results look identical on the chart I just finished producing, especially the period from Sep2009 to Sep 2011, which shows a decline and a come back to pre-decline levels. When you think about it, it took 2 years of trading this system to recuperate the money lost during the Sep-Oct 2009 decline. I don't know about you, but I think I would have given up . I don't know what happenned in Sep-Oct 2009, it was just a blimp in the uptrend of the S&P. And in the 2 years afterwards, there were 2 consolidation periods (Jan-Aug 2010, and Mar-Jul 2011) where you think the system would have performed well being an oscillator type. If there was a way to identify and correct the system to prevent it, I think I would be more confortable trading it. |
| Kevin_in_GA 4,599 posts msg #107588 - Ignore Kevin_in_GA |
8/13/2012 4:32:15 PM I'll rerun this with no trailing stop from 1/2/2007 until 8/3/2012 and then also look at trailing stops from 1 to 10%. Will post the Stratasearch results later tonight (numbers only, not charts). The point here is that this system performs well - the debate is on exactly how well. Using the backest feature on ProdigoRTS (www.prodigiorts.com, a great robotic trading tool), I got the following trades and results. Commissions are calculated at 0.01 per share. 
The trades here are all roughly fixed at $49,000 instead of compounding from one trade into the next. So what I did was to use the Net P/L % data and multiplied to get the result. Using this rollover approach (which is what Stratasearch does) the system is up ~61% so far this year. |
| novacane32000 331 posts msg #107589 - Ignore novacane32000 |
8/13/2012 4:33:15 PM tconte.Try only taking SSO trades when the market is flat or trending up and SDS trades when the market is flat or trending down.Use the 50(ma) as an indicator to tell you which way the trend is going. As an example looking at the SPY chart you would have only taken SSO trades from Oct 2011 through May of 2012. From May 2012 through end of July 2012 the 50ma is down then flat so you take SDS trades only when the trend is down then both SDS and SSO trades as it flattens out This month the 50 ma turned up again so you would only take SSO trades. I actually did this with the 75 (ma) and got improved results from Jan 2011 to present . I suspect the 50ma may yield even better results . |
| tconte 13 posts msg #107592 - Ignore tconte |
8/13/2012 8:03:46 PM Thanks for your great suggestion, novacane. After testing trend with the SPY MA(50) (Aug2008 to Mar2009 down trend or flat; Apr2009 to Apr2010 up trend or flat; May2010 to Aug2010 down trend or flat; Sep2010 to May 2011 up trend or flat;Jun2011 to Sep2011 down trend or flat; Oct2011 to Apr2012 up trend or flat; May 2012 to Jul2012 down trend or flat ), the results are way better. The 2 year period for getting out of the slump has been shrunk to 8 months, and the end capital has increased to $700 k. check it out here: https://docs.google.com/spreadsheet/ccc?key=0Ah-vGIsKIZandFN2ZWpIb1p6bzRUNmU3bzZERW9mTWc#gid=1 |
| jackmack 334 posts msg #107593 - Ignore jackmack |
8/13/2012 8:09:01 PM Kevin I too am using Prodigio - can I get a screen shot of the rules for this Stochastic cross system for the RTS? There are some true limits to any system but what is great on Prodigio is if you put the rule to alert you when a condition triggers your rule to buy or sell it is awesome to see real time. I have asked the support group at Prodigio (they are a great group) about rolling ones gains from one trade to the next to allow stacking one position in a rolling manner and will post here the reply I get from them. This looks awesome Kevin - great work as always. Thank you for sharing. |
| Eman93 4,750 posts msg #107594 - Ignore Eman93 modified |
8/13/2012 8:58:25 PM johnpaulca 6,121 posts msg #107512 - Ignore johnpaulca 8/10/2012 12:04:06 AM you need to catch earlier in the cycle, nothing wrong with the strategy....cycle is long in the tooth and market is mean reverting. ======================================================================================= Like this?  |
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