Kevin_in_GA
4,599 posts
msg #107616
- Ignore Kevin_in_GA |
8/14/2012 1:35:11 PM
You need to upload it to a hostng site like tinypic or photobucket, then link to it. I use photobucket - it's free and gives you plenty of storage.
You could probably also use google docs (?) ...
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shainadir
25 posts
msg #107617
- Ignore shainadir |
8/14/2012 2:31:14 PM
It appears that most of the losses occur on the short side(SDS)...so any thoughts on trading half a position for SDS, and full position for SSO?
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tconte
13 posts
msg #107620
- Ignore tconte |
8/14/2012 3:47:33 PM
shainadir. Here is you idea backtested.
https://docs.google.com/spreadsheet/ccc?key=0Ah-vGIsKIZandFNRRVpKTk83Vm5kcmc3TUdTaUxCVGc
Actually ended up making less money with $366k at the end of the period vs $430k for the original strategy.
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bjfeen
24 posts
msg #107621
- Ignore bjfeen
modified |
8/14/2012 3:55:40 PM
What about correlating it with the VIX?
In the last 6 years there were 3 very distinctive spikes in the VIX: late 2008, May-June of '10, and Aug - Oct '11. When comparing these spikes to charts of ONLY SDS or ONLY SSO using the sto crossover system, each spike correlated with large gains in SDS, and large drops in SSO. SSO seems to be very profitable when the VIX is below 25-30, and SDS is profitable when the VIX is above 25-30.
Just something that jumped out at me when studying the charts...
tconte, you seem to be much quicker at posting results... can you try this in your spreadsheet?
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tconte
13 posts
msg #107623
- Ignore tconte |
8/14/2012 4:57:16 PM
Hi bjfeen,
Yes, I created a spreadsheet for this idea, and the results are poor with a total capital of 302k at the end
https://docs.google.com/spreadsheet/ccc?key=0Ah-vGIsKIZandElQM19CVDFtaXN1Nm5sWVdUUWMyTVE
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drew9
171 posts
msg #107624
- Ignore drew9 |
8/14/2012 5:50:00 PM
I am ready for this to turn down. VIX finally confirmed today with a nice jump. This nearly always signals a turning point for the short term trend. I am wondering what news they will come up with to move this down. An increase in the VIX means large Put buying. So it appears they postioned themselves today.
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tombrown1
61 posts
msg #107632
- Ignore tombrown1 |
8/15/2012 12:04:31 AM
I guess I'm not as excited about the curve as you are. The method went two years without making a dime from septemberish 2009 to septemberish 2011. It made a ton of money in two separate one year periods and did nothing the rest of the time. Would you continue to trade this system for the next two years straight if you didn't make a dime? Seems unlikely.
Sorry to be such a downer - I do plan on doing some further back testing on this because it shows promise - but I just don't see it as a high probability consistent winner in its current form.
Best,
Tom
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Kevin_in_GA
4,599 posts
msg #107636
- Ignore Kevin_in_GA
modified |
8/15/2012 6:52:53 AM
I'll state the obvious - no one is under any obligation to trade this filter, or even to like it. I am going to use it, but each person makes their own decisions.
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tennisplayer2
210 posts
msg #107637
- Ignore tennisplayer2 |
8/15/2012 8:03:47 AM
Kevin, well said. I and hopefully many others want to thank you from the bottom of our hearts for helping us with your filters. I am planning on using this in one of my accounts and let the chips fall where they fall (at first I didn't understanding why the filter would buy when the slower SS cross the faster, but now I do and I think in the long run, I will be pleasantly surprise). Many thanks and God bless.
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jackmack
334 posts
msg #107638
- Ignore jackmack |
8/15/2012 8:16:41 AM
I will defend this filter and add additional support for entry and exits for others to help in set ups;
Use the following as filters (I am not sure how to script this here in SF)
RSI(42) and MA(100) - when RSI(42) is above MA(100) = go long SSO or go long SDS when below - and
CCI(220) and MA(55) - when CCI(220) is above MA(50) = go long SSO or go long SDS when below - and
EMA(150) and EMA(20) - when EMA(20) is above EMA(150) = go long SSO or long SDS when below (this one is mainly for reference as this is more a trend confirmation - but the first two are condition sets (maybe someone could add this to the current script on page one and run back tests on it and see how she did - I am sure it will be favorable)
So if you stack the filter to use these conditions the out performance is amazing
Just my 2 cents but I have not seen anything close to this filter in performance here
Thanks Kevin for sharing this - I may actually be able to send my kids to college off of this one ;-)
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