duke56468
683 posts
msg #101927
- Ignore duke56468 |
8/2/2011 10:07:48 AM
I agree mahkoh... and I do use the 5min chart and the ma(20) in trading just like you describe. Problem is there is no backtest to tell us that that will work better than buy at the open for this filter,
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mahkoh
1,065 posts
msg #101936
- Ignore mahkoh
modified |
8/2/2011 5:40:21 PM
True, but you'd get each stock the system generated and that went lower after the open at a better price. I believe the odds are in your favor to outperform the system.
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duke56468
683 posts
msg #101938
- Ignore duke56468 |
8/2/2011 6:53:19 PM
You can tell the back test to only enter if below close with
set{ep, close yesterday - 0.01}
ep
but there is no way to trail it down like you might try in real life.
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novacane32000
331 posts
msg #101942
- Ignore novacane32000 |
8/2/2011 9:26:41 PM
Mahkoh-Your best bet to get a better price is simply to put in a .5% or 1% limit order at the open . Problem is you will miss out on stocks that take off from the open. My backtest show about 1 in 7 picks will not hit the limit order and will instead take off from the open for a big gain .
Average gain on those stocks is about 5%
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Eman93
4,750 posts
msg #101959
- Ignore Eman93 |
8/3/2011 2:45:34 AM
Duke never buy on a big gap up... most of the time it a fade.
if it is a gap and go .. like RDN today .. you wait for the first 5 min bar then trade long above that with a stop right below the low of that first bar... it has helped me. you have a plan for the open.
Get charts that show premarket data. you want to make sure you break above any overnight of pre market high.
Gap downs are the best to buy the open..
GLT.
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duke56468
683 posts
msg #101962
- Ignore duke56468 |
8/3/2011 9:35:55 AM
I agree.. thanks Eman
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Kevin_in_GA
4,599 posts
msg #102015
- Ignore Kevin_in_GA |
8/5/2011 9:31:56 AM
Been on vacation (still am). After yesterday's 513 point drop I doubt that any long only system looks good right now. Makes me think that this system might benefit from incorporating a market-based metric as well. I'll look into this when i am back. My initial thought will be around adding a rate of change element ( roc(X,Y) above 0) so that you stay out of down periods entirely. might reduce overall return but should add in some protection aginst prolonged drops.
Also, it occurred to me that in using ^SPX in the Z-score calculation instead of SPY, you will always be using YESTERDAY'S ^SPX value until after the market closes (since it is not updated until 5:30 PM or so). Just a caveat for intraday traders ...
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mahkoh
1,065 posts
msg #102039
- Ignore mahkoh
modified |
8/6/2011 3:49:23 PM
Thanks for the note on SPY- SPX, Kevin. It does indeed make a difference when checking intraday.
I have, like Duke earlier, been looking at an inverse version for short.
and exit at when zscore is below 1
Like Duke I let go of Williams %R as it did not seem to do this short version any good.
This performs excellent when the market is in selloff mode but horrible otherwise.
In order to formulate "selloff mode" I looked at the 50 SMA of SPY.
In general, when SPY is below the 50 SMA and the slope of this trendline has turned down this short version gives quite remarkable results.
It needs further backtesting for optimization but it might be something worth looking at.
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cracken
2 posts
msg #102072
- Ignore cracken |
8/8/2011 10:26:54 AM
Kevin, I hope you are enjoying your vacation. I did look at adding a filter to keep out of this during a down market...(below 200 dma). As you know the S&P dropped below this last Monday as the carnage began.
set{spx,ind(^SPX, close)}
set{spxMA200, cema(spx,200)}
spx above spxMA200
Another thought is the slope S&P for some shorter timeframe. This could be used to allow for only trading in an uptrend. Just some thoughts.
Now I am trying to decide if I should hold my positions in this selloff or get out of them. I have been putting on 5 to 8% stops but decided not to do that for this system recently. I have a few positions that are down 15-20%...
Long XIV...
Jeff
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duke56468
683 posts
msg #102082
- Ignore duke56468 |
8/8/2011 11:50:13 AM
cracken... The backtests that I did showed that a 10% stop loss did not hurt results much during most tiime frames and does add peace of mind.
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