Kevin_in_GA
4,599 posts
msg #104383
- Ignore Kevin_in_GA |
1/13/2012 3:46:15 PM
(Essentially) End of day SELL signal for COST - currently at 80.71.
initial BUY signal (intraday) at 81.60, so you're out for a loss of 1.1%.
Also Intraday SELL for KR at 24.21. Intraday BUY signal was at 23.79, so out for a gain of 1.8%.
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mahkoh
1,065 posts
msg #104384
- Ignore mahkoh |
1/13/2012 4:13:49 PM
Kevin, I have been wondering: Since you changed ^SPX to spy for entry did you also make that change in the exit filter?
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mahkoh
1,065 posts
msg #104446
- Ignore mahkoh |
1/17/2012 11:02:22 AM
BIG about to hit the filter intraday. All it needs is a close below the lower BB at 37.34
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niajy
13 posts
msg #104449
- Ignore niajy |
1/17/2012 11:41:34 AM
big buy alert
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Kevin_in_GA
4,599 posts
msg #104467
- Ignore Kevin_in_GA |
1/17/2012 4:25:11 PM
End of day SELL for MA at 345.98. Closed from the 1/6 BUY signal at 342.92 for a small net gain (+0.89%).
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jsheetz
23 posts
msg #104470
- Ignore jsheetz |
1/17/2012 5:06:52 PM
MA gained, but in the same time SH lost 1.23% resulting in a small net loss overall. Or do you just continue to hold the SH trade to hedge your next play, Kevin? If so, doesn't that leave extra risk on the table?
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Kevin_in_GA
4,599 posts
msg #104471
- Ignore Kevin_in_GA |
1/17/2012 7:06:12 PM
What makes you think I hedge with SH? I specifically talked about this in the first page of this thread and that the backtest did not work well.
While this is designed to look like one half of a pair trade, it is not. All long plays without hedge or stop losses.
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jsheetz
23 posts
msg #104476
- Ignore jsheetz |
1/17/2012 10:51:27 PM
My mistake, I guess I misread your post on 6/3/2011 7:00:15 AM as you mentioned both ways. This makes more sense now why you never seemed to mention the other half of the pairs trade.
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Kevin_in_GA
4,599 posts
msg #104480
- Ignore Kevin_in_GA |
1/18/2012 8:46:25 AM
Not a problem - I just didn't want people to think this was different from how I had developed it.
If you look at the equity curve and the Sharpe ratio, there really is no need to hedge on this. Over the 10 year period tested (1999-2009, which included two brutal recessions) this system performed admirably.
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niajy
13 posts
msg #104481
- Ignore niajy |
1/18/2012 10:14:37 AM
PM buy alert
BIG ...about to exit from long?
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