| StockFetcher Forums · Filter Exchange · MY XIV TRADING SYSTEM USING STRATASEARCH FILTERS | << 1 ... 19 20 21 22 23 ... 40 >>Post Follow-up |
| nibor100 1,099 posts msg #140063 - Ignore nibor100 |
12/13/2017 1:27:01 PM @shillllihs, While there hasn't been a bear market in years, since its inception XIV has had a few tumbles downward, Between Feb 2011 and Feb 2014 XIV had 4 short term bearish drops: a 1 month drop of -30%, followed later by a 2 month drop of -72%, another 1 month drop of -29%, and a 1 month drop of -24%. I ran a backtest is SS of this system from 2/15/11 to 2/14/14 giving the following results for Portfolio Size of 10 and Fixed Trade Equity: 525 trades, 364 wins, 161 losers for avg annual return of 46.2% Avg trade gain was 2.64%, 0.26% daily return, Avg winning trade 7.51%, avg losing trade -8.36% 11 losing months out of 37 months Max realized drawdown -51.3% Unrealized -65.7% Net profit $138,830 or 138% Buy and Hold over same period 110%. If you are interested in the variable trade equity results, those where one invests all available portfolio cash split 10 ways, so compounding can occur, let me know. Note: 1 possible issue with this particular backtest is there are only 53 lead-in days of XIV data available. Ed S. |
| shillllihs 6,101 posts msg #140065 - Ignore shillllihs |
12/13/2017 2:02:04 PM As I said before, I trade under the idea that there are 3 distinct markets, bull, fluctuating and bear. For example one of the fluctuating phases began Mid July 2014 and ended Feb 2016. From that point, which I consider a bull market, buy n hold had outperformed. No big deal, i out perform this system by about 130%. Just clarifying My view. Not downing it, it's a quaint system for sure. I do find it a bit amusing over all the confusion though. I think someone should convert some of these to sf, it might be good as a secondary confirmation. It could be a factor in a deciding decision if I had to make a tough call, but I have developed a system that I'm very impressed with. |
| Kevin_in_GA 4,599 posts msg #140066 - Ignore Kevin_in_GA |
12/13/2017 2:32:16 PM Don't bother trying to convince shilllihs that anything could be as good as his own fantasy system. When he posts a backtestable system with any evidence of trades being made, the four horsemen will likely ride upon the wind and the Apocalypse will have begun. When that happens I will go long TVIX ... |
| emwalker 35 posts msg #140073 - Ignore emwalker |
12/13/2017 4:19:05 PM I'm curious about several of these filters that incorporate strategies involving volume, there are some that include chakin money flow, money flow index, volume index, etc. If my understanding of XIV is correct, volume does not play a large part in moving the price like a normal stock, right? The price is just the inverse of volatility, so should strategies involving volume really be used? Or does it not really matter, if it works, it works? |
| ferndave 65 posts msg #140077 - Ignore ferndave |
12/13/2017 8:07:44 PM Santa better bring shilllihs some burn ointment for Christmas. |
| Kevin_in_GA 4,599 posts msg #140078 - Ignore Kevin_in_GA |
12/13/2017 8:44:19 PM Two SELL signals for tomorrow - #38 (which was bought this morning and is currently -0.57% return) and #6 (purchased on 11/29 and currently up 6.42%). Net on this is to still hold three units, although I might be tempted to pick up 1 or 2 more if the price drops tomorrow - I'm getting a pretty reliable set of Neural Network XIV BUY signals either in place or set to trigger off of the weekly bar forming. |
| manumoneya 41 posts msg #140083 - Ignore manumoneya |
12/14/2017 3:01:21 AM Side Action PF OrderType Product Symbol Name BuyDate BuyPrice ClosePrice GainLoss SystemName Sector Priority Rank Long Sell 10 Stock XIV Velocityshares Daily Inverse Vix St 12/13/2017 128.94 128.21 -1.00% XIV MULTISYSTEM #38 XIV Long Sell 10 Stock XIV Velocityshares Daily Inverse Vix St 11/29/2017 120.47 128.21 -1.00% XIV MULTISYSTEM #6 XIV Long Hold 10 Stock XIV Velocityshares Daily Inverse Vix St 12/04/2017 119.76 128.21 -1.00% XIV MULTISYSTEM #27 XIV Long Hold 10 Stock XIV Velocityshares Daily Inverse Vix St 12/05/2017 116.7 128.21 -1.00% XIV MULTISYSTEM #23 XIV Long Hold 10 Stock XIV Velocityshares Daily Inverse Vix St 12/13/2017 128.94 128.21 -1.00% XIV MULTISYSTEM #20 XIV |
| nibor100 1,099 posts msg #140094 - Ignore nibor100 |
12/14/2017 12:39:42 PM I got those same 5 signals. Regarding the 1 day trade signaled by #38 (#29 of the current 30 filters), in my run of Kevin's posted backtest, over all 30 filters, 25% of the 956 trades were only 1 day and almost 80% of them had positive gains. #38 had 12 trades lasting 1 day, but many more filters had quite a few more 1 day trades. #38 has 4 Entry conditions which all must be true to signal entry, and has 3 different condition choices for Exiting. So it seems it's a bit harder to signal entry than to signal exit. For those of you who have used StrataSearch for a while, do you know what the purpose is behind the 1 and 2 numbers after the "colon" at the beginning of the majority of the condition lines and why there are no such numbers for some of the condition lines? Thanks, Ed S. |
| Kevin_in_GA 4,599 posts msg #140123 - Ignore Kevin_in_GA |
12/15/2017 12:23:16 PM Tactical error - last week I had placed a limit order to sell 2,000 shares out of my IRA account if the price got to $130, which was GTC and I forgot about it still being in place. Missed out on about $6,000 in potential profit today! In at $118.48, out at $130.00 for a gain of $23,040. Now down to 1,000 shares still in play - entry price of $120.25. Closed trade profits of $57,910. Update: Closed out the remaining 1,000 shares at $133.00 for a gain of $12,750. Total return on this set of trades was $70,660, or 5.9% on my initial investment of $1,198,000. Scaling out results in a lower overall return if the ETF keeps plowing up, as XIV has done this past month. |
| Kevin_in_GA 4,599 posts msg #140125 - Ignore Kevin_in_GA |
12/15/2017 2:57:33 PM An observation - of late the price of XIV has dropped a bit in the period around or just after each monthly options expiration. Not sure exactly why since it does not seem to be related to contango, but have others seen this as well? Looking at the week of options expirations, there is almost always a lower price than the weekly open. Next week being options expirations, I just wanted to bring this up for comments.  |
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