frsrblch
35 posts
msg #109808
- Ignore frsrblch
modified |
1/2/2013 4:05:48 PM
SSO went up 0.5 in the last half-hour of the day and my resolve buckled for a 5.5% gain. How ever will I console myself?
Edit: Also, the exit has triggered.
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radiobb2
10 posts
msg #109839
- Ignore radiobb2 |
1/3/2013 10:57:47 PM
New to SF so sorry if this is a dumb question. If you are using the filter to trade SSO, should you be putting SSO in the filter? I tried this and you get slightly different signals.
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Kevin_in_GA
4,599 posts
msg #109842
- Ignore Kevin_in_GA |
1/4/2013 7:58:36 AM
The filter was developed using ^SPX as the trading instrument. To trade it I use SPY as the proxy. You can use SSO (I have done this as well) to try to boost your profitability, but the signals are generated from SPY.
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Kevin_in_GA
4,599 posts
msg #110057
- Ignore Kevin_in_GA |
1/10/2013 7:11:28 PM
As of today there were 4 active trades ongoing before the exit signal was trigggered at the close today (^SPX closed at 1472.12).
01/08/2013 RSI Divergence
01/08/2013 WLR(14) Divergence
01/08/2013 QST Divergence
01/09/2013 RMI Divergence
The three trades entered into on 01/08/2013 (^SPX opened at 1461.89) are at 0.70% gain, while the one entered on 01/09/2013 (^SPX opend at 1457.15) is now at 1.03% gain.
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voidcomp
23 posts
msg #110690
- Ignore voidcomp |
1/29/2013 3:20:12 PM
Textbook case of a strong trending market that makes divergence trading less effective than trend indicators during circumstances like this. The positive slope of price action remains persistent while many of the indicators, mostly oscillators, sloped negatively, triggering premature sell signals (so far).
Classic example also of how oscillators can remain overbought/oversold for extended trending markets. Not until the market falters somewhat will buy signals kick in.
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Kevin_in_GA
4,599 posts
msg #110710
- Ignore Kevin_in_GA |
1/29/2013 9:43:56 PM
Less effective? That is an opinion lacking substantive data and backtesting to support it.
In fact, since 12/6 there have been 50 trades entered and closed using these filters. The results?
50 wins, 0 losses
Average gain of 0.90%
Average holding time of 4.3 days
At the risk of appearing defensive, I'll request that you perform a similar backtest on any trending system you have and post the results. The numbers will speak for themselves.
Kevin
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duke56468
683 posts
msg #110726
- Ignore duke56468 |
1/30/2013 8:35:09 AM
voidcomp.......You are describing the normal type of divergence trading. As Kevin mentioned on page one about his filter "This seems counter-intuitive, since that is called a "negative divergence" and is often associated with a short-term price reversal rather than a gain." I think of this filter more as contrarian, and very effective.
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voidcomp
23 posts
msg #110733
- Ignore voidcomp |
1/30/2013 10:10:43 AM
No need to get defensive. Clearly during this period the system has been *less* effective than something trend following such as a longer MA or momentum based system such as Faber's that has been discussed here and disclosed on your (updated?) web site. Since the baseline 12/6 date the S&P has risen 6.6% without a single trade or trade cost. associated with 50 transactions. The purpose here is to illustrate the benefits and disadvantages of trading vs long term investing during protracted market movements. No doubt when the market goes from a trending to more trading behavior the system will be once again more effective ... for trading. Obviously the word 'effective' is subject to interpretation when it comes to drawdown, return, and trade frequency.
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Kevin_in_GA
4,599 posts
msg #110743
- Ignore Kevin_in_GA |
1/30/2013 10:37:08 AM
Agreed. There are certainly times when trend trading makes more money with less risk/work. For me the challenge is knowing when to enter or exit such trades with the same level of confidence in outcomes as this approach.
Many ways to skin a cat - the bulk of my investments are managed by trend trading. These divergence systems are a good way to "trade" versus "invest".
And having gone 50 for 50 lately, I really need to be looking at these more closely ....
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frsrblch
35 posts
msg #110832
- Ignore frsrblch |
1/31/2013 4:35:21 PM
The composite filter is showing 7 hits today, including the SMI11DIV filter that I am so fond of.
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