radiobb2
10 posts
msg #111228
- Ignore radiobb2 |
2/8/2013 8:08:12 PM
Have you ever looked at using UPRO instead of SSO. It's effectively 3X the SPX instead of 2X. Since the fiters are hitting most of the time, I would assume UPRO offers a better return.
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mahkoh
1,065 posts
msg #111242
- Ignore mahkoh |
2/9/2013 5:34:53 PM
In that regard it may be a better idea to optimize this filter for IWM. You could play the most liquid triple leveraged ETF available.
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voidcomp
23 posts
msg #111288
- Ignore voidcomp |
2/11/2013 3:34:15 PM
I'm seeing 9 on buy.
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miketranz
978 posts
msg #111292
- Ignore miketranz |
2/11/2013 4:43:25 PM
Kevin,I like your indicators.If SPY breaks over 152.00 it will make a believer out of me.Best,Miketranz...
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sohailmithani
192 posts
msg #111300
- Ignore sohailmithani |
2/11/2013 8:51:32 PM
So Kevin, what is the plan for tomorrow for those who sold all SPY positions today based on Exit triggered on Friday. Will you be buying 8 units tomorrow morning as indicator shows today.
Could you please also let me know why this indicator did not perform well during 2008 and 2002. Is it because it only works in bull markets and should be avoided during bear markets. Please provide some clarification on this one.
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Kevin_in_GA
4,599 posts
msg #111323
- Ignore Kevin_in_GA |
2/12/2013 1:42:41 PM
@sohail: Please look at the performance metrics in the first post. This system was not tested against 2002 data, but in the period from 1/2/2007 until recently it crushed the market. It would be hard to say that this did not perform well in 2008 when the results are typically 85-90% wins.
@Miketranz: SPY is at 152 and change.
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radiobb2
10 posts
msg #111330
- Ignore radiobb2 |
2/12/2013 5:13:23 PM
Well, I got in today, but now it's saying get out. Seems like it trades too much in the past week.
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Kevin_in_GA
4,599 posts
msg #111331
- Ignore Kevin_in_GA |
2/12/2013 5:45:36 PM
If every one of the last 60 trades is a winner, how much is too much?
So you got in today at 151.78 and technically you don't exit until tomorrow at the open. But 9 of the 10 divergence filters are still signalling a BUY. Your call on what to do ... the market might react negatively to tonight's State of the Union address and the system will record it's first set of lossess since December. Or you can hold pat and use the fact that the signals are still in BUY mode and see how the rest of the week goes.
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radiobb2
10 posts
msg #111332
- Ignore radiobb2 |
2/12/2013 6:01:35 PM
Overall, it seems to work well. The only issue I have is avoiding trade settlement rule issues. In and out twice in a few days is a free ride. I'll plan to hold tonight and see what happens.
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sohailmithani
192 posts
msg #111335
- Ignore sohailmithani |
2/12/2013 7:17:43 PM
Kevin, no doubt the success factor of 80% to 90% is a great job done. Thanks for your valuable contribution. I just wanted to know your thoughts regarding the bear market returns. When I ran the back test for the years 2002 and 2008 and analysed the data, I found that the success rate were still great. The issue was that the full year still resulted in negative returns only due to few trades that produced higher -ve returns in excess of -20%. Any thoughts ragarding the most effective stop losses that you would recommend to maximise our returns?
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