Kevin_in_GA
4,599 posts
msg #111339
- Ignore Kevin_in_GA |
2/12/2013 9:51:03 PM
The successful trades are almost always completed within a week or so. Consider a time-based exit of 5-6 trading days.
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voidcomp
23 posts
msg #111347
- Ignore voidcomp |
2/13/2013 9:14:53 AM
Amazing market over the past few months. Up days to down days on SPY are nearly 2 to 1 and VXX continues to make new lows.
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sohailmithani
192 posts
msg #111449
- Ignore sohailmithani |
2/17/2013 2:20:14 AM
Hi Kevin
After reading all 14 pages I feel confident and am planning to start trading on this strategy starting Tuesday. Please let me know if I want to follow the strategy I should buy 6 ubits of SSO / SPY on Tuesday? I am still a little bit confused on the sell signals that are coming up with the buy signals but will try to follow the posts going forward to have a hang of it. Your help would be appreciated.
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Nurdish
2 posts
msg #111450
- Ignore Nurdish |
2/17/2013 8:40:50 AM
SF need to introduce a contribution recognition system (e.g like Reddit GOLD etc). The info provided by Kevin and many other posters is like $$$ in the bank.
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Kevin_in_GA
4,599 posts
msg #111451
- Ignore Kevin_in_GA |
2/17/2013 10:13:25 AM
Statistics update - this last week has had a bunch of BUY and SELL signals on top of each other. Every trade closed positively but at very small gains (between 0.05% and 0.1%). In real trading these would probably end up as losses due to commissions and bid/ask spreads. That is why holding when a simultaneous BUY and SELL signal is probably a good idea.
Problem is I can't really code for that since it is a discretionary call. However, the system is 94 for 94 on recent trades using the backtest and strict adherences to the rules.
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duke56468
683 posts
msg #111454
- Ignore duke56468
modified |
2/17/2013 11:39:22 AM
I have manually back tested the divergence filter for 6 months starting July 30th using SSO. I did not use SPY as a surrogate. I also did not enter until at least 2 filters triggered. If in cash did not enter if both entry and exit triggered same day. I had 13 winning trades and 1 losing trade. Average gain was 1.917%. The 1 losing trade was only -1.95% however at one point (NOV 15th) it was down 12%. Any ideas on how to avoid such heart stopping draw downs?
Ran the same test from Feb 23 to July 30 2012 and had 7 wins and 2 losses. This time however one loss was severe at -8.9% and at one time was down 18%. The 2 losses nearly wiped out the total gain which finally averaged 0.87% for the period.
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miketranz
978 posts
msg #111459
- Ignore miketranz |
2/17/2013 2:32:27 PM
Duke,the win ratio is extremely good,best I've seen,however,when you take into consideration the draw down losses,leaves much to be desired.I never really understood the basic entries & exits,but if you could explain them to me in English I would come up with a way to avoid,or at least minimize the draw downs to turn this into something.Thanks,Mike.....
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duke56468
683 posts
msg #111460
- Ignore duke56468 |
2/17/2013 6:26:33 PM
Mike... Kevin can much better tell you how it is supposed to be traded, but what I tested was to enter SSO the first time a minimum of 2 divergence filters triggered on the same day, then exit when it said exit (I used SSO in the filter instead of SPY). Sometimes I had to enter the next day after I had exited. If I were in cash and had a simultaneous entry signal and exit signal I stayed in cash.
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mahkoh
1,065 posts
msg #111465
- Ignore mahkoh
modified |
2/18/2013 6:06:50 AM
What you could try is to allocate 10% of the amount you wish to put at risk to every filter.
I have come to like the following indicator
Be cautious when it looks to be topping.
The filter was optimized for SPY, obviously SSO is connected but you are dealing with decay issues if you are forced to hold for an extended period. You could choose to short SDS instead of buying SSO.
Kevin already mentioned that the bulk of profitable trades are closed out within 6 -10 days, you could incorporate a max holding period.
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sohailmithani
192 posts
msg #111478
- Ignore sohailmithani |
2/18/2013 10:25:18 PM
I did mention this issue with implementing this strategy regarding these huge losses in few of the trades. I also tried 10 days as maximum hold days and backtested that straegy as well. The results are getting worse as some of the good trades are hitting stop losses criteria too. I will keep trying other measures to mitigate this risk. I will share with the team if I will find anything useful.
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