duke56468
683 posts
msg #111514
- Ignore duke56468 |
2/19/2013 12:15:21 PM
Kevin.. I know this is an EOD filter, but I was wondering if it is prudent in your experience to exit intraday if the filter exit triggers (like today). I realize it is personal judgment, just wondering if you had an opinion about that. We will see how it works out.
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Kevin_in_GA
4,599 posts
msg #111522
- Ignore Kevin_in_GA |
2/19/2013 4:12:53 PM
I have not looked at intraday entries or exits. No good way to backtest them.
Note that with today's exit trigger the 9 filters currently in trades will once again all close profitably, making the results since December 2012 103 winning trades, 0 losing trades. Not bad for a purely mechanical system. People can tweak this all they want, but I doubt that they will meaningfully improve the results.
I might also suggest that people stick with SPY instead of simply using SSO to get some leverage. They are related but different, and give different results. So when I see people saying "I traded SSO and it does not act the same" I think "and why did you do that? That's deviating from the system, and you knew that when you placed the trade."
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wkloss
231 posts
msg #111524
- Ignore wkloss |
2/19/2013 4:44:32 PM
I have been trying to follow the posts on this system and I am getting confused.
How could you have 100+ trades since December 2012. There haven't been that many days. Are you saying 100+ signals and if you took all of them, the result would have been 100+ winning trades?
Bill
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novice07054
26 posts
msg #111527
- Ignore novice07054 |
2/19/2013 5:57:04 PM
Please paste the correct filter as there have been modifications.
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Kevin_in_GA
4,599 posts
msg #111529
- Ignore Kevin_in_GA |
2/19/2013 7:22:33 PM
There are 10 separate filters here, each one independently generating BUY signals but all using a common exit signal. This was all clearly described in the first post.
From these 10 filters 103 separate BUY signals have been generated, all of which resulted in winning trades.
Hopefully this clarifies things.
As to modifications to the filter set ... There have been none from me. Use either the separate filters I posted on page 1 or the composite filter on page 2.
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novice07054
26 posts
msg #111530
- Ignore novice07054 |
2/19/2013 7:39:43 PM
As always thanks and fabulous work.
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sohailmithani
192 posts
msg #111531
- Ignore sohailmithani |
2/19/2013 8:12:41 PM
Hi
When I ran the filter as posted in one of your email threads I get the following results;
Thursday February 14, 2013
Symbol Last Chg(%) total buy sell
SPY - SPDR S&P 500 ETF 152.29 0.09 7 1
February 15. 2013
[download csv]
Symbol Last Chg(%) total buy sell
SPY - SPDR S&P 500 ETF 152.11 -0.12 6 0
Tuesday February 19, 2013
[download csv]
Symbol Last Chg(%) total buy sell
SPY - SPDR S&P 500 ETF 153.25 0.75 2 1
As per Kevin's ;ast email which states that there were 9 open trades, can somebody please clarify to me as to which filter is being used here? If I am reading the data correctly I should have had 6 open trades that showed up on Feb 15th since we got the sell signal on Feb 14th. Am I using the right filter? or missing something here? Since I am new to this discussion and trying to follow up on this strategy, any help in this regard would be appreciated.
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duke56468
683 posts
msg #111538
- Ignore duke56468 |
2/20/2013 9:14:01 AM
sohail....Here is how I trade the filter....If I am in cash I wait until 2 filters hit using mahkoh's composite filter on page 2. I enter the next morning at the open. When the exit hits I exit the next day at the open. I do not enter if both the entry and exit hit the same day even if 2 filters hit. The only way I have been able to backtest is to chose one specific filter and use that to represent the composite. Not ideal I know but I'm not much of an expert at this stuff.
Hope this helps
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mahkoh
1,065 posts
msg #111540
- Ignore mahkoh |
2/20/2013 9:32:48 AM
If you want to enter only when there is no exit add this to your filter
set{exit1, count(close reached a new 10 day high,1)}
set{exit2, count(ROC(15,1) is below ROC(15,1) 10 day high,1)}
set{exit, exit1 * exit2}
count(exit below 0.5,1) above 0
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sohailmithani
192 posts
msg #111541
- Ignore sohailmithani |
2/20/2013 11:35:17 AM
Thanks Duke and Mahko really apreciate your response.
Duke one more clarification . Lets say yesterday you were holding six units of spy. End of today entries show 8 units of spy but it also shows the exit signal. In this case will you sell everything tomorrow and will not enter until the exit signal is gone and atleaset two buy signals are there?
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