Cheese
1,374 posts
msg #112345
- Ignore Cheese |
3/20/2013 3:47:49 PM
Thank you for the clarification, Kevin.
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jackmack
334 posts
msg #112352
- Ignore jackmack |
3/20/2013 7:49:09 PM
Kevin
I know you are going to hate me for this but I was wondering if you might be able to go over the entrance and exits on 3 of the filters for me over the last 6 months (essentially since this thread started). **QST12DIV -- RSI10DIV -- STD325DIV **
I understand looking at the filter each day and seeing if the divergence for that particular filter is signaling an entry (or exit)
but looking back it just is not that clear (to me anyway) on the charts as there are odd things going on where one could have been in a trade for days and had 1,2 or even 3 exit signals but the entry signal is still present.
I am just trying to figure out how that relates to if I entered into a position and clearly had a "1" to enter but several days later the "1" for an exit appeared but I was still to stay in the trade? I would have thought the enter signal would drop off when the exit signal appeared and that is I guess what is making the review difficult.
Please forgive my stupidity but some things just do not come to me very easy.
I very much appreciate all you have done here and all you have shared I just really want to learn how to best use the 3 filters I asked about above to better my returns (and actually understand why I will be making a trade per the filter).
Again sorry if this is hard for you to do since you put it out and it's up to me to use as I see fit but I just want to understand this correctly.
Thank you
Cheers
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Kevin_in_GA
4,599 posts
msg #112356
- Ignore Kevin_in_GA |
3/20/2013 9:28:26 PM
Entry and exit signals are not mutually exclusive. The system is mechanical, and so in any backtest the system will exit when an exit signal is triggered, and if an entry is also triggered it just buys back in at the open the next day. Most folks would probably just stay in the trade.
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jackmack
334 posts
msg #112363
- Ignore jackmack |
3/21/2013 2:00:27 PM
Okay Kevin
Thank you
Would it then be correct for me to pick the 3 filters I mentioned above - wait for a divergence "entry" to signal on each one independently and enter each accordingly.
Then wait to exit ONLY when I get the exit signal by itself otherwise stay in the trade.
Then wait once again to get back in each one when the divergence signaled again?
Is this correct?
Thank you
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Kevin_in_GA
4,599 posts
msg #112364
- Ignore Kevin_in_GA |
3/21/2013 3:59:49 PM
Basically, yes. You can trade this a number of different ways, but the approach you just described would be what I would do. In essence you are betting on the past high win% record of each of the three filters you indicated, all of which are currently in a trade.
My only caveat would be that if they are already in a trade and it is near the average profitability seen for each filter as I showed in the first post of this thread, you are better waiting. The odds of getting further gains is reduced. On the other hand, if they are in a trade which is currently at a small loss, I would say go for it.
Just my opinion, not any professional advice here.
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jackmack
334 posts
msg #112365
- Ignore jackmack |
3/21/2013 4:17:03 PM
Thank you
Have you ever thought of creating one for the small or mid caps as well?
Just curious
Cheers
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Xglassm
5 posts
msg #112367
- Ignore Xglassm |
3/21/2013 8:42:27 PM
Kevin, I was wondering if the win rates posted on the first page are based on a backtest which allowed multiple positions on each filter, or if it’s based on the system you describe above (i.e. entering a filter only once, the first time it hits). I also want to thank you for all your help on the boards, I feel like there are a lot of people like me who aren't very vocal but really appreciate all your help.
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Kevin_in_GA
4,599 posts
msg #112371
- Ignore Kevin_in_GA |
3/22/2013 9:20:05 AM
@Xglassm:
Each backtest was run independently, with you exiting the trade if an EXIT signal triggered. If a BUY signal also triggered, the backtest sold you out at the open of the next day and simultaneously bought back in. In essence you just paid the extra commission. The frequency of trades is therefore higher but the results should be the same if you ignore the commissions.
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jackmack
334 posts
msg #112384
- Ignore jackmack |
3/22/2013 2:49:54 PM
Kevin
I know this is a purely mechanical system but I was thinking of ways to prevent substantial draw downs when the market acts up from time to time and was just looking at price when (if) below the EMA(20) AND the EMA(50).
If a buy signal was given and a position entered then price moved through both EMA's without an exit signal given
and positions then exited before an exit signal was given would this improve the draw down and prevent possible greater losses?
Just curios.
Thank you
Cheers
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Kevin_in_GA
4,599 posts
msg #112388
- Ignore Kevin_in_GA |
3/22/2013 4:14:08 PM
Why not back test it and let us know?
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