Kevin_in_GA
4,599 posts
msg #112570
- Ignore Kevin_in_GA |
4/1/2013 5:05:55 PM
/*CODING FOR DIVERGENCE BETWEEN MA(3) AND THE Q-STICK INDICATOR*/
SYMLIST(SPY)
SET{QST12down, COUNT(ind(^spx, QSTICK(12)) below ind(^spx, QST(12)) 12 days ago,1)}
SET{QST12down2, COUNTind(^spx,(QSTICK(12)) DROPPED MORE THAN 2% OVER THE LAST 12 DAYS,1)}
Clue - it is somewhere in here.
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mahkoh
1,065 posts
msg #112572
- Ignore mahkoh
modified |
4/1/2013 6:13:27 PM
C'mon, don't leave him hanging. I know from personal experience that there are few things as frustrating as a filter not working because of a misplaced } or ).
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Kevin_in_GA
4,599 posts
msg #112575
- Ignore Kevin_in_GA |
4/1/2013 7:40:45 PM
Enlightenment cannot be given.
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frsrblch
35 posts
msg #112578
- Ignore frsrblch |
4/1/2013 10:49:24 PM
Zen and the Art of Stock Fetcher
In other news, the spreadsheet is done. Data is pasted into the 'Data' tab, with the left column being the asset to be traded, and the right column being the asset used to determine entries and exits. As a default, these are SPY and the S&P500, respectively, but you can change these as you see fit, provided you make sure the dates line up across both columns. The sheet can handle up to 2500 days of data, beyond which you'll have to add more lines of formulas to each of the filters.
The 'Control' tab shows some limited statistics for each system, including annual return for the period backtested. I have included an option to limit the number of days a stock is held for in each system, but most of these systems react poorly to these exits.
The spreadsheet is designed to buy when the entry signal is 1 and the exit signal is 0, and sell when the entry signal is 0 and the exit signal is 1. Please feel free to check my calculations, and let me know if you find any errors.
If nothing else, this spreadsheet has shown me the importance of using ^SPX data rather than SPY data when it comes to choosing entries and exits. Most systems grossly under-perform if you use SPY data for choosing entries and exits. The poor results I have had backtesting most of Kevin's Top 10 in SF are likely the result of this. The data in the spreadsheet runs from Jan 1, 2006 through to today, and it's worth noting that these systems plowed through 2008 with barely a hiccup.
https://docs.google.com/file/d/0B0rUWi0Alg22ZnlWNEU1TkNGbDg/edit?usp=sharing
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mahkoh
1,065 posts
msg #112586
- Ignore mahkoh |
4/2/2013 10:38:54 AM
Great work, thanks for sharing. Do you have any idea as to why ^SPX would give better results than SPY besides the latter going ex-dividend every now and then?
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Kevin_in_GA
4,599 posts
msg #112588
- Ignore Kevin_in_GA |
4/2/2013 10:42:39 AM
Because that was the data upon which the systems were designed.
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radiobb2
10 posts
msg #112591
- Ignore radiobb2 |
4/2/2013 1:03:16 PM
Maybe another dumb question. If ^SPX is better than SPY, then is there a way to program that into the StockFetcher formula?
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mahkoh
1,065 posts
msg #112593
- Ignore mahkoh |
4/2/2013 2:41:19 PM
Well.. that is what Jack was trying.
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Cheese
1,374 posts
msg #112594
- Ignore Cheese
modified |
4/2/2013 3:44:54 PM
Thank you Kevin_in_GA, mahkoh, frsrblch, and everyone for the info you've shared in this thread.
Here is my version of the divergence filter using ^SPX
* * *
Note (Apr 2, 2013 at 7PM PST):
- Filter designed to be run after close end-of-day
- Suggestions for improvement are welcome
Edit (Apr 2, 2013 at 7PM PST):
- change code for exit1 and exit2 to use close of ^SPX instead of SPY, per Kevin_in_GA
Disclaimers (Apr 2, 2013 at 7PM PST):
- The total number of divergences using ^SPX in sF may not always match Kevin_in_GA in SS, or Excel from frsrblch
* * *
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Kevin_in_GA
4,599 posts
msg #112595
- Ignore Kevin_in_GA |
4/2/2013 4:42:47 PM
Note that today was an exit day, but since there are 7 filters also showing a divergence BUY signal, one only closes 2 of the nine open trades.
Having backtested this new approach, it works quite well. Using this approach you would be up over 120% from the Oct 2007 closing high, versus only 14.5% for the S&P 500, with only an 8% Maximum Drawdown. Compare that to the drawdown for the S&P 500 and you'll see why I like this one.
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