frsrblch
35 posts
msg #108322
- Ignore frsrblch |
10/9/2012 3:33:59 PM
Based on the entry condition codes he included with each filter, Stratasearch will buy at the open the day after the entry conditions are triggered regardless of whether the exit conditions are met. The stock would then be held until the exit conditions are met.
I haven't had a chance to look into this one myself or I would link an example of the trades Stratasearch is executing.
It might be worth looking into whether you should enter if both the entry and exit conditions are met the day before.
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mahkoh
1,065 posts
msg #108323
- Ignore mahkoh |
10/9/2012 4:26:18 PM
My common sense would be to stay out of the trade if an exit is triggered. I would assume the fact that it triggers to be a signal that it is time to take profits.( or losses)
I don't have statistics to back this up but my gut feeling tells me it may be best to wait for a couple of the entries to trigger before opening a position. Since the exit dropped on Friday the only one that has triggered so far is the CMF divergence filter.
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bramdc
6 posts
msg #108348
- Ignore bramdc |
10/11/2012 2:36:27 PM
Hi Kevin,
new here on SF, and especially interested in learning about pattern trading,
this filter seems to be interesting to build up positions for S&P500,
now what about the 'inverse' way, to build up short positions, are these filters easy to adapt to trigger short signals?
Best, bramdc.
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Kevin_in_GA
4,599 posts
msg #108353
- Ignore Kevin_in_GA
modified |
10/12/2012 8:45:39 AM
Jackmack: there really is no reason to develop this in Prodigio since the signals are end-of-day, and all entries and exits are at the open on the following session. Thus I have not developed any of these in Prodigio and can't show you how it is done.
Spend time learing Stratasearch - it's capabilities are quite impressive, and I have given you all of the code you need to replicate each of these filters.
Duke: Have not really looked at what Stratasearch does in this case, but my gut feeling would be to stay out if you get both an entry AND exit signal on the same day.
Bramdc: I have not looked at this. Might try it over the weekend.
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jackmack
334 posts
msg #108360
- Ignore jackmack |
10/12/2012 11:28:20 AM
Kevin
Okay thank you on the Prodgio side
As for Stratasearch I have just started in with that site and am working through the learning curve.
Thank you
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Kevin_in_GA
4,599 posts
msg #108362
- Ignore Kevin_in_GA |
10/12/2012 11:56:47 AM
Jackmack:
Send me an email from www.statisticalinvesting.com and I'll send you the necessary files to get these filters fully functional in Stratasearch, and also versions that can be easily optimized and backtested.
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jackmack
334 posts
msg #108398
- Ignore jackmack |
10/16/2012 4:51:09 PM
Kevin
E-mail request has been sent.
Thank you
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Kevin_in_GA
4,599 posts
msg #108400
- Ignore Kevin_in_GA |
10/16/2012 7:59:45 PM
Note that the qst filter triggered a buy today, and that the cmf(14) filter trade is now positive.
I'll be entering a long trade in SPY tomorrow at the open.
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Kevin_in_GA
4,599 posts
msg #108449
- Ignore Kevin_in_GA
modified |
10/20/2012 3:09:40 PM
Just a follow up - been on the road for work and did not get to enter the above trade - a good thing considering yesterday's session. I got into SSO at 61.50 around noon yesterday, thinking the the bottom was in. It wasn't, but by the end of the day four more divergence filters had triggered.
Friday's close saw the William's %R, RSI, Q-Stick, and RMI divergence filters all trigger to enter long at the open on Monday.
The CMF filter triggered on 10/9 and following this system you would have entered long on the open on 10/10 (^SPX open that day was 1441.48). At the close on Friday the ^SPX was 1433.19, so that trade is currently down 0.58%.
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tarun766
50 posts
msg #108450
- Ignore tarun766 |
10/20/2012 7:35:10 PM
Kevin what other Divergence filter are there?
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