Kevin_in_GA
4,599 posts
msg #108183
- Ignore Kevin_in_GA |
9/26/2012 1:25:05 PM
For example, do you buy when first field is 1 and then wait until the exits field hits 1 to sell?
Yes. If you look at the chart, you'll see that both the entries and exits for each filter are graphed at the bottom. Enter when the divergence signal is triggered (either end of day or at the open next day) and sell when the exit triggers.
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Eman93
4,750 posts
msg #108190
- Ignore Eman93 |
9/26/2012 10:21:43 PM
my basic money flow divergence .(.same filter as the rsi i have posted in the past.) when you get an extreme amount (+100) of hits it could signal a bottom.
From what I have experienced the MFI gives better results.
First thing to remember is that there is a big difference between a bounce and a trend reversal. But most reversals happen with a divergence in play.
Kevin you could also try combining RSI and MFI and see what you get.
Remember with this screen you need to "eyeball" each chart to see if price made a new swing low.. if it didn't its not a divergence.
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Kevin_in_GA
4,599 posts
msg #108215
- Ignore Kevin_in_GA |
9/28/2012 3:54:53 PM
Not sure that I could get much better stats than what these are aready showing. By combining the RSI and MFI (or any other set of indicators) you will reduce the total number of trades. Given the high win percentage and positive expectancy seen in these I want to go the opposite direction and get as many more trades like these as possible.
To me this is a low-risk way to go long the S&P 500 using SPY, SSO, or even options for the bravest/most foolhardy. Not all of the trades are big - in fact most of the gains are less than 1% - but you have got to respect the consistency of these through what was an extremely challenging period for most investors.
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mahkoh
1,065 posts
msg #108216
- Ignore mahkoh |
9/28/2012 5:04:14 PM
Kevin, what does MC avg drawdown mean? I hope not average drawdown per trade?
I did google it but before delving into extensive reading material I was hoping you might have a quick explanation.
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Kevin_in_GA
4,599 posts
msg #108217
- Ignore Kevin_in_GA |
9/28/2012 7:00:58 PM
The Monte Carlo simulations (random combinations of all possible trades) tend to give you a better understanding of how a system might actually perform, since we can never actually select trades in real-time by volume descending, etc.
Each of the MC stats is the average from 5000 iterations. In the case you ask, it is the average of the Maximum Drawdown encountered in each combination during the test period. So if it is something like 7-8%, compare that to the actually SPX drawdown seen in 2008 and you'll see that these systems steered you clear of a lot of trouble.
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mahkoh
1,065 posts
msg #108221
- Ignore mahkoh |
9/30/2012 3:42:52 PM
Thanks for clearing that up. I assume the MC av annual return is compounded?
Have you considered using a composite filter where you count all separate signals like with the Connors filters in the "high probability trading" thread?
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Kevin_in_GA
4,599 posts
msg #108223
- Ignore Kevin_in_GA |
9/30/2012 6:35:25 PM
Yes to both. Note that in each filter I have adjusted variable names such that they can all be combined into a single filter if that's what folks want to do. To be honest the combined filter does not exceed any of the individual filters since all of the filters have very high win %'s.
Here is where each one is in terms of in or out of a trade - the columns are date of trade, entry, current, gain/loss, system
09/10/2012 1437.9200 1440.6700 0.19% STOCHD Divergence #1
09/10/2012 1437.9200 1440.6700 0.19% SMI Divergence #1
09/10/2012 1437.9200 1440.6700 0.19% CMF Divergence #1
09/11/2012 1429.1300 1440.6700 0.81% QST Divergence #1
09/11/2012 1429.1300 1440.6700 0.81% RSI Divergence #1
09/11/2012 1429.1300 1440.6700 0.81% WLR(14) Divergence #1
09/21/2012 1460.3400 1440.6700 -1.35% AROON UP Divergence #1
09/24/2012 1459.7600 1440.6700 -1.31% LRS Divergence #1
09/26/2012 1441.6000 1440.6700 -0.06% RMI Divergence #1
09/26/2012 1441.6000 1440.6700 -0.06% PDI Divergence #1
Not lighting the world on fire, but the combined performance of these 10 filters over the last four months is 64 wins, 1 losing trade for an aggregate gain of 9.3%.
YTD: Up 12.5%but you were only in a trade 49.8% of the time.
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mahkoh
1,065 posts
msg #108225
- Ignore mahkoh |
10/1/2012 4:05:59 AM
Kevin, wondering to what extent the returns of these filters were generated by outperforming the index during the bear market. Can you provide some info on how they did during the last 3 year bull market?
As for the composite filter, it does indeed not seem like there is any obvious edge to be found in there.
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Kevin_in_GA
4,599 posts
msg #108226
- Ignore Kevin_in_GA
modified |
10/1/2012 8:19:48 AM
Agreed - the composite filter performs at a slightly lower level than several of the individual ones. That is mostly because each individual filter exits on the same day, and that the batting averages are unusually high for these guys, even if the gains are modest.
That is why I posted each filter separately. I might want to look at divergence-based exits as well.
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jackmack
334 posts
msg #108267
- Ignore jackmack |
10/3/2012 4:31:31 PM
Kevin - again thank you so much for sharing these - I like the returns.
I am just having a hard time figuring out the entry and exit signals.
Is there any way to make them a bit easier to understand?
There appear to be long times where neither signal is given and I am not sure what one should have done during these periods.
I am just making a simple observation so please do not read this as a criticism in any way - you know what you are looking for and at whereas I am not really sure what to do when for example the enter and exit signals occur together.
I am just wondering if there might not be a simpler entry and exit signal.
Thanks for all of your hard work and sharing here.
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