Kevin_in_GA
4,599 posts
msg #109439
- Ignore Kevin_in_GA |
12/14/2012 7:57:43 PM
9 of 10 filters are now in BUY mode (2 more triggered today). Stratasearch filter versions of these are at 9 in trade now as well.
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Cheese
1,374 posts
msg #109443
- Ignore Cheese |
12/15/2012 10:38:51 PM
Breaking news (Dec 15, 2012 9 PM EST)
http://politicalticker.blogs.cnn.com/2012/12/15/boehner-puts-income-tax-rates-on-table-for-first-time/?hpt=hp_bn3
Source: Boehner offers to include higher tax rates on wealthy to avoid fiscal cliff
SPY should go up on Monday.
Kevin, you may have created a great composite leading indicator here.
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Kevin_in_GA
4,599 posts
msg #109448
- Ignore Kevin_in_GA |
12/16/2012 8:20:12 AM
No such thing as a leading indicator anymore - the HFT algos are dominating the market and they jump ahead on everything. We eat their dust.
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voidcomp
23 posts
msg #109457
- Ignore voidcomp |
12/17/2012 2:43:54 PM
Yep, their software is already getting ready to sell on the basis that any fiscal cliff compromise will result in opportunity to take profit after a short lived rally.
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frsrblch
35 posts
msg #109463
- Ignore frsrblch |
12/17/2012 4:24:27 PM
The exit has triggered after today’s strong close on SPY.
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Kevin_in_GA
4,599 posts
msg #109469
- Ignore Kevin_in_GA |
12/17/2012 8:25:17 PM
True. But there were also 8 (count'em 8) NEW divergence BUY signals generated today. Do you sell at the open only to immediately re-buy? Or just stay in?
The mechanism for trading simultaneous BUYand SELL signals is still a bit of a mystery, even to me. I for one will NOT sell my SSO tomorrow at the open, and will take the new signals as a reason to stay long for the next round.
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miko
68 posts
msg #109470
- Ignore miko
modified |
12/17/2012 9:32:40 PM
I rate treating simultaneous buy/sell signals as follows:
Aggressive: always taking the buy signal, that is buying if no position, staying long if already long.
Conservative: always taking the sell signal, that is selling if long, staying flat otherwise.
Middle of the road: always maintaining status quo, that is staying flat if already flat, staying long if already long.
These assume only 0 or 100% positions are used. There is also the possibility of using simultaneous signals to go to a 50% (for example) position. So, if already long, sell half, if already flat, buy 50% normal size.
(There is a 4th possibility: to flip; that is, if long, flatten, if flat, get long. I don't what to call that :)
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miko
68 posts
msg #109472
- Ignore miko |
12/18/2012 12:04:17 AM
"But there were also 8 (count'em 8) NEW divergence BUY signals generated today."
Given that there were 8/10 buy signals the previous day, there were 0-2 "NEW" divergence buy signals. Or am I looking at it wrongly?
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Kevin_in_GA
4,599 posts
msg #109478
- Ignore Kevin_in_GA |
12/18/2012 8:15:18 AM
That is one way to look at it. Stratasearch determines new signals by first closing out any existing trades when a SELL signal is triggered, then opening any new trades if a BUY signal was also created. Since all of my statistical back testing and analysis was done using Stratasearch, I am treating these as 8 NEW signals.
Based on that format, all of the signals resulted in profitable trades (some only marginally profitable, but ALL profitable). Given the positive futures right now, the trades will be closed at the open for a slightly higher profit than yesterday.
Trade as you see fit.
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Kevin_in_GA
4,599 posts
msg #109490
- Ignore Kevin_in_GA |
12/18/2012 1:27:40 PM
OK, I'm now out of my SSO trade from October(?) - I was in at 61.50 and went through a nice rollercoaster ride. I basically ignored two possible exit signals because there were simultaneous BUY signals. Out of the trade at 62.05 for a very small profit (0.8% after commissions).
Now back to trading this system as I was supposed to do ... will wait for the next entry after this trade signals to exit.
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