mahkoh
1,065 posts
msg #109498
- Ignore mahkoh |
12/18/2012 5:41:48 PM
Probably the most profitable way to trade this strategy is by selling SSO puts. Actually selling SDS calls may be even better as the margin impact on selling calls is smaller.
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Kevin_in_GA
4,599 posts
msg #109502
- Ignore Kevin_in_GA |
12/18/2012 9:15:08 PM
All 8 signals are closed as of EOD today. Profit was 1.14%.
Note that 4 BUY signals also triggered again today (really continuations), but are to be treated as new triggers.
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Kevin_in_GA
4,599 posts
msg #109550
- Ignore Kevin_in_GA |
12/20/2012 8:03:41 PM
5 trades are currently in play, with the 4 "new" trades from 12/18 now down -0.21% and the 1 new trade (from the WLR Divergence filter) opened this morning up 0.55%.
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tennisplayer2
210 posts
msg #109616
- Ignore tennisplayer2 |
12/24/2012 8:52:53 PM
If I am reading this correctly, nine filters have hit. That is the most that I have seen. Merry Christmas to all.
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xzajic
14 posts
msg #109624
- Ignore xzajic |
12/26/2012 6:20:53 AM
Yes, LONG SPY !!!
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duke56468
683 posts
msg #109630
- Ignore duke56468
modified |
12/26/2012 11:52:42 AM
Kevin is the drawdown range listed below, the average drawdown or the max drawdown?
Using SSO this will double right?
MC Av. Drawdown = 11.75% and MC Av. Drawdown = 6.59%
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Kevin_in_GA
4,599 posts
msg #109633
- Ignore Kevin_in_GA |
12/26/2012 3:47:20 PM
That is the average drawdown seen for the 1000 iterations of the Monte Carlo simulation for the period 1/2/2007 until last month. Since the market drawdown was MUCH higher during that same period it aspic ally means you were less volatile than the market.
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Kevin_in_GA
4,599 posts
msg #109787
- Ignore Kevin_in_GA
modified |
1/2/2013 10:38:40 AM
Nice day for these filters. Note that all 10 filters are in trades right now. If today's action does not reverse all 10 will be profitable.
The filters are all triggering an exit for today as well. I would suggest exiting before the end of the day given the irrational exuberance of the market. That would signal another 10 winning trades for these guys.
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frsrblch
35 posts
msg #109803
- Ignore frsrblch |
1/2/2013 2:59:16 PM
As a novice trader, I was expecting to need discipline to stay in trades that were down, but I wasn't expecting to need the same discipline to stay in trades once things have gone up! I'm eager to take my money out and secure my profits, but I know that if I get in that habit, I will never see the better trades produced by this system because I will have ejected before those larger profits materialize.
I was in SSO at 59.80 on Dec 27, and I'm staying in until I get that exit signal if it kills me.
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Kevin_in_GA
4,599 posts
msg #109805
- Ignore Kevin_in_GA |
1/2/2013 3:30:21 PM
No one ever lost money taking a profit. I think given the huge gap up today you will be better of selling before the close, but it's your trade.
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