Kevin_in_GA
4,599 posts
msg #102740
- Ignore Kevin_in_GA
modified |
9/27/2011 3:05:16 PM
Running this filter at 3 PM today, all current holdings register a SELL signal:
CF - in at 163.67, now at 157.17 (-3.97%)
EQT - in at 56.62, now at 59.10 (+4.38%)
APOL - in at 42.28, now at 42.91 (+1.49%)
COG - in at 61.66, now at 67.71 (+9.81%)
No new BUY signals as of 3 PM today.
UPDATE:
Well, the giveback at the end of the day reversed all of the SELL signals. All stocks are still in HOLD mode, with the zscore(16) having to be above -1 to trigger a sell. Here's where they stand:
COG: zscore(16) at -1.04 (up 7.49%)
EQT: zscore(16) at -1.10 (up 2.74%)
CF: zscore(16) at -1.14 (down -5.33%)
APOL: zscore(16) at -1.60 (up 0.14%)
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Kevin_in_GA
4,599 posts
msg #102749
- Ignore Kevin_in_GA |
9/28/2011 11:18:19 AM
Here is how I am monitoring for sell signals (even intraday)
I look at the zscore(16) to cross above -1. Right now EQT and COG are SELL signals, while CF and APOL are still HOLD.
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novacane32000
331 posts
msg #102765
- Ignore novacane32000 |
9/29/2011 10:02:45 AM
Kevin
Why did you change SPX to SPY?
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Kevin_in_GA
4,599 posts
msg #102766
- Ignore Kevin_in_GA |
9/29/2011 11:10:13 AM
For intraday - SF only updates the indices like ^SPX a the end of each day. Therefore, if you are checking intraday, you are unfortunately using YESTERDAY's ^SPX close instead of the current intraday close.
Small change to allow for more accurate intraday review of zscores. BTW, nice to see that people are looking at the filter syntax rather than just blindly following something - nice job.
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duke56468
683 posts
msg #102782
- Ignore duke56468 |
9/30/2011 9:00:57 PM
Kevin_in_GA
2,007 posts
msg #102740
- Ignore Kevin_in_GA
modified 9/27/2011 3:05:16 PM
Running this filter at 3 PM today, all current holdings register a SELL signal:
CF - in at 163.67, now at 157.17 (-3.97%)
EQT - in at 56.62, now at 59.10 (+4.38%)
APOL - in at 42.28, now at 42.91 (+1.49%)
COG - in at 61.66, now at 67.71 (+9.81%)
***********************************************************************************************
I know it wasn't back tested this way but you have to wonder if a person shouldn't take his profit any time of day that he sees the z-score go above -1.
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Kevin_in_GA
4,599 posts
msg #102783
- Ignore Kevin_in_GA |
9/30/2011 9:53:14 PM
Agreed. Looking at how volatile the markets have been, it seems like you should take profit when it is given to you.
CF got crushed over the past few days - now down over 24% fom the entry price. All of the profitable trades listed are now flat or negative. Ouch ...
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duke56468
683 posts
msg #102785
- Ignore duke56468 |
10/1/2011 10:28:15 AM
In the back tests I did a 10% stoploss did not hurt the results, and would help in those cases like CF.
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duncanhoo
14 posts
msg #102946
- Ignore duncanhoo |
10/15/2011 7:36:24 AM
just wondering if anyone had already programmed this in easylanguage? was about to do it and do some more thorough bactesting/money mgmt/trade management analysis but do not want to reinvent the wheel?
anyone already written the entry code?
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coolsf
21 posts
msg #102954
- Ignore coolsf |
10/15/2011 5:34:00 PM
I am not trying to rain on your parade. Please understand.
The system has been great. I read every post clearly. The current market trend is HFT driven, more so since the last 1 year. Especially the last 3 months. Z scores and Standard deviations are stretched to a max, both up and down. It is happening like never before. I am wondering if the system works in these conditions.
I am also taking note that you are not pairing the long with a short like SH. Would your system have worked if you did that, in these stretched rubber band conditions?
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Kevin_in_GA
4,599 posts
msg #103078
- Ignore Kevin_in_GA |
10/24/2011 11:21:47 AM
Intraday BUY signal for KMB (zscore at -2.34, Williams %R at -97). This is because they announced earnings and disappointed.
KMB at 69.34 right now. Will probably close above this and may not trigger by end of day.
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