mahkoh
1,065 posts
msg #104446
- Ignore mahkoh |
1/17/2012 11:02:22 AM
BIG about to hit the filter intraday. All it needs is a close below the lower BB at 37.34
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niajy
13 posts
msg #104449
- Ignore niajy |
1/17/2012 11:41:34 AM
big buy alert
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Kevin_in_GA
4,599 posts
msg #104467
- Ignore Kevin_in_GA |
1/17/2012 4:25:11 PM
End of day SELL for MA at 345.98. Closed from the 1/6 BUY signal at 342.92 for a small net gain (+0.89%).
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jsheetz
23 posts
msg #104470
- Ignore jsheetz |
1/17/2012 5:06:52 PM
MA gained, but in the same time SH lost 1.23% resulting in a small net loss overall. Or do you just continue to hold the SH trade to hedge your next play, Kevin? If so, doesn't that leave extra risk on the table?
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Kevin_in_GA
4,599 posts
msg #104471
- Ignore Kevin_in_GA |
1/17/2012 7:06:12 PM
What makes you think I hedge with SH? I specifically talked about this in the first page of this thread and that the backtest did not work well.
While this is designed to look like one half of a pair trade, it is not. All long plays without hedge or stop losses.
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jsheetz
23 posts
msg #104476
- Ignore jsheetz |
1/17/2012 10:51:27 PM
My mistake, I guess I misread your post on 6/3/2011 7:00:15 AM as you mentioned both ways. This makes more sense now why you never seemed to mention the other half of the pairs trade.
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Kevin_in_GA
4,599 posts
msg #104480
- Ignore Kevin_in_GA |
1/18/2012 8:46:25 AM
Not a problem - I just didn't want people to think this was different from how I had developed it.
If you look at the equity curve and the Sharpe ratio, there really is no need to hedge on this. Over the 10 year period tested (1999-2009, which included two brutal recessions) this system performed admirably.
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niajy
13 posts
msg #104481
- Ignore niajy |
1/18/2012 10:14:37 AM
PM buy alert
BIG ...about to exit from long?
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Kevin_in_GA
4,599 posts
msg #104482
- Ignore Kevin_in_GA
modified |
1/18/2012 10:43:09 AM
BIG Z score still at -1.27, so no SELL just yet. Since this is against the SPY, it needs to outperform the overall market to really make a move in the Z score.
UPDATE at 12:13 PM EST. BIG just crossed above -1 on Zscore, triggering a SELL signal at 38.37. In at 37.34, out at 38.57 - a gain of +3.3% in one day.
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unbias123
9 posts
msg #104484
- Ignore unbias123 |
1/18/2012 12:29:53 PM
Hi Kevin
I am new to SF. I have gone through this thread and appreciate your work. Today I saw PM as buy in your original Filter given on page 1 of this thread. where can I see the Exit for this trade i.e. Exit Filter.
I will appreciate your reply.
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