niajy
13 posts
msg #104543
- Ignore niajy |
1/20/2012 2:58:03 AM
the problem with LO and POM is that there didnt reached the support yet (if you look at channel..)
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unbias123
9 posts
msg #104544
- Ignore unbias123 |
1/20/2012 6:56:17 AM
Hi Kevin
Thank you for sharing "HOW TO DESIGN A SYSTEM (NOT JUST A FILTER" with us.
I have gone through this thread.
Just want to confirm with you hat the back test result show in FIRST page for ENTRY and SECOND page for EXIT of this thread is based on followings:
1. The signal generated at the end of day to be used for entry or exit and price will be based on next day opening price? Is those price based on morning 9.30 am EDT time i.e. New York time?
2. Maximum open trade will be 5 at any point of time or 10? If Signal generated for more than 5 or 10 BUY trade then it will be based on ZSCORE priority?
3. Is there maximum daily limit for number of BUY trade?
3. Each trade will be 10% of equity (Starting equity will be $100,000) i.e. if equity goes up and say now $105,000 then trade amount will be $10,500 and say equity is $95,000 then trade amount will be $9,500?
4. Exit will be based on ZSCORE > -1 or 20 days from the trade date which ever come first?. Is that 20 is 20 trading days i.e. 4 week?" What about holiday?
5. Any other point(s)?
Once again thank you for sharing System with us.
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novacane32000
331 posts
msg #104546
- Ignore novacane32000
modified |
1/20/2012 7:49:24 AM
Jsheetz
Kevin has run all the possible stops through Stratasearch and nothing improves performance.
I do not believe the system will trigger a trade when a stock is below the 200 ma . Now, if the stock happens to cross below the 200 ma while you are in the trade-that may be something to look at.
It would be interesting to do a separate study on all the trades with greater than a 10% drawdown to find an optimum exit strategy (all I have done is looked strictly at statistics) .Not sure if Stratasearch has that capability and Kevin may have already looked at this with the original creation of the filter.
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niajy
13 posts
msg #104550
- Ignore niajy |
1/20/2012 10:19:01 AM
today ISRG and GOOG were buy signals... let s see if it works out
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mahkoh
1,065 posts
msg #104554
- Ignore mahkoh
modified |
1/20/2012 3:39:50 PM
AIZ sell signal 39.18 for a 3.08 % gain
If anyone has been playing with the thought of doubling down on COG, it is just above the monthly S2 at 60.74...
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SAFeTRADE
660 posts
msg #104563
- Ignore SAFeTRADE |
1/20/2012 9:43:24 PM
Kevin,
Does Priceratio as plotted on the upperband and the lower bands represent the spy or the stock?
Thanks
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Kevin_in_GA
4,599 posts
msg #104564
- Ignore Kevin_in_GA |
1/20/2012 10:04:40 PM
Look at the code - it represents the RATIO of the stock to the SPY. When the RATIO moves more than 2 SD below the mean, the trade is triggered.
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abhikat
3 posts
msg #104595
- Ignore abhikat |
1/23/2012 1:34:35 AM
I am new to the forum and have been following this thread for a few days (many thanks to Kevin for this thread and all the wonderful work that he so generously shares).
Hi Novacane32000,
"I looked at 1652 trades over about 8 yrs and 140 would have hit a 10% stop. Yes that would have saved you the pain of some 20 of those trades that lost over 18% ( a few over 30%)--- but holding until the zscore trigger exit on those 140 trades resulted in only a net loss of -6.49% instead of the guaranted 10% loss."
You posted this on page 30. Thanks to you for all the hard work that lead to generate those numbers. Would it be possible to share the other end of the spectrum too? Like how many of those 1652 trades were 10% or more in profit?
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novacane32000
331 posts
msg #104599
- Ignore novacane32000 |
1/23/2012 9:40:48 AM
Abhikat
24 gained 10% to 14.99%
2 gained 15% to 19.99%
1 gained 20% to 29.99%
1 gained 49%
Those 28 trades make up 1.62% of all trades over almost 10 years.
Based on the backtest results I found a 7% profit stop works well with this system. It does not beat the original exit rules that Kevin gave as far as overall performance. As Kevin has stated-the best exit is 16 days or the zscore exit above -1. Also,there is no profit stop that improves performance (though I wish there was).
The 7% profit stop gives me a little more "peace of mind". I know few trades will gain much more than 7% and many get to 7% then drop causing you to kick yourself for not taking profits when you had them.
I have a hard time dealing with drawdowns so this is how I choose to trade the system.
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mahkoh
1,065 posts
msg #104607
- Ignore mahkoh |
1/23/2012 12:33:04 PM
Intraday buys AKAM at 31.30 and PWR at 20.80
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