mahkoh
1,065 posts
msg #101565
- Ignore mahkoh |
7/11/2011 5:22:06 PM
Kevin, I draw weekly and monthly pivot lines on the charts and check visually. Wouldn't really know how to backtest that.
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Kevin_in_GA
4,599 posts
msg #101568
- Ignore Kevin_in_GA |
7/11/2011 7:24:52 PM
You can use these in a filter (at least the daily and weekly) -
How are you evaluating potential stocks based on the PP? Obviously adding this to the current filter would give no hits since the base filter once again had no matches for today.
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Kevin_in_GA
4,599 posts
msg #101569
- Ignore Kevin_in_GA |
7/11/2011 7:37:40 PM
SELL signal today for SJM for a gain of 1.3%.
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duke56468
683 posts
msg #101570
- Ignore duke56468 |
7/11/2011 8:08:14 PM
Has anyone figured out a stop-loss for this filter that doesn't hurt the backtest results?
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Kevin_in_GA
4,599 posts
msg #101573
- Ignore Kevin_in_GA |
7/11/2011 9:15:39 PM
Well, it does have a maximum days held component that limits some drawdown.
I ran a stop loss optimization in SS, letting the stop loss run from 1% to 20% over the period tested in the first post. All were worse in overall profitability (the best being 772% gain versus the 905% gain without a stop loss) and all had lower Sharpe ratios.
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duncanhoo
14 posts
msg #101581
- Ignore duncanhoo |
7/12/2011 7:21:27 AM
thanks duke - have you experimented with trying to let any of these run - even on paper with some type of trailing stop? I know that is not the "backtested" strategy but as I look back though some of the results it would appear counter-intuitive have not trailed stops on some of these.
also have you seen any correlation with broader market direction in terms of win rate/win%? Not rocket science here but i have improved backtested results on many of these strategies by applying a bit of discretion on the trades.
Kevin thanks again for posting this....
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duke56468
683 posts
msg #101589
- Ignore duke56468 |
7/12/2011 11:45:31 AM
duncanhoo........I have tried several scenarios and stop loss settings. On back-test all stop losses except the very wide ones hurt the outcome. However shortening the hold periods to either 10 or 5 days does not affect them as much. The worst period I found on back-test since 12/30/2009 to present, was 4/30/2011 to present. On the paper trades I have been letting the EOD trades play out as Kevin described and using the exit filter to close. On the intraday trades I have been placing a trailing stop above break even. Unfortunately my paper trade software does not provide for trailing BUY stops which should improve the entry price when I get to real $.
Thanks again Kevin we all appreciate and benefit from your posts.
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duncanhoo
14 posts
msg #101590
- Ignore duncanhoo |
7/12/2011 12:39:59 PM
thanks - i am downloading stratsearch trial. seems like a big learning curve on it.
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mahkoh
1,065 posts
msg #101596
- Ignore mahkoh
modified |
7/12/2011 3:21:18 PM
Getting the monthly pivot lines is a bit of a hassle, you can check how I do this in another thread, search for "draw pivot lines".
I fiddled with my colour settings so that my weekly and monthly pivot lines are black, weekly support and resistance lines red and monthly lines blue. Note that I also swapped the S&P requirement for price and volume, that returns more candidates as well. I got an exit signal today for CEF at a 7.33 % gain from 6/28.
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Kevin_in_GA
4,599 posts
msg #101597
- Ignore Kevin_in_GA |
7/12/2011 3:36:16 PM
Just a caveat - you are picking stocks outside of the S&P 500 with the first two lines of your filter. All of the system design, optimization and backtesting were done on S&P stocks. This will give you more stocks to choose from, but no promises on any performance.
Kevin
Have you backtested this filter over the last six months or so and compared it to the original?
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