SAFeTRADE
646 posts
msg #144610
- Ignore SAFeTRADE
modified |
9/9/2018 8:58:12 AM
Nick and Pick at your PLEASURE!
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Lapre506
48 posts
msg #144626
- Ignore Lapre506 |
9/11/2018 7:14:18 AM
This is interesting. I've been trading 3X ETF's lately because judging the overall market seems easier these days then individual stocks. Does this only translate well to SPXL and SPXS. Can I use it for UDOW and SDOW as well? It's basically using the VIX as a study so does that only accurately apply to the S&P or do you think it would do well against the DJIA as well?
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shillllihs
6,047 posts
msg #144632
- Ignore shillllihs
modified |
9/11/2018 12:36:12 PM
The system looks impressive at first glance, but if you go back there is much chop with many losses.
Perhaps a tweak but good try.
The goal is to outperform buy and hold and just by glance, I don’t think this has.
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SAFeTRADE
646 posts
msg #144636
- Ignore SAFeTRADE |
9/11/2018 6:45:13 PM
Applies more to the SPY, but could be applied to DOW and QQQ or 3x etf's. Bought SPXL today based
on the buy signal. The SPY formed an engulfing candle today. Hope that helped.
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ahcsim72
151 posts
msg #144649
- Ignore ahcsim72 |
9/12/2018 11:08:15 PM
Looks awesome. Can you post more filters that applies to other 3X EFTS?
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SAFeTRADE
646 posts
msg #144659
- Ignore SAFeTRADE |
9/13/2018 12:28:55 PM
From Wikipedia.
What is the 'VIX - CBOE Volatility Index'
The Volatility Index, or VIX, is an index created by the Chicago Board Options Exchange (CBOE), which shows the market's expectation of 30-day volatility. It is constructed using the implied volatilities on S&P 500 index options. This volatility is meant to be forward looking, is calculated from both calls and puts, and is a widely used measure of market risk. The VIX is often referred to as the "investor fear gauge."
Being that the S&P 500 and the VIX(VXX) are related to each other. I think it is safer to stay with SPY,
SPXL and SPXS or what ever S&P 500 long or short etf you prefer.
Just place your symbols in the filter to see how they perform.
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SAFeTRADE
646 posts
msg #144661
- Ignore SAFeTRADE
modified |
9/13/2018 12:39:14 PM
Here is same filter with different optics or visual display. I placed price in the context of Donchian
channels. Buy SPY or SPXL when the price of VXX closes below Center Donchian Channel.
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Lapre506
48 posts
msg #144766
- Ignore Lapre506 |
9/26/2018 7:47:08 AM
This gave a signal yesterday to long SPXS. With my own TA I concur that a short term pullback in the SPY is imminent so let's see what happens.
I got in at 21.34
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Lapre506
48 posts
msg #144979
- Ignore Lapre506 |
10/16/2018 6:48:09 PM
Gave a signal today for SPXL. So SPXS closed at 23.52 today. I didn't hold it this long though. I bought and sold it multiple times along the way. Some as high as 25.50. Benefits of Robinhood and no commissions.
Bought a small amout of SPXL in the aftermarket for 48.50 but I'm expecting a bit of a pullback since it was a 500 point day. So I'll buy more and average down tomorrow at some point.
So far really liking this filter though.
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Lapre506
48 posts
msg #146217
- Ignore Lapre506 |
1/23/2019 9:06:06 AM
So I've been monitoring this for the last few months and decided to crudely backtest it.
http://oi63.tinypic.com/2mffzih.jpg
-It's based on 1,000 buy in for each time it gave a signal
-Buy in was simulated at EOD close price day on day the signal was given
-Sell was simulated at opening price morning after sell signal was given (By sell signal I mean signal to buy the other ETF)
-Filter was performing well up until that 12/13 whipsaw that had you jump out of one and into the other, then give a signal back the other way at that EOD
-Reason for these rules are I have noticed that the filter tends to give a signal intraday but then that signal disappears before or after the close. With SF being up to 30 mins behind at times I used the EOD closing price as a target for entry so I could be sure the signal was real and still there at 4PM.
It's not quite how I would have played it had I used this filter live. But it was the easiest way for me to backtest it. I'm only an excel novice so forgive my crude spreadsheet :)
So since October had you followed these rules based on 1,000 buy in for each signal you would have netted $285.00 in profit (assuming commission free trading).
Anyway just wanted to share some results. I still like the filter alot. Gives me sort of a heads up to look for the market to reverse.
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