davesaint86
725 posts
msg #139950
- Ignore davesaint86 |
12/9/2017 9:11:28 AM
Kevin - I did what you said to to. I kicked off a One Click run selected the Consistent Trades strategy. I noticed in Exit dialog box that this statement is showing up in the filter. (// Maximum Days Held (Supporting Exit)($daysheld > 15). I checked my results this morning and looked at the trades after 146,000 runs and noticed there are numerous trades listed under 15 days. The Performance Report is showing and average trade length of 10 days. I went back into the Trading Rule Setup for the Auto Search Setup and noticed for the rule that the Exit String "Use Exit Rule as an Alternative" is selected. I think it needs to be changed to "Use Exit Rule in Addition to Primary Rule Ext." I'm going to kick off the run again using the other option.
Dave
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mahkoh
1,065 posts
msg #139955
- Ignore mahkoh |
12/9/2017 4:23:49 PM
There is nothing here that should not happen. Assuming you checked Maximum Days Held to "always" the primary exit rule may trigger before 15 days, if it doesn't the Max Days rule kicks in.
If you choose to use it in addition to the primary rule both have to be true and there should not be an exit earlier than 15 days.
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jackmack
334 posts
msg #139959
- Ignore jackmack |
12/9/2017 8:25:06 PM
If one didn’t have the position sizing that Kevin does and was starting out with a small amount of capital can it be done with 2 or 3 or 4 signals only?
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nibor100
1,031 posts
msg #139960
- Ignore nibor100 |
12/9/2017 9:24:15 PM
@jackmack,
when I look at my run of Kevin's backtest for a portfolio size of 1, fixed trade equity, the performance report indicates:
avg annual return 89%
compound annual return 41,83%
avg trade return +3.32%
71% of trades profitable
Percent in Market 89.3%
avg days held 8
max drawdown 17.7%
16 losing months out of 57 months
I believe you can run backtest for mutilple portfolio settings of any combination from 1 to 20.
Ed S.
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nibor100
1,031 posts
msg #139961
- Ignore nibor100 |
12/9/2017 10:20:27 PM
XIV Seasonality,
One of the programs I use, Edgerater Pro. has a few seasonality templates and I just ran the Monthly-1 Month template and the Now Template for XIV total history.
According the Monthly-1 Month Template XIV has had 4 Decembers with positive gains and 3 with negative gains with an overall avg gain for Dec of 0%.
According to the Now Template, XIV for the 2 weeks of trading beginning after 12/8 there have 3 yrs where those next 2 weeks were positive gaining and 4 yrs where they were not. The avg over those 2 weeks for 7 yrs of history has been +3%. (Curiously that template shows if XIV is held for 6 months when going long on XIV now, the avg gain is 42%, 7 up years 0 down years)
Since some of the current ongoing signals show gains greater than the Kevin backtest reported avg. gain of 4.51%, and the marginally positive seasonality data, would some of you consider taking profits early or staying with the filter trades as designed?
Ed S.
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shillllihs
6,044 posts
msg #139962
- Ignore shillllihs |
12/9/2017 10:51:17 PM
Bottom line. If you want to come close and underperform buy n hold this system is for you.
If you want to make more money doing nothing, or HUGE money adding on dips, and have almost total freedom from trading, buy n hold until a bear market.
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SAFeTRADE
644 posts
msg #139963
- Ignore SAFeTRADE |
12/10/2017 2:43:08 AM
I have been updating using Yahoo after midnight and all is updating properly. Thank you again, Kevin.
Safetrade
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davesaint86
725 posts
msg #139969
- Ignore davesaint86 |
12/10/2017 12:03:57 PM
Using the "Use Exit Rule in Addition to Primary Rule Ext." works.
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Kevin_in_GA
4,599 posts
msg #139986
- Ignore Kevin_in_GA |
12/11/2017 9:52:11 AM
based on the SELL signal (#38) received on Friday, I sold 1,000 shares of XIV (purchased on 11/30 at $120.08) at a limit order of $124.50. Net gain of $4,420. Still holding 6,000 shares
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Kevin_in_GA
4,599 posts
msg #140011
- Ignore Kevin_in_GA |
12/12/2017 8:29:04 AM
Here are my signals from last night (for comparison to what others should be getting):
| Side | Action | PF | OrderType | Product | Symbol | Name | BuyDate | BuyPrice | ClosePrice | GainLoss | SystemName | | | Long | Sell | 10 | | Stock | XIV | XIV | 12/1/2017 | 116.69 | 128.1 | 9.78% | XIV MULTISYSTEM #32 | | | Long | Sell | 10 | | Stock | XIV | XIV | 11/30/2017 | 120.04 | 128.1 | 6.71% | XIV MULTISYSTEM #20 | | | Long | Sell | 10 | | Stock | XIV | XIV | 12/7/2017 | 116.3 | 128.1 | 10.15% | XIV MULTISYSTEM #15 | | | Long | Hold | 10 | | Stock | XIV | XIV | 12/4/2017 | 119.76 | 128.1 | 6.96% | XIV MULTISYSTEM #27 | | | Long | Hold | 10 | | Stock | XIV | XIV | 12/5/2017 | 116.7 | 128.1 | 9.77% | XIV MULTISYSTEM #23 | | | Long | Hold | 10 | | Stock | XIV | XIV | 11/29/2017 | 120.47 | 128.1 | 6.33% | XIV MULTISYSTEM #6 | |
Based on this, I will sell another 3,000 shares today at the open. May opt for a limit order at $129 if it opens near that price.
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