davesaint86
725 posts
msg #140053
- Ignore davesaint86 |
12/13/2017 8:43:23 AM
Kevin - Are you buying a new XIV position at the open based on the new buy that was triggered last night?
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nibor100
1,031 posts
msg #140056
- Ignore nibor100 |
12/13/2017 11:21:02 AM
@davesaint,
Thanks, those are the exact 3 signals I have for 11/28.
There must be nuances of this "system" that are unknown to me, as I believe neither you nor I, would have known to buy 3 units of XIV at the Open on 11/29, based on the filter nightly signals of 11/28, and to sell those very same 3 units on the Open of 12/12 for an excellent gain...
Ed S.
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Kevin_in_GA
4,599 posts
msg #140059
- Ignore Kevin_in_GA
modified |
12/13/2017 12:02:48 PM
@nibor - if you look at my post that day, it clearly indicates that several of the signals were from my other system (neural network systems) as well.
11/29/2017 8:52:15 AM
Added another 4,000 shares of XIV in premarket at $120.25 based on a series of system signals from last night. Now positioned at 6,000 shares at an average cost of $119.67.
I am still holding 1000 of those shares, as well as 2000 shares at $118.49 which gives me 3,000 shares still in play at an average cost of $119.07. My purchases were not exclusively through this system, but I am using the current signals to scale out of my trade.
@davesaint - no purchases for me today. As I stated last night, my goal is to reduce my XIV position and to begin adding in other ETFs systems for 2018. I will likely miss out on some gains but that is my decision.
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nibor100
1,031 posts
msg #140060
- Ignore nibor100 |
12/13/2017 12:26:08 PM
@Kevin,
No such post in your "My XIV Trading System Using Stratasearch Filters" thread.
I would guess some following this thread aren't reading your posts in the "Intraday Alerts" thread and realizing you might be buying XIV using signals from 1 or more other systems and then selling those prior XIV Buys using Sell filter signals from this system.
That approach makes sense for you but it is probably too complex for many of the rest of us to concisely execute.
Thanks for clearing that up,
Ed S.
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Kevin_in_GA
4,599 posts
msg #140062
- Ignore Kevin_in_GA |
12/13/2017 12:46:42 PM
This is a system I gave out freely to everyone here, but it is not the only system I use to trade, and I don't expect people to keep track of my trades all that closely.
In fact, had I followed this system exclusively over the past 6 months, I would be much better off than where I actually am. I usually pull a trade off the table too soon only to watch it keep going.
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nibor100
1,031 posts
msg #140063
- Ignore nibor100 |
12/13/2017 1:27:01 PM
@shillllihs,
While there hasn't been a bear market in years, since its inception XIV has had a few tumbles downward,
Between Feb 2011 and Feb 2014 XIV had 4 short term bearish drops: a 1 month drop of -30%, followed later by a 2 month drop of -72%, another 1 month drop of -29%, and a 1 month drop of -24%.
I ran a backtest is SS of this system from 2/15/11 to 2/14/14 giving the following results for Portfolio Size of 10 and Fixed Trade Equity:
525 trades, 364 wins, 161 losers for avg annual return of 46.2%
Avg trade gain was 2.64%, 0.26% daily return,
Avg winning trade 7.51%, avg losing trade -8.36%
11 losing months out of 37 months
Max realized drawdown -51.3% Unrealized -65.7%
Net profit $138,830 or 138%
Buy and Hold over same period 110%.
If you are interested in the variable trade equity results, those where one invests all available portfolio cash split 10 ways, so compounding can occur, let me know.
Note: 1 possible issue with this particular backtest is there are only 53 lead-in days of XIV data available.
Ed S.
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shillllihs
6,044 posts
msg #140065
- Ignore shillllihs |
12/13/2017 2:02:04 PM
As I said before, I trade under the idea that there are 3 distinct markets,
bull, fluctuating and bear. For example one of the fluctuating phases began
Mid July 2014 and ended Feb 2016. From that point, which I consider a bull market, buy n hold had outperformed. No big deal, i out perform this system by about 130%. Just clarifying My view. Not downing it, it's a quaint system for sure.
I do find it a bit amusing over all the confusion though.
I think someone should convert some of these to sf, it might be good as a secondary confirmation.
It could be a factor in a deciding decision if I had to make a tough call, but I have developed a system that I'm very impressed with.
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Kevin_in_GA
4,599 posts
msg #140066
- Ignore Kevin_in_GA |
12/13/2017 2:32:16 PM
Don't bother trying to convince shilllihs that anything could be as good as his own fantasy system. When he posts a backtestable system with any evidence of trades being made, the four horsemen will likely ride upon the wind and the Apocalypse will have begun.
When that happens I will go long TVIX ...
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emwalker
35 posts
msg #140073
- Ignore emwalker |
12/13/2017 4:19:05 PM
I'm curious about several of these filters that incorporate strategies involving volume, there are some that include chakin money flow, money flow index, volume index, etc. If my understanding of XIV is correct, volume does not play a large part in moving the price like a normal stock, right? The price is just the inverse of volatility, so should strategies involving volume really be used? Or does it not really matter, if it works, it works?
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ferndave
65 posts
msg #140077
- Ignore ferndave |
12/13/2017 8:07:44 PM
Santa better bring shilllihs some burn ointment for Christmas.
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