davesaint86
725 posts
msg #69924
- Ignore davesaint86 |
12/18/2008 11:49:16 AM
I have a question about the below statement. as far as a buy trigger goes. So the buy trigger would be if RSI(2) for a particuliar Stock crosses below 10 buy the stock? Is this correct.
Show Stocks where RSI(2) crossed below 10 from above and where RSI(2) is above 1
Thanks - Dave
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chetron
2,817 posts
msg #69926
- Ignore chetron |
12/18/2008 2:57:05 PM
AND above 1, YES THAT IS WHAT YOU ARE SAYING.
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davesaint86
725 posts
msg #69927
- Ignore davesaint86 |
12/18/2008 3:28:28 PM
Thank you Chetron. Just wanted to verify. I created a Ultra ETF Inverse Fund List using this as the buy trigger and using RSI(2) above 70 as the sell trigger - trading just one ETF at a time. ROI between 12/31/07 and 12/17/08 is over 500% with a low drawdown and 80% win rate. I created one for the Ultra Longs and the ROI is around 200% for the same time period with a higher drawdwon. I'm trying to figure out if these buy and sell triggers will work in real life.
Dave
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chetron
2,817 posts
msg #69928
- Ignore chetron |
12/18/2008 5:51:42 PM
one thing i like to review when i see that kind of roi is how many extra ordinary events took place that had nothing to do with my triggers, did you see any?
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davesaint86
725 posts
msg #69934
- Ignore davesaint86 |
12/18/2008 10:11:12 PM
one thing i like to review when i see that kind of roi is how many extra ordinary events took place that had nothing to do with my triggers, did you see any?
Chetron - Could you please elaborate on extra ordinary events. What have you seen, and what should I be looking for?
Thanks - Dave.
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davesaint86
725 posts
msg #69935
- Ignore davesaint86 |
12/18/2008 10:33:21 PM
There was a trade of EEV over 10 days that netted a 75% gain. I verified the numbers using Yahoo. I'm guessing also why the Inverse ETFs did so well is mainly because of the severe downturn in the markets. I 'm thinking this is why the long Ultra ETFS did not do as well.
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davesaint86
725 posts
msg #69936
- Ignore davesaint86 |
12/18/2008 10:55:00 PM
Would a better buy trigger be RSI(2) below 10 first then the buy signal is when crosses back up over 10?
Dave
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TheRumpledOne
6,411 posts
msg #69945
- Ignore TheRumpledOne |
12/19/2008 4:19:44 PM
Just "wait for green".
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chetron
2,817 posts
msg #69951
- Ignore chetron |
12/19/2008 6:20:49 PM
dave,
if i was relying on backtest results for a set up, i wouldn't change entry. i would validate the backtest 1st or try the new entry with the backtest. right or wrong, focus is important.
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chetron
2,817 posts
msg #69958
- Ignore chetron |
12/19/2008 8:46:41 PM
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davesaint86
- Ignore davesaint86 12/18/2008 10:11:12 PM
one thing i like to review when i see that kind of roi is how many extra ordinary events took place that had nothing to do with my triggers, did you see any?
Chetron - Could you please elaborate on extra ordinary events. What have you seen, and what should I be looking for?
Thanks - Dave.
*************************************
as far as the above, you did a 1 year backtest. a freakish event is an event where you bought an instrument, and compared against your other 199 transactions, 1 transaction per day per year, and made the lions share of your 500% roi with it. if that is what you are shooting for great.
what i don't like about the above scenerio is that you were just basically wrong the other 199 times, if you take away that 1, what was the roi? might not be so good.
hth
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