tconte
13 posts
msg #107861
- Ignore tconte |
8/30/2012 4:23:32 PM
You're welcome, Jackmac.
I am not sure about the scripting, though.
|
Kevin_in_GA
4,599 posts
msg #107862
- Ignore Kevin_in_GA |
8/30/2012 5:53:16 PM
- it appears the 50 day SMA is indeed the better approach if one is using this other than the way Kevin originally set out.
+++++++++
Did you compare this result to the backtest data and stats I posted in the first thread? I think it falls short by about $1 Million dollars (and I'd love to see drawdown and Sharpe ratio data on any variant). If in fact it does outperform the simple stochastic crossover I would happily adopt it, but to date I have not seen any equity curve or basic stats that convinces me to switch.
|
tennisplayer2
210 posts
msg #107873
- Ignore tennisplayer2 |
8/31/2012 10:39:06 AM
There is an intraday cross. If this holds up, we are to buy SDS on Tuesday. I'm not sure what I'm going to do yet.
|
Kevin_in_GA
4,599 posts
msg #107879
- Ignore Kevin_in_GA |
8/31/2012 2:47:07 PM
Yeah, this has been hopping between SSO and SDS all day. If it does not end up in SDS by the end of the day, it most likely will on Tuesday. Clearly the flip is near.
|
reticent67
2 posts
msg #107880
- Ignore reticent67
modified |
8/31/2012 3:02:20 PM
Kevin,
Once again, great work on an exciting new filter and thank you for sharing it. I too would be interested in seeing a screenshot of the trading rule in Prodigio? I'm trying to backtest and am coming up with wildly different results than yours. Have you abandoned NinjaTrader in favor of Prodigio. I'm still on the fence about which one I like best/trust more.
Cheers,
Rick
|
Kevin_in_GA
4,599 posts
msg #107881
- Ignore Kevin_in_GA |
8/31/2012 5:18:18 PM
End of day flip from SSO to SDS. Enter at the open on Tuesday.
|
Nickster8074
53 posts
msg #107908
- Ignore Nickster8074 |
9/3/2012 11:48:48 PM
Kevin, when back testing this system and the ETF was stopped out, did the simulation buy whatever signal was long on the next day or did it buy the opposite ETF whenever it went long? The reason I ask is that when your ETF is stopped out, which happened about %45 of the time, usually the next several days will stay long on the ETF you were stopped on. So, in theory, I'd be waiting in cash for the opposite ETF to go long, correct? If your simulation went long on the following day, regardless of whether it was opposite or not, that may explain your exceptional results. It would be as if there were no stop loss. I hope this makes sense.
|
Kevin_in_GA
4,599 posts
msg #107928
- Ignore Kevin_in_GA |
9/6/2012 10:56:06 AM
Ouch. ECB announcement is driving the markets today. SDS is currently at 13.96, triggering the 3% stop loss from the open on Tuesday at 14.41.
|
jackmack
334 posts
msg #107930
- Ignore jackmack |
9/6/2012 11:13:28 AM
Kevin - this is still one of the best filters I have ever come across.
The 3% will be made up and then sooooo much more.
Crawl - Walk - Run
Thank you again for sharing.
Cheers
|
tennisplayer2
210 posts
msg #107933
- Ignore tennisplayer2 |
9/6/2012 12:56:26 PM
Kevin, I agree with Jack. Thanks for the filter and I will continue to trade it. Also, thanks for your honesty and openness. You are a man of character.
|