Kevin_in_GA
4,599 posts
msg #107934
- Ignore Kevin_in_GA |
9/6/2012 1:24:22 PM
I think today highlights two things for me:
1. This market trades less and less on technicals or fundamental data, and more on news than ever before.
2. Leverage cuts both ways. I highlighted the fact that I was surprised this system had a good Sharpe ratio given it's use of the doubles. Over time it has generated solid profits, but it always is frustrating to get stopped out.
I'm optimizing a set of long-only trading filters for the S&P 500 index that I'l post once I have finished the analysis. These are based on the index itself, so they could be played using a number of different strategies or instruments. Given the limitations to SF code, not all of them are directly translatable into SF, but I'll post the ones that are.
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tennisplayer2
210 posts
msg #107935
- Ignore tennisplayer2 |
9/6/2012 3:06:15 PM
Kevin, thanks and looking forward to the new filters.
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jackmack
334 posts
msg #107938
- Ignore jackmack |
9/6/2012 4:38:07 PM
Thank you Kevin
I cannot wait to see them.
Cheers
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Eman93
4,750 posts
msg #107944
- Ignore Eman93 |
9/6/2012 7:00:17 PM
I think when all 3 happen at the same time you get a move like today....
The only thing you can control is the risk... that is it..
the only thing charts do is graphically plot price and volume over time.. those are the only facts you have, the rest is mathematical models of the facts.
its simple but the hardest thing I have ever done......LOL.... but I have never run with the bulls...GLT
http://stockcharts.com/public/1424685/chartbook/129091841
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novacane32000
331 posts
msg #107945
- Ignore novacane32000 |
9/6/2012 7:41:43 PM
Page one shows this filter has had 7 consecutive losses in BT.
2011 had a streak where 6 of 8 trades were losers starting around April but then the next 13 of 14 trades were winners.
As Kevin mentioned-sometimes we just need to recognize when a market is news driven.
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BarTune1
441 posts
msg #107946
- Ignore BarTune1 |
9/6/2012 7:51:57 PM
Eman is dead on when he says the only thing you can control is the risk. I have played pretty much only pairs the last two to three weeks and todays move had little effect on my portfolio despite the large move in the indexes.
I did however start taking short positions late in the day (APOL, ESI, JCP,QSII). I am concerned a little with the jobs number tomorrow and a possible carry over, but I manage risk by position size and will add likely add to the shorts late tomorrow if the market spikes up again.
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novacane32000
331 posts
msg #107969
- Ignore novacane32000 |
9/9/2012 3:19:46 PM
Kevin , are you ok with posting your stratsearch startegy syntax for this filter?
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Kevin_in_GA
4,599 posts
msg #107970
- Ignore Kevin_in_GA |
9/9/2012 4:42:16 PM
Stratasearch Code:
Entry
crossbelow(stochd(5, 1, 5,simple),stochd(5, 1, 10,simple))
Exit
crossabove(stochd(5, 1, 5,simple),stochd(5, 1, 10,simple)) or
traildown(3,unleveraged)
Entries and exits are the default
ref(open,1)
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novacane32000
331 posts
msg #107977
- Ignore novacane32000 |
9/9/2012 8:10:44 PM
Thanks
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jackmack
334 posts
msg #108007
- Ignore jackmack
modified |
9/11/2012 10:34:46 AM
Kevin,
Was the STOCHASTICS %D(5,1,5) %D(5,1,10) the one that created the greatest number of potential profitable trades or is it possible that a different time frame for cross above/below in the oscillator might produce better results?
Just asking
Thank you
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