jackmack
334 posts
msg #108620
- Ignore jackmack |
10/30/2012 9:25:33 AM
Got it - was just wondering.
Thank you
Cheers
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bramdc
6 posts
msg #108642
- Ignore bramdc |
11/1/2012 5:07:40 AM
Hi Kevin, I was wondering whether you found already the time to run divergences to create short positions instead of long, should be even more profitable as moves down can speed up fast,
best, bramdc.
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Kevin_in_GA
4,599 posts
msg #108644
- Ignore Kevin_in_GA |
11/1/2012 8:26:37 AM
I did run a similar set of divergence optimizations for short plays on the ^SPX. None of the systems returned many trades (like 5 a year was among the highest). Even if they make more money per trade, alone these would not be good systems since the trades are too infrequent and almost always ran for more than a month.
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bramdc
6 posts
msg #108649
- Ignore bramdc |
11/1/2012 4:00:44 PM
OK, that's a pity, but I do agree that more then one month is really a long time,
I'm having now call options for SPY, but even there I take options two months ahead, with an average time of being in the market for 7 days or so, you lose some money on time, but if the index is gaining on average 1%, this should be sufficient to make a decent profit,
Thanks Kevin for considering my question, best, Bram.
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lados
1 posts
msg #108780
- Ignore lados |
11/12/2012 7:33:39 AM
Hi, I am new to SF. Is it possible to backtest these divergence strategies in StockFetcher,when I click backtest strategy it brings quite bad results. And did somebody backtested on other ETFs? Thx.
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Kevin_in_GA
4,599 posts
msg #108781
- Ignore Kevin_in_GA |
11/12/2012 8:45:37 AM
Backtesting these is pretty straightforward but you need to make sure you have all the settings correct.
Here is the backtest for the RSI divergence filter over the last four months:
Approach Name: RSI Divergence
Test started on 2012-07-09 ended on 2012-11-09, covering 86 days
Filter used:
/*CODING FOR DIVERGENCE BETWEEN MA(3) AND THE RSI INDICATOR*/
SYMLIST(SPY)
SET{RSI10down, COUNT(RSI(10) below RSI(10) 12 days ago,1)}
SET{RSI10down3, COUNT(RSI(10) DROPPED MORE THAN 3% OVER THE LAST 12 DAYS,1)}
SET{MA3UP8, COUNT(MA(3) above MA(3) 12 days ago,1)}
SET{MA3UP8_1, COUNT(MA(3) gained MORE THAN 3% OVER THE LAST 12 DAYS,1)}
SET{DIV1H, RSI10down * MA3UP8}
SET{DIV2H, RSI10DOWN3 + MA3UP8_1}
SET{DIV3H, COUNT(DIV2H ABOVE 0.5,1)}
SET{RSI10DIV, DIV1H * DIV3H}
RSI10DIV crossed above 0.5
DRAW RSI10DIV
set{exit1, count(close reached a new 10 day high,1)}
set{exit2, count(ROC(15,1) is below ROC(15,1) 10 day high,1)}
set{exit, exit1 * exit2}
Trade Statistics
There were 7 total stocks entered. Of those, 7 or 100.00% were complete and or 0.00% were open.
Of the 7 completed trades, 6 trades or 85.71% resulted in a net gain.
Your average net change for completed trades was: 0.98%.
The average draw down of your approach was: -1.31%.
The average max profit of your approach was: 1.66%
The Reward/Risk ratio for this approach is: 2.97
Annualized Return on Investment (ROI): 39.46%, the ROI of ^SPX was: 5.34%.
Equity Summary
Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $106,783.62. Cash: $106,783.62 Market value of holdings at end: $0.00 (paid: $-62.65)
Realized gain/loss: $6,783.62 ($969.09 per trade.)
Total Commissions Paid: $125.30
Unrealized gain/loss: $62.65.
Exit Statistics
Stop Loss was triggered 0 times or 0.00% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (0 days) 1 times or 14.29% of the time.
NOTE: the one losing trade happens here because the backtest closes all open positions, and the current open position is still trading at a loss. Given the right exit signal this may not be the end result. Nonetheless, earning 6.8% over the last 4 months is pretty good.
Remember to keep open and max positions set to 1, and only buy the SPY.
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duke56468
683 posts
msg #108782
- Ignore duke56468 |
11/12/2012 9:33:50 AM
Kevin, if you are in cash do you wait for any one of the ten filters to give an entry signal, and do you wait for more than one, and do you have any preference which one?
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Kevin_in_GA
4,599 posts
msg #108783
- Ignore Kevin_in_GA |
11/12/2012 10:44:18 AM
I've noticed that in most cases several will trigger on the same day. I've also noticed that there is usually a drawdown of a percent or so (sometimes more) with these filters, so you could simply put in a limit order at 1% below the open price on the day after the signal is triggered and see how that works.
Short answer - I look for more than 1 signal as confirmation.
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duke56468
683 posts
msg #108786
- Ignore duke56468 |
11/12/2012 5:21:47 PM
Thanks I'll try that.
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ericeira
23 posts
msg #108787
- Ignore ericeira |
11/12/2012 10:33:36 PM
Hi, I am also new to Sf is it possible to elaborate on the exit filter and how it should be set up , the way i'm doing it by placing it on slot named exit Trigger #1 is not triggering any exits unless i set up a Maximum days to hold or Profit Stop Percent but none by this filter .
Thanks
Gilbert
(set{exit1, count(close reached a new 10 day high,1)}
set{exit2, count(ROC(15,1) is below ROC(15,1) 10 day high,1)}
set{exit, exit1 * exit2}
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