duke56468
683 posts
msg #109378
- Ignore duke56468 |
12/13/2012 10:19:16 PM
Very confusing..what is the exit for if you are not supposed to exit? And then when do you go back in? Just askin.
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Kevin_in_GA
4,599 posts
msg #109380
- Ignore Kevin_in_GA |
12/13/2012 11:02:56 PM
The exit is for existing trades, but today 4 new ones came on - would you leave a trade when a new one in the same stock triggers, or hold?
I see your point, but I trade this as follows right now - if I am already in SPY or SSO and get both an exit and a new entry signal, I stay pat. You may do it differently.
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frsrblch
35 posts
msg #109382
- Ignore frsrblch
modified |
12/13/2012 11:21:30 PM
All of our backtesting was done independent of the other signal. If the buy triggered, the stock was bought at the next open, regardless of whether the exit trigger was also going off. If the exit triggered, the stock was sold at the next open regardless of whether the entry trigger was still there.
It wouldn't be a bad idea to run some backtests to see if there is an optimal way to act when we're getting mixed signals like this.
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Kevin_in_GA
4,599 posts
msg #109439
- Ignore Kevin_in_GA |
12/14/2012 7:57:43 PM
9 of 10 filters are now in BUY mode (2 more triggered today). Stratasearch filter versions of these are at 9 in trade now as well.
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Cheese
1,374 posts
msg #109443
- Ignore Cheese |
12/15/2012 10:38:51 PM
Breaking news (Dec 15, 2012 9 PM EST)
http://politicalticker.blogs.cnn.com/2012/12/15/boehner-puts-income-tax-rates-on-table-for-first-time/?hpt=hp_bn3
Source: Boehner offers to include higher tax rates on wealthy to avoid fiscal cliff
SPY should go up on Monday.
Kevin, you may have created a great composite leading indicator here.
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Kevin_in_GA
4,599 posts
msg #109448
- Ignore Kevin_in_GA |
12/16/2012 8:20:12 AM
No such thing as a leading indicator anymore - the HFT algos are dominating the market and they jump ahead on everything. We eat their dust.
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voidcomp
23 posts
msg #109457
- Ignore voidcomp |
12/17/2012 2:43:54 PM
Yep, their software is already getting ready to sell on the basis that any fiscal cliff compromise will result in opportunity to take profit after a short lived rally.
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frsrblch
35 posts
msg #109463
- Ignore frsrblch |
12/17/2012 4:24:27 PM
The exit has triggered after today’s strong close on SPY.
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Kevin_in_GA
4,599 posts
msg #109469
- Ignore Kevin_in_GA |
12/17/2012 8:25:17 PM
True. But there were also 8 (count'em 8) NEW divergence BUY signals generated today. Do you sell at the open only to immediately re-buy? Or just stay in?
The mechanism for trading simultaneous BUYand SELL signals is still a bit of a mystery, even to me. I for one will NOT sell my SSO tomorrow at the open, and will take the new signals as a reason to stay long for the next round.
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miko
68 posts
msg #109470
- Ignore miko
modified |
12/17/2012 9:32:40 PM
I rate treating simultaneous buy/sell signals as follows:
Aggressive: always taking the buy signal, that is buying if no position, staying long if already long.
Conservative: always taking the sell signal, that is selling if long, staying flat otherwise.
Middle of the road: always maintaining status quo, that is staying flat if already flat, staying long if already long.
These assume only 0 or 100% positions are used. There is also the possibility of using simultaneous signals to go to a 50% (for example) position. So, if already long, sell half, if already flat, buy 50% normal size.
(There is a 4th possibility: to flip; that is, if long, flatten, if flat, get long. I don't what to call that :)
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