miko
68 posts
msg #109472
- Ignore miko |
12/18/2012 12:04:17 AM
"But there were also 8 (count'em 8) NEW divergence BUY signals generated today."
Given that there were 8/10 buy signals the previous day, there were 0-2 "NEW" divergence buy signals. Or am I looking at it wrongly?
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Kevin_in_GA
4,599 posts
msg #109478
- Ignore Kevin_in_GA |
12/18/2012 8:15:18 AM
That is one way to look at it. Stratasearch determines new signals by first closing out any existing trades when a SELL signal is triggered, then opening any new trades if a BUY signal was also created. Since all of my statistical back testing and analysis was done using Stratasearch, I am treating these as 8 NEW signals.
Based on that format, all of the signals resulted in profitable trades (some only marginally profitable, but ALL profitable). Given the positive futures right now, the trades will be closed at the open for a slightly higher profit than yesterday.
Trade as you see fit.
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Kevin_in_GA
4,599 posts
msg #109490
- Ignore Kevin_in_GA |
12/18/2012 1:27:40 PM
OK, I'm now out of my SSO trade from October(?) - I was in at 61.50 and went through a nice rollercoaster ride. I basically ignored two possible exit signals because there were simultaneous BUY signals. Out of the trade at 62.05 for a very small profit (0.8% after commissions).
Now back to trading this system as I was supposed to do ... will wait for the next entry after this trade signals to exit.
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mahkoh
1,065 posts
msg #109498
- Ignore mahkoh |
12/18/2012 5:41:48 PM
Probably the most profitable way to trade this strategy is by selling SSO puts. Actually selling SDS calls may be even better as the margin impact on selling calls is smaller.
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Kevin_in_GA
4,599 posts
msg #109502
- Ignore Kevin_in_GA |
12/18/2012 9:15:08 PM
All 8 signals are closed as of EOD today. Profit was 1.14%.
Note that 4 BUY signals also triggered again today (really continuations), but are to be treated as new triggers.
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Kevin_in_GA
4,599 posts
msg #109550
- Ignore Kevin_in_GA |
12/20/2012 8:03:41 PM
5 trades are currently in play, with the 4 "new" trades from 12/18 now down -0.21% and the 1 new trade (from the WLR Divergence filter) opened this morning up 0.55%.
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tennisplayer2
210 posts
msg #109616
- Ignore tennisplayer2 |
12/24/2012 8:52:53 PM
If I am reading this correctly, nine filters have hit. That is the most that I have seen. Merry Christmas to all.
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xzajic
14 posts
msg #109624
- Ignore xzajic |
12/26/2012 6:20:53 AM
Yes, LONG SPY !!!
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duke56468
683 posts
msg #109630
- Ignore duke56468
modified |
12/26/2012 11:52:42 AM
Kevin is the drawdown range listed below, the average drawdown or the max drawdown?
Using SSO this will double right?
MC Av. Drawdown = 11.75% and MC Av. Drawdown = 6.59%
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Kevin_in_GA
4,599 posts
msg #109633
- Ignore Kevin_in_GA |
12/26/2012 3:47:20 PM
That is the average drawdown seen for the 1000 iterations of the Monte Carlo simulation for the period 1/2/2007 until last month. Since the market drawdown was MUCH higher during that same period it aspic ally means you were less volatile than the market.
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