Kevin_in_GA
4,599 posts
msg #112588
- Ignore Kevin_in_GA |
4/2/2013 10:42:39 AM
Because that was the data upon which the systems were designed.
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radiobb2
10 posts
msg #112591
- Ignore radiobb2 |
4/2/2013 1:03:16 PM
Maybe another dumb question. If ^SPX is better than SPY, then is there a way to program that into the StockFetcher formula?
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mahkoh
1,065 posts
msg #112593
- Ignore mahkoh |
4/2/2013 2:41:19 PM
Well.. that is what Jack was trying.
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Cheese
1,374 posts
msg #112594
- Ignore Cheese
modified |
4/2/2013 3:44:54 PM
Thank you Kevin_in_GA, mahkoh, frsrblch, and everyone for the info you've shared in this thread.
Here is my version of the divergence filter using ^SPX
* * *
Note (Apr 2, 2013 at 7PM PST):
- Filter designed to be run after close end-of-day
- Suggestions for improvement are welcome
Edit (Apr 2, 2013 at 7PM PST):
- change code for exit1 and exit2 to use close of ^SPX instead of SPY, per Kevin_in_GA
Disclaimers (Apr 2, 2013 at 7PM PST):
- The total number of divergences using ^SPX in sF may not always match Kevin_in_GA in SS, or Excel from frsrblch
* * *
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Kevin_in_GA
4,599 posts
msg #112595
- Ignore Kevin_in_GA |
4/2/2013 4:42:47 PM
Note that today was an exit day, but since there are 7 filters also showing a divergence BUY signal, one only closes 2 of the nine open trades.
Having backtested this new approach, it works quite well. Using this approach you would be up over 120% from the Oct 2007 closing high, versus only 14.5% for the S&P 500, with only an 8% Maximum Drawdown. Compare that to the drawdown for the S&P 500 and you'll see why I like this one.
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mahkoh
1,065 posts
msg #112597
- Ignore mahkoh |
4/2/2013 5:07:05 PM
Cheese,
Not that it makes a difference for today's signal, but I think the exit should be based on SPX data as well.
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mahkoh
1,065 posts
msg #112599
- Ignore mahkoh |
4/2/2013 5:37:48 PM
fsrlblch and Kevin:
The spreadsheet from fsrlblch shows 8 divergences where cheese's spx version has only 7, it's missing the CMF.
At this point SF is using today's SPX close for calculation.
Which is correct?
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Kevin_in_GA
4,599 posts
msg #112601
- Ignore Kevin_in_GA |
4/2/2013 6:21:25 PM
SS end-of-day data has 8 still in play including the CMF.
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Cheese
1,374 posts
msg #112608
- Ignore Cheese |
4/2/2013 10:17:43 PM
mahkoh, Kevin_in_GA, frsrblch, or anyone,
I've modified the code for exit1 to use "close of ^SPX" instead of "close of SPY" in my msg #112594 above.
If you know how to change the ROC code for exit2 to use close of ^SPX instead of close of SPY,
and how to get the correct count for CMF divergence, please post so all can use.
Many thanks.
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Kevin_in_GA
4,599 posts
msg #112609
- Ignore Kevin_in_GA |
4/2/2013 10:25:32 PM
set{exit1, count(ind(^SPX, close) reached a new 10 day high,1)}
set{exit2, count(ind(^SPX,ROC(15,1)) is below ind(^SPX,ROC(15,1)) 10 day high,1)}
set{exit, exit1 * exit2}
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