Kevin_in_GA
4,599 posts
msg #108817
- Ignore Kevin_in_GA |
11/15/2012 9:38:30 AM
Duke:
You're right but the thing that worries me is that the average winning trade is like 6-10 days, and the longer a trade is held in these filters the more likely it will result in a loss. That coupled with my use of SSO instead of SPY makes this one likely to go against me. However, that is trading ...
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mahkoh
1,065 posts
msg #108829
- Ignore mahkoh |
11/15/2012 2:58:28 PM
That last thing is what I have come across as well backtesting these filters: Trades that do not close out within about 10 days result in severe losses. Maybe it would be an idea to incorporate an optimal max holding period.
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Kevin_in_GA
4,599 posts
msg #109057
- Ignore Kevin_in_GA
modified |
11/28/2012 4:03:21 PM
Just noticed that yesterday the Aroon Up divergence filter triggered a BUY. It triggered again today as well, so there is still a BUY signal (although any profit may have been mostly made in today's move up from the open).
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Kevin_in_GA
4,599 posts
msg #109067
- Ignore Kevin_in_GA |
11/29/2012 2:48:06 PM
Note: The exit triggered yesterday so you would have exited at the open today. I am holding my SSO today (I jumped the gun a bit and was in at 61.50 on 10/19, so after a rough ride I am only down -3.30%). I'll probably need to close this one out either end of day today or by EOD tomorrow. Had I entered at the appropriate time, I would only be down 1.6%.
Using SPY, you would have entered at 143.15 on 10/22 and exited this morning at the open at 142.22 for a loss of -0.65%.
Interesting - intraday I am also seeing a BUY signal for the Q-Stick divergence filter right now (2:45 PM).
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frsrblch
35 posts
msg #109080
- Ignore frsrblch
modified |
11/30/2012 1:00:03 PM
There were four filters triggered on Oct 19, so it depends on whether you're buying when any filter is triggered, when a combination of filters is triggered, or if a particular filter is triggered. The recent trigger on Nov 27 would have seen holding the stock for a single day, and would have resulted in a 1.6% gain on SPY.
My backtesting showed the SMI11DIV filter being the most consistent filter, so I'm holding out for it to trigger again.
If you don't get tired of people thanking you for your contributions here Kevin, I would like to thank you as well. :)
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Kevin_in_GA
4,599 posts
msg #109081
- Ignore Kevin_in_GA |
11/30/2012 2:52:35 PM
I agree that the SMI Divergence filter does quite well, but I would not discount the Q-stick Divergence either. Historically greater than 91% win rate, and a very respectable Sharpe ratio.
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duke56468
683 posts
msg #109088
- Ignore duke56468 |
11/30/2012 5:42:33 PM
Kevin do you run all 10 filters every day or do you have a composite filter like mahkoh posted on page 2?
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Kevin_in_GA
4,599 posts
msg #109089
- Ignore Kevin_in_GA
modified |
11/30/2012 6:05:37 PM
I'm lazy. I use Mahkoh's.
I originally built this as a composite filter - you can tell if you look at each filter code.
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Kevin_in_GA
4,599 posts
msg #109133
- Ignore Kevin_in_GA |
12/5/2012 6:36:55 PM
Today both the PDI and Aroon Up Divergence filters triggered a BUY on the ^SPX. Looks like the Q-stick also is signalling a BUY (although not from my SS divergence filters, which are functionally identical. However these also signaled for the PDI and Aroon systems).
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Kevin_in_GA
4,599 posts
msg #109165
- Ignore Kevin_in_GA |
12/6/2012 7:11:14 PM
Today also triggered a BUY on the LRS Divergence filter. 4 of 10 have signalled a BUY over the last 2 days.
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