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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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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