miketranz
969 posts
msg #113546
- Ignore miketranz |
5/19/2013 9:17:41 AM
Here's one of the best "dip" filters I've ever came across,based on the SPY index.It works with uncanny accuracy.However,you must be psychologically prepared to enter a position in extreme negative sentiment,100% against popular opinion....................symlist(SPY)
set{longposition, count(stochastics %K(9,1) below stochastics %D(9,1,7),1)}
set{shortposition, count(stochastics %K(9,1) above stochastics %D(9,1,7),1)}
add column longposition
add column shortposition
draw stochastics %K(9,1) on plot stochastics %D(9,1,7)
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boston
58 posts
msg #113548
- Ignore boston |
5/19/2013 11:15:38 AM
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miketranz
969 posts
msg #113549
- Ignore miketranz |
5/19/2013 3:55:04 PM
Thank you Boston...
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four
5,087 posts
msg #113550
- Ignore four
modified |
5/19/2013 4:07:14 PM
make it clickable
Enclose the code inside brackets [ ] and place the word FETCHER in front. For example:
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mahkoh
1,065 posts
msg #113567
- Ignore mahkoh
modified |
5/20/2013 5:50:53 PM
Looking at the drawdown on HES and THC which recently triggered one would say that there is improvement to be made on the entries in this filter. I decided to run three backtests spanning a year, from 2012/5/18 to 2013/5/18 and put the trades together in an excelsheet to play around with.
There were no restrictions on the number of positions held, max 3 new positions per day. Max hold 20 days.
I first deleted the positions that were still open ( about 4 for every run, so 12 trades in total) and then disregarded the three highest and lowest results.
Then I looked at results after waiting for an extra pullback of 0.5 %, 1 % , 1.5 % and 2 % before opening a position.
Originally there were: 282 trades, 74 % profitable, average win 1.60 % ,average drawdown -3.66 %, on avg 10 days in trade
0.5 % extra pullback: 244 trades, 72 % profitable, average win 1.72 % ,average drawdown -3.68 %
1.0 % extra pullback: 208 trades, 72 % profitable, average win 1.85 % ,average drawdown -3.80 %
1.5 % extra pullback: 175 trades, 72 % profitable, average win 1.84 % ,average drawdown -3.97 %
2.0 % extra pullback: 155 trades, 75 % profitable, average win 1.88 % ,average drawdown -3.96 %
Edit: I removed the "days in trade" statistics after the pullbacks as there is no way for me to know when the trade was entered.
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mdmink
8 posts
msg #113588
- Ignore mdmink |
5/21/2013 6:09:56 PM
An impressive feature of the equity curve is the performance during 2008 and thru March 2009. Anyone anticipating a correction in this market between now and Oct.15 should be able to trade this with some confidence through the summer months.
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mktmole
325 posts
msg #113696
- Ignore mktmole |
5/25/2013 1:43:43 PM
@ Kevin, Re msg pg1:
"But you should see they day trading system I have been testing over the last few months ... now that equity curve would have you breathing heavy."
With anticipation, any follow up info/scan details to share?
tks
rgds,
mm
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dknoonan
27 posts
msg #113697
- Ignore dknoonan |
5/25/2013 1:58:40 PM
What cautionary steps would be good to take before pulling the trigger on a BUY? Would you scan for news on the stock? See if an earnings statement is about to come out? (how is that done?) Wait and see if the stock rises after the first couple hours of the day? Does it help to know how the particular sector is doing, or the overall S&P 500 ? Or are those last two statistically insignificant?
Thanks for any advice.
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SAFeTRADE
646 posts
msg #113700
- Ignore SAFeTRADE |
5/25/2013 3:16:27 PM
Could try thids on leading etf's.
All ideas for this scan belong to Kevin.
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jackmack
334 posts
msg #113736
- Ignore jackmack |
5/28/2013 9:01:32 AM
SAFeTRADE - just wondering why a close192 days ago?
Kevin has show that the 3 month look back period appears optimal for rotation in major classes (IWM-SPY ect).
Was there something about 192 days in sectors that stood out vs. shorter time periods?
Just curious
Thank you
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