SAFeTRADE
646 posts
msg #104563
- Ignore SAFeTRADE |
1/20/2012 9:43:24 PM
Kevin,
Does Priceratio as plotted on the upperband and the lower bands represent the spy or the stock?
Thanks
|
Kevin_in_GA
4,599 posts
msg #104564
- Ignore Kevin_in_GA |
1/20/2012 10:04:40 PM
Look at the code - it represents the RATIO of the stock to the SPY. When the RATIO moves more than 2 SD below the mean, the trade is triggered.
|
abhikat
3 posts
msg #104595
- Ignore abhikat |
1/23/2012 1:34:35 AM
I am new to the forum and have been following this thread for a few days (many thanks to Kevin for this thread and all the wonderful work that he so generously shares).
Hi Novacane32000,
"I looked at 1652 trades over about 8 yrs and 140 would have hit a 10% stop. Yes that would have saved you the pain of some 20 of those trades that lost over 18% ( a few over 30%)--- but holding until the zscore trigger exit on those 140 trades resulted in only a net loss of -6.49% instead of the guaranted 10% loss."
You posted this on page 30. Thanks to you for all the hard work that lead to generate those numbers. Would it be possible to share the other end of the spectrum too? Like how many of those 1652 trades were 10% or more in profit?
|
novacane32000
331 posts
msg #104599
- Ignore novacane32000 |
1/23/2012 9:40:48 AM
Abhikat
24 gained 10% to 14.99%
2 gained 15% to 19.99%
1 gained 20% to 29.99%
1 gained 49%
Those 28 trades make up 1.62% of all trades over almost 10 years.
Based on the backtest results I found a 7% profit stop works well with this system. It does not beat the original exit rules that Kevin gave as far as overall performance. As Kevin has stated-the best exit is 16 days or the zscore exit above -1. Also,there is no profit stop that improves performance (though I wish there was).
The 7% profit stop gives me a little more "peace of mind". I know few trades will gain much more than 7% and many get to 7% then drop causing you to kick yourself for not taking profits when you had them.
I have a hard time dealing with drawdowns so this is how I choose to trade the system.
|
mahkoh
1,065 posts
msg #104607
- Ignore mahkoh |
1/23/2012 12:33:04 PM
Intraday buys AKAM at 31.30 and PWR at 20.80
|
mahkoh
1,065 posts
msg #104608
- Ignore mahkoh
modified |
1/23/2012 12:34:57 PM
Intraday sell COG at 65.78 for a loss of 8.20%
|
niajy
13 posts
msg #104613
- Ignore niajy |
1/24/2012 9:56:22 AM
BUYS:
KMB
PWR
|
sohailmithani
192 posts
msg #104614
- Ignore sohailmithani |
1/24/2012 10:07:32 AM
all those who are using this filter intraday please share the results too so we know how is this performing intraday. Woudl appreciate. Thanks
|
mahkoh
1,065 posts
msg #104615
- Ignore mahkoh |
1/24/2012 10:43:44 AM
Intraday but VZ, currently at 37.55
|
niajy
13 posts
msg #104616
- Ignore niajy |
1/24/2012 10:51:32 AM
TRV
probably MYL but i dont know if it was below lower band...
why VZ ? williams is not < -94?
|