StockFetcher Forums · Filter Exchange · TRADING DIVERGENCES ON THE S&P 500<< 1 ... 25 26 27 28 29 ... 33 >>Post Follow-up
Kevin_in_GA
4,599 posts
msg #112943
- Ignore Kevin_in_GA		 4/25/2013 11:20:29 AM

Exit signal triggered today (at least as of this moment, this could change by EOD).

Based on the current number of open positions (9 units, all of which are profitable), one would reduce SPY holdings by selling 8 units at the open tomorrow.
jackmack
334 posts
msg #112999
- Ignore jackmack		 4/26/2013 9:59:25 PM

frsrblch
If I wanted to run the spreadsheet starting back in say 1995 and filling it through 2000 - would I need to leave the first 25 days on the original spreadsheet then copy and paste the data from 1995 filling it in through 2000 starting on the 25th day of the current spreadsheet and in doing so so that there was no break in the formulations - then delete those first 25 days of data since they would be out of sequence.
Would that work for back testing or is there a loss in the formulas?
Reason for asking is I want to manually test the spreadsheet method and see what the results are from 1995 through now doing it in approximate 5 year increments to allow fitting to the spreadsheet maximum limitations.
Thank you in advance



Kevin_in_GA
4,599 posts
msg #113000
- Ignore Kevin_in_GA		 4/26/2013 10:19:13 PM

Jack - these divergences were based on the period 2007-2012. They are not necessarily valid or as profitable during the times you are looking at. This system was designed to be periodically updated and adjusted, roughly once a month or so based on a rolling 5 year window. I would suggest applying a walk-forward analysis rather than simply cutting and pasting the current divergence signals into previous timeframes.

Any system that does not periodically re-optimize is likely to produce lower returns going forward. So far this system has been in play about 7-8 months and is still killing it, so no tweaking has been needed (every trade since Dec of last year has been a winner - I'm not going to adjust anything that is already doing as good as it possibly can).
jackmack
334 posts
msg #113001
- Ignore jackmack		 4/26/2013 11:07:25 PM

Kevin
Okay - thank you - I was not aware that there potentially needed to be changes and or adjustments over time.
I will leave it alone

jsheetz
23 posts
msg #113031
- Ignore jsheetz		 4/29/2013 11:39:33 AM

Kevin, just want to express my thanks and gratitude for this filter! You're the man.
jackmack
334 posts
msg #113042
- Ignore jackmack		 4/30/2013 8:46:56 AM

Interesting
My e-mail version of the combined filter from page 2 shows no EXIT last night but in the filter right now it is present.
Anyone else get (or see) that?
Kevin_in_GA
4,599 posts
msg #113044
- Ignore Kevin_in_GA		 4/30/2013 10:06:05 AM

it is not present if you use the filter from pg 22 (which correctly uses the ^SPX rather than the SPY). I noticed that the SPY version had en exit signal last night, but the ^SPX version did not. I advised Pangolin D subscribers to take no action today.
tomm1111
202 posts
msg #113079
- Ignore tomm1111
modified		 5/1/2013 11:26:20 PM

I might be mistaken but I believe the volume based indicators, such as Chaikin Money Flow, will not work with ^SPX in stockfetcher. Therefore, SPY should be used for CMF. If this is inaccurate please advise. Thanks.
bman99
6 posts
msg #113085
- Ignore bman99		 5/2/2013 8:05:05 AM

I am not sure I have your answer but I did run each of the filters and they have different results.

The Composite SPX index filter (pg 22) shows a composite score of 1 with just one item checked (arup6div which is the aroon up indicator). And, the cmf14div indicator (Chaikan money flow) is NOT checked.

However, the Composite SPY filter from the second page shows a composite score of 2 with two items checked. (arup6div - aroon is checked). But, the cmf14div (Chaikan Money Flow) IS checked.

Thus, there is a difference and you may be right about Chaikan. Hopefully others can shed more light. Thanks.
mahkoh
1,065 posts
msg #113094
- Ignore mahkoh		 5/2/2013 3:42:27 PM

You are corrct regarding the CMF filter. As SF does not have volume data on indices the CMF filter will not trigger


1. Money Flow Multiplier = [(Close - Low) - (High - Close)] /(High - Low)

2. Money Flow Volume = Money Flow Multiplier x Volume for the Period

3. 20-period CMF = 20-period Sum of Money Flow Volume / 20 period Sum of Volume

This filter uses SPY for the CMF filter:

Fetcher[


SYMLIST(SPY)


add column ind(^SPX, close 10 day high)

/*CODING FOR DIVERGENCE BETWEEN MA(3) AND CHAIKIN MONEY FLOW*/

SET{CMF14DOWN, COUNT(CMF(14) BELOW CMF(14) 7 DAYS AGO,1)}
SET{CMF14DOWN2, COUNT(CMF(14) DROPPED MORE THAN 2% OVER THE LAST 7
DAYS,1)}

SET{MA3UP1, COUNT(MA(3) ABOVE MA(3) 7 DAYS AGO,1)}
SET{MA3UP1_2, COUNT(MA(3) GAINED MORE THAN 2% OVER THE LAST 7 DAYS,1)}

SET{DIV1A, CMF14DOWN * MA3UP1}
SET{DIV2A, CMF14DOWN2 + MA3UP1_2}
SET{DIV3A, COUNT(DIV2A ABOVE 0.5,1)}
SET{CMF14DIV, DIV1A*DIV3A}

ADD COLUMN CMF14DIV


/*CODING FOR DIVERGENCE BETWEEN ind(^SPX,MA(3)) AND THE STOCHASTIC MOMENTUM
INDICATOR*/

SET{SMI11down, COUNT(ind(^SPX,SMI(3,6,6)) below ind(^SPX,SMI(3,6,6)) 11 days ago,1)}
SET{SMI11down7, COUNT(ind(^SPX,SMI(3,6,6)) DROPPED MORE THAN 7% OVER THE LAST 11
DAYS,1)}

SET{MA3UP2, COUNT(ind(^SPX,MA(3)) above ind(^SPX,MA(3)) 11 days ago,1)}
SET{MA3UP2_7, COUNT(ind(^SPX,MA(3)) gained MORE THAN 7% OVER THE LAST 11 DAYS,1)}

SET{DIV1B, SMI11down * MA3UP2}
SET{DIV2B, SMI11DOWN7 + MA3UP2_7}
SET{DIV3B, COUNT(DIV2B ABOVE 0.5,1)}
SET{SMI11DIV, DIV1B*DIV3B}

ADD COLUMN SMI11DIV




/*CODING FOR DIVERGENCE BETWEEN ind(^SPX,MA(3)) AND THE WILLIAMS %R INDICATOR*/

SET{WLR12down, COUNT(ind(^SPX,WILLIAMS %R(14)) below ind(^SPX,WILLIAMS %R(14)) 12 days ago,1)}
SET{WLR12down1, COUNT(ind(^SPX,WILLIAMS %R(14)) DROPPED MORE THAN 1% OVER THE LAST
12 DAYS,1)}

SET{MA3UP3, COUNT(ind(^SPX,MA(3)) above ind(^SPX,MA(3)) 12 days ago,1)}
SET{MA3UP3_1, COUNT(ind(^SPX,MA(3)) gained MORE THAN 1% OVER THE LAST 12 DAYS,1)}

SET{DIV1C, WLR12down * MA3UP3}
SET{DIV2C, WLR12DOWN1 + MA3UP3_1}
SET{DIV3C, COUNT(DIV2C ABOVE 0.5,1)}
SET{WLR12DIV, DIV1C * DIV3C}

ADD COLUMN WLR12DIV




/*CODING FOR DIVERGENCE BETWEEN ind(^SPX,MA(3)) AND THE +DI INDICATOR*/
SET{PDI10down, COUNT(ind(^SPX,PDI(10)) below ind(^SPX,PDI(10)) 8 days ago,1)}
SET{PDI10down10, COUNT(ind(^SPX,PDI(10)) DROPPED MORE THAN 10% OVER THE LAST 8 DAYS,1)}

SET{MA3UP4, COUNT(ind(^SPX,MA(3)) above ind(^SPX,MA(3)) 8 days ago,1)}
SET{MA3UP4_1, COUNT(ind(^SPX,MA(3)) gained MORE THAN 10% OVER THE LAST 8 DAYS,1)}

SET{DIV1D, PDI10down * MA3UP4}
SET{DIV2D, PDI10DOWN10 + MA3UP4_1}
SET{DIV3D, COUNT(DIV2D ABOVE 0.5,1)}
SET{PDI10DIV, DIV1D * DIV3D}

ADD COLUMN PDI10DIV




/*CODING FOR DIVERGENCE BETWEEN ind(^SPX,MA(3)) AND THE AROON UP INDICATOR*/

SET{ARUP6down, COUNT(ind(^SPX,AROON UP(6)) below ind(^SPX,AROON UP(6)) 4 days ago,1)}
SET{ARUP6down4, COUNT(ind(^SPX,AROON UP(6)) DROPPED MORE THAN 4% OVER THE LAST 4 DAYS,1)}

SET{MA3UP5, COUNT(ind(^SPX,MA(3)) above ind(^SPX,MA(3)) 4 days ago,1)}
SET{MA3UP5_1, COUNT(ind(^SPX,MA(3)) gained MORE THAN 4% OVER THE LAST 10 DAYS,1)}

SET{DIV1E, ARUP6down * MA3UP5}
SET{DIV2E, ARUP6DOWN4 + MA3UP5_1}
SET{DIV3E, COUNT(DIV2E ABOVE 0.5,1)}
SET{ARUP6DIV, DIV1E * DIV3E}

ADD COLUMN ARUP6DIV




/*CODING FOR DIVERGENCE BETWEEN ind(^SPX,MA(3)) AND THE LINEAR REGRESSION SLOPE*/

SET{LRS8down, COUNT(ind(^SPX,LRS(8)) below ind(^SPX,LRS(8)) 10 days ago,1)}
SET{LRS8down10, COUNT(ind(^SPX,LRS(8)) DROPPED MORE THAN 10% OVER THE LAST 10 DAYS,1)}

SET{MA3UP6, COUNT(ind(^SPX,MA(3)) above ind(^SPX,MA(3)) 10 days ago,1)}
SET{MA3UP6_1, COUNT(ind(^SPX,MA(3)) gained MORE THAN 10% OVER THE LAST 10 DAYS,1)}

SET{DIV1F, LRS8down * MA3UP6}
SET{DIV2F, LRS8DOWN10 + MA3UP6_1}
SET{DIV3F, COUNT(DIV2F ABOVE 0.5,1)}
SET{LRS8DIV, DIV1F * DIV3F}

ADD COLUMN LRS8DIV





/*CODING FOR DIVERGENCE BETWEEN ind(^SPX,MA(3)) AND THE Q-STICK INDICATOR*/

SET{QST12down, COUNT(ind(^SPX,QSTICK(12)) below QST(12) 12 days ago,1)}
SET{QST12down2, COUNT(ind(^SPX,QSTICK(12)) DROPPED MORE THAN 2% OVER THE LAST 12 DAYS,1)}

SET{MA3UP7, COUNT(ind(^SPX,MA(3)) above ind(^SPX,MA(3)) 12 days ago,1)}
SET{MA3UP7_1, COUNT(ind(^SPX,MA(3)) gained MORE THAN 2% OVER THE LAST 12 DAYS,1)}

SET{DIV1G, QST12down * MA3UP7}
SET{DIV2G, QST12DOWN2 + MA3UP7_1}
SET{DIV3G, COUNT(DIV2G ABOVE 0.5,1)}
SET{QST12DIV, DIV1G * DIV3G}

ADD COLUMN QST12DIV





/*CODING FOR DIVERGENCE BETWEEN ind(^SPX,MA(3)) AND THE RSI INDICATOR*/

SET{RSI10down, COUNT(ind(^SPX,RSI(10)) below ind(^SPX,RSI(10)) 12 days ago,1)}
SET{RSI10down3, COUNT(ind(^SPX,RSI(10)) DROPPED MORE THAN 3% OVER THE LAST 12 DAYS,1)}

SET{MA3UP8, COUNT(ind(^SPX,MA(3)) above ind(^SPX,MA(3)) 12 days ago,1)}
SET{MA3UP8_1, COUNT(ind(^SPX,MA(3)) gained MORE THAN 3% OVER THE LAST 12 DAYS,1)}

SET{DIV1H, RSI10down * MA3UP8}
SET{DIV2H, RSI10DOWN3 + MA3UP8_1}
SET{DIV3H, COUNT(DIV2H ABOVE 0.5,1)}
SET{RSI10DIV, DIV1H * DIV3H}

ADD COLUMN RSI10DIV




/*CODING FOR DIVERGENCE BETWEEN ind(^SPX,MA(3)) AND THE RMI INDICATOR*/

SET{RMI82down, COUNT(ind(^SPX,RMI(8,2)) below ind(^SPX,RMI(8,2)) 12 days ago,1)}
SET{RMI82down1, COUNT(ind(^SPX,RMI(8,2)) DROPPED MORE THAN 1% OVER THE LAST 12 DAYS,1)}

SET{MA3UP9, COUNT(ind(^SPX,MA(3)) above ind(^SPX,MA(3)) 12 days ago,1)}
SET{MA3UP9_1, COUNT(ind(^SPX,MA(3)) gained MORE THAN 1% OVER THE LAST 12 DAYS,1)}

SET{DIV1I, RMI82down * MA3UP9}
SET{DIV2I, RMI82DOWN1 + MA3UP9_1}
SET{DIV3I, COUNT(DIV2I ABOVE 0.5,1)}
SET{RMI82DIV, DIV1I * DIV3I}

ADD COLUMN RMI82DIV




/*CODING FOR DIVERGENCE BETWEEN ind(^SPX,MA(3)) AND THE STOCHASTICS %D INDICATOR*/

SET{STD325down, COUNT(ind(^SPX,FULL STOCHASTICS %D(3,2,5)) below ind(^SPX,FULL STOCHASTICS %D(3,2,5)) 11 days ago,1)}
SET{STD325down2, COUNT(ind(^SPX,FULL STOCHASTICS %D(3,2,5)) DROPPED MORE THAN 2% OVER THE LAST 11 DAYS,1)}

SET{MA3UP10, COUNT(ind(^SPX,MA(3)) above ind(^SPX,MA(3)) 11 days ago,1)}
SET{MA3UP10_1, COUNT(ind(^SPX,MA(3)) gained MORE THAN 2% OVER THE LAST 11 DAYS,1)}

SET{DIV1J, STD325down * MA3UP10}
SET{DIV2J, STD325DOWN2 + MA3UP10_1}
SET{DIV3J, COUNT(DIV2J ABOVE 0.5,1)}
SET{STD325DIV, DIV1J * DIV3J}

ADD COLUMN STD325DIV

set{x,cmf14div + smi11div}
set{x1,x + wlr12div}
set{x2,x1 + pdi10div}
set{x3,x2 + arup6div}
set{x4,x3 + lrs8div}
set{x5,x4 + qst12div}
set{x6,x5 + rsi10div}
set{x7,x6 + rmi82div}
set{comp,x7 + std325div}
add column comp
draw comp


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}

ADD COLUMN EXIT
draw exit
]
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