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Filter Exchange · Winning Strategy
Dylan
msg #104097
12/31/2011 7:03:52 PM

Good work Levamit, and thanks for sharing.

I was typing while you posted the Advanced Options Parameters that I was missing in my Backtesting.

Happy a safe and happy New Years everyone!

- Thx
Dylan


Filter Exchange · Winning Strategy
Dylan
msg #104082
modified
12/31/2011 1:58:19 PM

I agree. The EXIT date needs to be at least 2 days away from the trigger date when the buy is set to "buy at close". If you look at the backtesting, you will notice the "exit date" is often times one day away from the "trigger date". This shouldn't be.

During my backtesting of 1/1/02 - 1/1/04, I get 1,216 stocks with an entry set to OPEN.

If I change my entry to "buy at close", the day following the trigger, i get 1,465 picks.

1) Why is there a difference in picks when the trigger parameters are the same?

2) The original post shows 482 stocks during this exact time-frame. How do you get 482 stocks?

Thx

Dylan



General Discussion · Crossover Backtesting Study of 10/40 Weekly Plus More
Dylan
msg #103686
12/8/2011 10:37:27 AM

No I have not. If you want to test different tickers, all you have to do is download the data from yahoo, copy it into a new worksheet, calculate the EMA (use the formual in the existing xls), change the values in the VBA code to indicate which crossover column and days delay you want to test. Then, run the code.

Here is the link to the test results:

https://docs.google.com/open?id=0B8robyfcaZMqNTM2ZGZmZmEtM2JkMS00ZjNjLTg5MDMtZjlhOTNmNTdmZjkw

- Thx


General Discussion · Crossover Backtesting Study of 10/40 Weekly Plus More
Dylan
msg #103469
modified
11/25/2011 5:17:14 PM

Dylan,

by waiting 15 days you mean after the cross you wait 15 days, then you enter the trade in the direction of the cross and if the ma's cross back you wait again to exit the position and enter the next trade into the new direction?

Thanks
Saico

Eman93 is right about the crossover and having to wait 15 days.

Correct! The backtesting revealed it was better to exit 15 days after you get the crossover. I did some spot checking as to why this would be. I found that you will almost always get a retracement bounce right at the cross or 10-15 days after the cross. Exiting 15 days after the cross seems to work better simply because the market has to breath before continuing down or it consolidates before resuming the bull trend. Either way, waiting 15 days is often better than getting out right as the market is tumbling. This of course is easy to say, but would be extremely difficult to put into practice when the market is crashing.



General Discussion · Crossover Backtesting Study of 10/40 Weekly Plus More
Dylan
msg #103446
modified
11/23/2011 9:47:17 AM

I wanted to validate using the 10/40 weekly crossover with a 3 week delay to define a bull or bear trend. So, I built a little spreadsheet that compared using several crossover entry and exit points. For my testing, I used the following:

SPX Daily Data from 1930-2011
I tested the following crossovers:

• 10/30 EMA using entry and exit points at 1 day, 5 days, 10 days, and 15 days
• 10/40 EMA using entry and exit points at 1 day, 5 days, 10 days, and 15 days
• 20/40 EMA using entry and exit points at 1 day, 5 days, 10 days, and 15 days
• 25/150 EMA (5/30 week) using entry and exit points at 1 day, 5 days, 10 days, and 15 days
• 50/200 EMA (10/40 week) using entry and exit points at 1 day, 5 days, 10 days, and 15 days
• 25/150 EMA using an entry point on the first day after the crossover and exiting after 15 days
• 50/200 EMA using an entry point on the first day after the crossover and exiting after 15 days

Here is a summary of my results:

Don't use the 10/30, 10/40, or 20/40 to determine a trend. They all underperformed buy and hold. Whipsaw City!
The top crossover methods were

• 50/200 EMA wait 15 days
• 25/150 EMA wait 15 days
• 50/200 EMA entry at 0 days exit at 15 days
• Each strategy above outperformed buy and hold by about 44%.
• The top 3 above were all within 5 points of each other. Yes, I said 5 points. That's a 5 point difference of 3 different entry and exit signals on a move of over 1000 points in 80 years on the SPX. What does this mean? Flip a coin and choose one, but be consistent.
• These results are 100% mechanical and better entry and exit decisions could have been made. I did some spot checking and saw where the system gets you out of a move after it's been rising for 2 straight weeks.

I tried attaching the Excel sheets to this post, but it does not seem possible.




Filter Exchange · SF - THANK YOU
Dylan
msg #103422
modified
11/18/2011 9:38:41 PM

Annoying!

General Discussion · Check Out This Blog
Dylan
msg #68145
modified
10/7/2008 4:06:53 PM

It's really not my style.

Filter Exchange · Run Forest, Run
Dylan
msg #66940
9/3/2008 9:09:19 PM

Thank You Good Man!!!

Filter Exchange · Run Forest, Run
Dylan
msg #66908
modified
9/2/2008 8:07:07 PM

TRO, can you make it suitable for shorts?

Thanks,



Fetcher[
/* Run Forest, Run */

close is between 1 and 15
average volume(90) above 50000

set{volcnt, count(volume above 50000, 100) }
set{volzero, count(volume equal 0, 100) }

set{x1, high - open}
set{Long_Profit, x1/open }

set{C1A, count(Long_Profit > .04 , 100)}
set{C2A, count(Long_Profit > .09, 100)}
set{C0010, C1A - C2A}

set{D1A, count(Long_Profit > .09 , 100)}
set{D2A, count(Long_Profit > .19, 100)}
set{D1020, D1A - D2A}

set{E1A, count(Long_Profit > .19 , 100)}
set{E2A, count(Long_Profit > .29, 100)}
set{E2030, E1A - E2A}

set{F1A, count(Long_Profit > .29 , 100)}
set{F2A, count(Long_Profit > .39, 100)}
set{F3040, F1A - F2A}

set{G1A, count(Long_Profit > .39 , 100)}
set{G2A, count(Long_Profit > .49, 100)}
set{G4050, G1A - G2A}

set{H1A, count(Long_Profit > .49 , 100)}
set{H2A, count(Long_Profit > .99, 100)}
set{H50100, H1A - H2A}

set{I100, count(Long_Profit > .99 , 100)}

add column Long_Profit {ProfitPct}

and add column C0010 {4_9}
and add column D1020 {10_19}
and add column E2030 {20_29}
and add column F3040 {30_39}
and add column G4050 {40_49}
and add column H50100 {50_99}
and add column I100 {100}

and add column volcnt
and add column volzero
sort column 7 descending
]



General Discussion · Thanks, TRO
Dylan
msg #66503
modified
8/21/2008 11:24:17 AM

Yes, But I also changed the closing from 20 to 200 rather then 1 to 5. I am trading a decent amount of shares daily so i feel more comfortable trading higher priced stocks. But that’s just my preference. Stocks priced 1 to 5 seem to make me scratch my head if it drops a few pennies if you know what I mean.
Although you can get even more creative and changed it to .005, .90 closed between 1 and 200 and you should get 97 hits on PPCO if that’s your cup of tea. Believe me, trading a decent amount of shares add up fast. As TRO mentioned, these are not filters they are Statistics. It seems that the odds are on your side.


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