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Filter Exchange · TRO'S CROCK POT 2.0
bjfeen
msg #116311
10/28/2013 10:33:49 PM

Kevin, does SS incorporate intraday data or just EOD? So far in my manual backtesting of the 3% buy stop with a 1-2% trailing stop on DUST/NUGT, price crosses the 3% threshold only to quickly reverse back triggering the trailing stop. I've found that once price crosses that 3% threshold, it has a greater tendency to close the day above 3 percent (and in some cases much more than 3%). I'm testing the buy stop with holding to the close now to see if it produces better results. Just want to compare notes to see if anyone else has seen the same?

Filter Exchange · TRO'S CROCK POT 2.0
bjfeen
msg #116182
10/22/2013 10:46:14 PM

I took a preliminary stab at backtesting DUST and NUGT to early 2012 in Google spreadsheets and is able to be edited by anyone as they see fit at the link below. Stop loss can be changed by updating the stop loss cell at the top of the spreadsheet. Right now, spreadsheet is daily, but can be converted to weekly pretty easily. Brokerage fees and a profit stop have not been included yet, but it is a work in progress...

https://docs.google.com/spreadsheet/ccc?key=0AuYZy0eiS8MSdDdBR3U0d2FuTE1RY3FjbHBJcWdXblE&usp=sharing

Filter Exchange · TRO CROCK POT - SLOW COOKERS FOR SWING TRADERS
bjfeen
msg #115848
modified
10/11/2013 9:23:55 PM

Here is a slight modification of Kevin's streamlined filter of TRO's original. Its not a filter per se, but rather a means of backtesting Kevin's streamlined filter by pulling in all the matches from LAST week Friday, and testing to see which ones were triggered by THIS week Friday...

Fetcher[
/*calculate percent difference between weekly high and weekly open (1 WEEK AGO)*/
set{weekhigh, weekly high 1 week ago}
set{weekopen, weekly open 1 week ago}
set{highminusopen, weekhigh - weekopen}
set{pctdiff, highminusopen / weekopen}


/*calculate how many times in the last 52 weeks the weekly high has been 1%, 2%, 3%, 4%, and 5% above the weekly open (1 WEEK AGO)*/
set{1pct, count(pctdiff > .01, 52)}
set{2pct, count(pctdiff > .02, 52)}
set{3pct, count(pctdiff > .03, 52)}
set{4pct, count(pctdiff > .04, 52)}
set{5pct, count(pctdiff > .05, 52)}


/*which selections from LAST WEEK FRIDAY have hit their target THIS week?*/
set{hiopen, weekly high - weekly open}
set{pctdiffthiswk, hiopen / weekly open}
set{1pcttarget, count(pctdiffthiswk > .01, 1)}
set{2pcttarget, count(pctdiffthiswk > .02, 1)}
set{3pcttarget, count(pctdiffthiswk > .03, 1)}
set{4pcttarget, count(pctdiffthiswk > .04, 1)}
set{5pcttarget, count(pctdiffthiswk > .05, 1)}

/*criteria*/
2pct above 44
close above 5
average volume(90) above 500000
add column hiopen {high - open}
add column separator
add column weekhigh {weekly high last week}
add column weekopen {weekly open last week}
add column separator
add column weekly high {weekly high this week}
add column weekly open {weekly open this week}
add column separator
add column 1pct {1% 52 wks}
add column 2pct {2% 52 wks}
add column 3pct {3% 52 wks}
add column 4pct {4% 52 wks}
add column 5pct {5% 52 wks}
add column separator
add column 1pcttarget {1% target hit}
add column 2pcttarget {2% target hit}
add column 3pcttarget {3% target hit}
add column 4pcttarget {4% target hit}
add column 5pcttarget {5% target hit}

chart-display is weekly
]

Why can I not make this clickable??

General Discussion · ConnorsRSI
bjfeen
msg #109558
12/21/2012 10:08:14 AM

Buy signal on GBX triggered... OUCH!

General Discussion · ConnorsRSI
bjfeen
msg #109154
modified
12/6/2012 12:10:12 PM

Not to mention that UGAZ in my post above crossed RSI(2) @ 50 yesterday and closed at 30.32... a gain of over 8% on initial entry at 28.03 last week Thursday. Nice!

General Discussion · ConnorsRSI
bjfeen
msg #109084
modified
11/30/2012 4:08:26 PM

Kevin, curious... is there a stop loss used in your backtest?

For instance, the 2nd filter in your post picked UGAZ on Thursday. If I understand correctly, we would have entered today @ $28.03 (Thursday's close of $29.82 * 0.94), but UGAZ continued to drop beyond $28.03.

EDIT: Just checked the closing price and UGAZ came off it's lows to close at $28.02, almost exactly 6%. LOL

Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO
bjfeen
msg #108757
11/9/2012 9:50:14 AM

Crossed yesterday. Sell SDS and buy SSO.

Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO
bjfeen
msg #108507
10/24/2012 12:30:16 PM

Cross today. Sell SDS and buy SSO. Let see if the filter nails it like the last crossover...

Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO
bjfeen
msg #107621
modified
8/14/2012 3:55:40 PM

What about correlating it with the VIX?

In the last 6 years there were 3 very distinctive spikes in the VIX: late 2008, May-June of '10, and Aug - Oct '11. When comparing these spikes to charts of ONLY SDS or ONLY SSO using the sto crossover system, each spike correlated with large gains in SDS, and large drops in SSO. SSO seems to be very profitable when the VIX is below 25-30, and SDS is profitable when the VIX is above 25-30.

Just something that jumped out at me when studying the charts...

tconte, you seem to be much quicker at posting results... can you try this in your spreadsheet?


Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO
bjfeen
msg #107596
8/13/2012 9:11:16 PM

tconte, you were correct, there was an error in my spreadsheet -- I was not correctly calculating the 5 day low. I've updated the spreadsheet and the returns improved drastically. I'm still working on including the 3% stop loss...

Kevin, if the 3% stop loss triggers but %D(5,1,5) is still below %D(5,1,10) indicating long, would you buy again at the next day's open or would you wait until the next cycle?

I've updated the shared spreadsheet available in an earlier post with the correct 5 day low. The spreadsheet is currently showing a return of ~800% with this method (without stop loss), but I want to go back and check some of my math.

Fantastic system Kevin and thank you for all your work!

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