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Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
frsrblch
msg #112492
modified
3/28/2013 11:03:52 AM

Looks like a pretty damn good exit to me. The system would have had us sell at the open yesterday, so if you sold now you're beating the system by a fair margin.

The reason SS is showing an exit right now and SF isn't is to due to the dividend on SPY on March 20. I'm building an Excel version of these filters based off ^SPX so that we can all see the same signals Kevin does with SS. I'll be sharing it on Google Docs once I have more than the SMI filter built in.

Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
frsrblch
msg #111653
2/22/2013 1:07:59 PM

There seem to be many ways to trade these systems. It would behoove you to analyze different methods of trading with this system. Some people trade single filters, some trade when some number of them have triggered, and others invest incrementally as more filters trigger. You can buy when only the entry signal is triggered, and you can hold when both the entry and exit are triggered.

You can do whatever you want, but you'd be a fool to do anything without first checking it out yourself and deciding whether it's right for you. As Kevin put it: "All I will provide is the codes ... the rest is up to you."

Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
frsrblch
msg #110832
1/31/2013 4:35:21 PM

The composite filter is showing 7 hits today, including the SMI11DIV filter that I am so fond of.

Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
frsrblch
msg #109808
modified
1/2/2013 4:05:48 PM

SSO went up 0.5 in the last half-hour of the day and my resolve buckled for a 5.5% gain. How ever will I console myself?

Edit: Also, the exit has triggered.

Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
frsrblch
msg #109803
1/2/2013 2:59:16 PM

As a novice trader, I was expecting to need discipline to stay in trades that were down, but I wasn't expecting to need the same discipline to stay in trades once things have gone up! I'm eager to take my money out and secure my profits, but I know that if I get in that habit, I will never see the better trades produced by this system because I will have ejected before those larger profits materialize.

I was in SSO at 59.80 on Dec 27, and I'm staying in until I get that exit signal if it kills me.

Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
frsrblch
msg #109463
12/17/2012 4:24:27 PM

The exit has triggered after today’s strong close on SPY.

Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
frsrblch
msg #109382
modified
12/13/2012 11:21:30 PM

All of our backtesting was done independent of the other signal. If the buy triggered, the stock was bought at the next open, regardless of whether the exit trigger was also going off. If the exit triggered, the stock was sold at the next open regardless of whether the entry trigger was still there.

It wouldn't be a bad idea to run some backtests to see if there is an optimal way to act when we're getting mixed signals like this.

Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
frsrblch
msg #109291
modified
12/11/2012 4:16:04 PM

My schedule precluded me from getting in on this one, but it looks like another strong trade.


The exit filter I used on my backtest was:

set{exit1, count(close reached a new 10 day high,1)}
set{exit2, count(ROC(15,1) is below ROC(15,1) 10 day high,1)}
set{exit, exit1 * exit2}

exit crosses above 0.5

Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
frsrblch
msg #109080
modified
11/30/2012 1:00:03 PM

There were four filters triggered on Oct 19, so it depends on whether you're buying when any filter is triggered, when a combination of filters is triggered, or if a particular filter is triggered. The recent trigger on Nov 27 would have seen holding the stock for a single day, and would have resulted in a 1.6% gain on SPY.

My backtesting showed the SMI11DIV filter being the most consistent filter, so I'm holding out for it to trigger again.

If you don't get tired of people thanking you for your contributions here Kevin, I would like to thank you as well. :)

Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
frsrblch
msg #108465
10/22/2012 11:27:29 AM

In on SPY this morning at 143.20 based on the entry signals from last Friday.

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