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Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
jimmyjazz
msg #116419
11/1/2013 3:52:19 PM

I'll do that. You'll have to trust my Excel skills (meager as they are).

Good point about the 30-day trading restrictions.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
jimmyjazz
msg #116400
11/1/2013 8:28:15 AM

Is there a substantial performance difference between buying the leading ETF on the first of the month and buying at the crossover; i.e., say IWM crosses EFA in 2 weeks, making the switch then instead of waiting for December 1st?

Filter Exchange · 5% A WEEK FILTER (BASED ON TRO'S CROCK POT)
jimmyjazz
msg #116270
10/26/2013 10:26:49 AM

Something interesting happened after trading this week: NEWL triggered both the long and short versions of this filter.

Long: Performance = 1.06 (Reward = 2.92, Risk = 2.77)
Short: Performance = 2.06 (Reward = 2.85, Risk = 1.38)

Filter Exchange · TRO'S CROCK POT 2.0
jimmyjazz
msg #116185
10/23/2013 1:35:42 AM

For those who aren't day-traders, wouldn't it be almost a requirement to rotate through leveraged pairs to avoid 30-day wash sale rules? There will be plenty of down trades. How many pairs are we talking about?

Filter Exchange · TRO'S CROCK POT 2.0
jimmyjazz
msg #116046
10/18/2013 2:39:04 PM

Yes Kevin, I use that filter and trade it every week. I don't exactly follow your entry & exit rules, and sometimes I use calls, but the spirit is the same.

Have you considered exiting at 5% OR Friday close, without the 10% stop loss? That would take out the inherent error of assuming 5% gets triggered before -10%. I might take a crack at manually backtesting those trades.

Filter Exchange · TRO'S CROCK POT 2.0
jimmyjazz
msg #116023
10/18/2013 9:15:31 AM

"It will be interesting to see the longer term results in down markets like late 2008 - early 2009. Note the correlation between target %, win %, and total gain."


Can you backtest that time period? I'm going to guess that the optimal target winning % will be lower in a bear market, but that's just a hunch.

Filter Exchange · TRO'S CROCK POT 2.0
jimmyjazz
msg #116015
10/17/2013 5:14:17 PM

Ah . . . I misinterpreted "Total Gain % does not include trade costs" and "Win % is does not include trade costs". I assumed the net gain also didn't include those costs. My bad. Very illustrative -- trade size matters with fixed trade costs.

Filter Exchange · TRO'S CROCK POT 2.0
jimmyjazz
msg #116011
modified
10/17/2013 1:20:19 PM

I'm not following. (Surprise, surprise.)

If you average 8 trades per week, then you're roughly investing $40K (in the $5K trade column). You made $2,106 during that timeframe on the 1% stop? How does that correlate to 156%? And why aren't the $10K/trade gains = 2X the $5K/trade gains?

Filter Exchange · TRO'S CROCK POT 2.0
jimmyjazz
msg #115900
10/14/2013 3:04:13 PM

Update: bought 16 WLT Oct13 $13 calls at $1.77, trailing stop triggered at $2.40 for a net gain of $967 after commissions & fees (33.9% gain in 5.5 hours, max potential loss of $2,852). Love that system.

Filter Exchange · TRO'S CROCK POT 2.0
jimmyjazz
msg #115886
10/14/2013 11:48:42 AM

Kevin, what are your thoughts on this modified version of Crock Pot versus your earlier "supercharged" Crock Pot?

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