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Filter Exchange · TRO'S CROCK POT 2.0
jimmyjazz
msg #115879
modified
10/14/2013 10:10:53 AM

In the "let it ride" vein, I would argue that it might make sense to let all trades ride to Friday close if they don't hit the exit limit price earlier in the week. Take whatever exit price you get. Many, many times on the Supercharged Crockpot a -10% stop wasn't triggered and exit near Friday close trades roughly balanced out (some up, some down, most near flat).

Last week was the first time I took a beating using Supercharged Crockpot.

FYI, I am in WLT as of near-open this morning, using a long call, and it has gained enough for me to convert to a trailing stop that will ensure I won't lose money (assuming it triggers and executes at that price). No exit criteria to the upside. I'll just let it ride.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
jimmyjazz
msg #115670
10/2/2013 9:15:11 AM

Kevin, I like that yahoo! chart. Does your TAA page on your website essentially use this method (monthly rebalance between SPY, IWM, EFA, and AGG based on the best 3-month return)? Right now you're still calling out small caps there, but it refers to September as the active month; i.e., looks like you haven't updated it yet.

I'm still curious to see if anyone can explain why Faber's GTAA ETF is doing so poorly?

Filter Exchange · BUYING THE DIP
jimmyjazz
msg #115571
9/27/2013 10:00:48 AM

Kevin, how does this system different from your z-score approach?

Filter Exchange · BUYING THE DIP
jimmyjazz
msg #115539
9/26/2013 12:42:33 PM

dknoonan, did you intend to comment this line out?

-- close above open

Filter Exchange · BUYING THE DIP
jimmyjazz
msg #115529
9/25/2013 1:46:39 AM

Why have any one trade, or any one strategy subject your account to 50% wipeout? That's just not good risk management.

Plenty of studies show stop losses reduce returns. This is not to say you shouldn't have an exit plan, but a hard stop on price might not be the best choice. Getting stopped out early sucks, even if you don't really track what happens down the road.

Filter Exchange · Wilson Relative Price Channel
jimmyjazz
msg #115528
9/25/2013 1:43:38 AM

Ha! I'll trust your results. Interesting. This kind of jibes with my intuition -- he promotes and obfuscates in equal measures. Make the readers feel they're stupid, sell books, profit. Yay.

Filter Exchange · Wilson Relative Price Channel
jimmyjazz
msg #115522
9/24/2013 5:37:46 PM

Much appreciated, Kevin. Frankly, I find Wilson's writing a bit obtuse. It's a battle to get through his articles and separate the wheat from the chaff.

Filter Exchange · A SIMPLE MARKET TIMING FILTER
jimmyjazz
msg #115501
9/23/2013 8:04:12 PM

Thanks, Kevin. Have you backtested a pair trade (long XLI, short XLU or the inverse)?

Filter Exchange · Wilson Relative Price Channel
jimmyjazz
msg #115498
9/23/2013 7:11:03 PM

OK, that knocked out one stock. I'm going to say NRG and NI are more interesting than the rest, since they are just now breaking into the upper Wilson zone AND their moving average (200 day) is rising. Anyone have a problem with that logic? I'm sure I could add a "MA slope" constraint to the screener if I wanted to. I'd have to backtest to see if that actually improved results, though.

Thanks for the help.

Filter Exchange · Wilson Relative Price Channel
jimmyjazz
msg #115497
9/23/2013 7:07:23 PM

Figured out the "Fetcher" command. I'm not liking the way some selections are hanging out in the upper zone, dip below, and then trigger. I'll add a moving average constraint to see if it shakes anybody out. (I realize I need to backtest these ideas.)


Fetcher[market is S&P 500

set{overbought,70}
set{upperNZ, 55}
set{lowerNZ, 45}
set{oversold, 30}

set{OB1, RSI(34) - overbought}
set{OS1, RSI(34) - oversold}
set{NZU1, RSI(34) - upperNZ}
set{NZL1, RSI(34) - lowerNZ}

set{OB2, OB1 /100}
set{OS2, OS1 / 100}
set{NZU2, NZU1 / 100}
set{NZL2, NZL1 / 100}

set{OB3, close * OB2}
set{OS3, close * OS2}
set{NZU3, close * NZU2}
set{NZL3, close * NZL2}

set{OB, close - OB3}
set{OS, close - OS3}
set{NZU, close - NZU3}
set{NZL, close - NZL3}

draw OB on plot price
draw OS on plot price
draw NZU on plot price
draw NZL on plot price

close crossed above NZU within the last 1 day
close above MA(200)
]

]

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