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General Discussion · Trading ^SPX closing prices
msg #113326
5/12/2013 10:18:33 AM

This seems trivial, but maybe it isn't. I am testing some simple systems, and my results using SPY don't match hand calculations using values from stockcharts. The values don't line up. I suspect this is because the 2 platforms handle dividends differently.

How can I trade the closing price of ^SPX instead? When I try to do so, it returns components of the S&P500 matching my criteria, but I want to trade the index price itself. I've tried IND(), etc., but to no avail.

Backtesting Support · Question about results
msg #113322
5/11/2013 11:33:01 PM

Doesn't look encouraging. Does SF not monitor this board? This is a ridiculously simple question to answer.

msg #113321
5/11/2013 11:31:46 PM

All these points are valid, but they're not what I was (trying to) ask. Of course I understand the arithmetic combinations involved. It's why I used the 53/47 VS 52/48 example. It's a 33% reduction in profit, all things being equal.

What I'm trying to get at is how does one assess the likelihood of retaining that slight edge in a system that depends on that edge to put money in the bank?

Maybe it all comes out in the wash. I'll think my way through it. I'm just concerned that a system so close to (or below) 50/50 would be more sensitive to market conditions than one which goes 80/20, but obviously, if market conditions cause that 80/20 system to suddenly become less profitable (per win), then we have a similar problem on our hands.

Filter Exchange · Dynamic (Variable) MACD
msg #113314
5/11/2013 4:50:21 PM

Has anyone set up a filter which automatically adjusts MACD parameters based on volatility, etc.? The idea is to create a system that adjusts to differing market conditions. I'm speaking of something like that which is outlined in this paper:

I haven't been able to find anything on SF via the "search" command, but that could be a reflection of my own poor search skills!

msg #113313
5/11/2013 4:43:57 PM

Kevin, I'm not sure what the adjective is -- maybe "robustness"? -- but how do you assess the effect of a slight shift in win rate for these methods that are very close to 50/50? Perhaps it's an issue with all systems, but if I go from 53/47 to 52/48, that seems like it could lead to a HUGE drop in returns.

Backtesting Support · Question about results
msg #113253
5/9/2013 6:31:51 PM

I looked in the PDF -- couldn't find it. (Maybe I didn't search correctly.)

Backtesting Support · Question about results
msg #113241
5/9/2013 2:12:22 PM

I'm struggling to understand "Statistics By Variable: Match Price" and "Statistics By Variable: Average Volume", and in particular, the columns which are denoted "< 0". Can someone clear the cobwebs for me? Thanks!

Filter Exchange · Renko Charts
msg #113195
5/7/2013 10:46:12 PM

FYI, the UK site allows sizing Renko charts on PCT and raw points. No ATR (but doesn't allow PCT).

I find the PCT chart the most useful.

Be VERY careful about manual backtesting using their print dates. On a weekly Renko chart, the date associated with each brick is the day the data was STARTED to be collected in order to determine if the brick prints. I believe this is common practice. What I'm trying to say is that you can get fooled into a "crystal ball" backtest that looks glorious by assuming the brick would have been visible the day after the annotated date, but in reality, it only would have become visible after the close of the 5th trading day (typically Friday).

stockcharts does have "pseudoprints" where a new brick will show up in yellow if it meets the print criteria, but hasn't completed the close yet. Those can disappear on you.

I have yet to convince myself there is a holy grail here. Renko charts seem to clarify price movements, but I don't think they provide earlier triggers. They might provide less confusing triggers.

msg #113189
5/7/2013 2:06:54 PM

Sounds like my accountant would have a stroke!

msg #113185
5/7/2013 12:19:45 PM

Thanks. Is your 10-filter C2 system a composite version; i.e., you issue a single buy or sell for the index, or do you trigger partial trades based on the number of "agreeable" indicators?

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