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Filter Exchange · HELP FILTER 97% Success
jnafach
msg #107060
7/15/2012 6:37:10 PM

Hi
can you help me to see if can make filter with those info, I got an email and seems quite interesting

Here are the rules for the model:
The 2-period RSI of VXX closes above 90. Sell short on the close the first of six possible units of VXX (1/6th of a full position). If you are unable to borrow or to short VXX, XIV is the inverse which is used to go long.
If VXX closes higher than your entry anytime you’re in the position, short 2 additional units to get you up to 3 total units of a possible 6. You are now short ½ of a full position.
If VXX closes higher than your second entry, short 3 additional units to get to a full short position.
Hold the position until the 2-period RSI closes under 50.
Here are the test results: VXX Trading Model Monthly Results
1 2 3 4 5 6 7 8 9 10 11 12 Year
2009 0.00% 2.28% 0.01% 0.01% 0.62% 0.83% 0.01% 2.28% 0.64% 0.00% 0.00% 6.87%
2010 1.13% 0.51% 0.01% 0.75% 5.30% -2.12% 4.02% 3.12% 0.94% 0.01% 0.67% 1.02% 16.26%
2011 0.01% 3.17% 1.00% 0.00% 2.19% 1.04% 1.94% 6.98% 4.48% 1.16% 0.69% 1.17% 26.37%
2012 0.00% 2.41% 0.83% 5.92% 3.39% 13.08%
CAR 19.25%
MDD -9.65%
Sharpe Ratio 3.00 Here are the highlights of the results:
97.3% of the trades have been wining trades (36 of the 37 signals have been profitable). We’ve never seen numbers like this in equity trading.
Within a portfolio, the annual returns have been 19.3% with a max drawdown of only 9.65%
The Sharpe Ratio, measuring the amount of risk in conjunction with its returns is 3.00, an extraordinary number for an overnight trading method.
Every month of testing but one has been break-even or profitable from 2009-May 2012.

Filter Exchange · MONDAY GAP UP AND GAP DOWN TRADING SYSTEMS
jnafach
msg #105255
3/5/2012 12:08:22 AM

Hi Kevin, ho can you guarantee to buy at opening price, as if yoy put open markt price you can not, nd if you put limit you may not meet that

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
jnafach
msg #97413
11/10/2010 1:28:16 AM

Hi wkless, in 13 portfolio, did you set to be monthly or biweekly also wasit 50% on 20 days and 50% on 3 mo in regard to relative strength or what criteria did you choose as cant reproduce your results

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
jnafach
msg #97123
10/20/2010 10:14:26 PM

Hey Kevin, I looked back on ETf and run it from early 2007 it did give better than the weekly approach you are looking at here, Am I missing anything. I agree with you that doing weekly feels better but that may not really works better.

It is similar to approach I was looking looking at allocating 20% between VTI, VEU, IEF, VNQ, DBC and use either cash for the 20% portion or buy ONLY if end of month cross over 45 weeks MA, giving 12% or so continuous wining averge.

I think you may want to lok at older approach as more frequent may not be better eventhough it sound this way

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
jnafach
msg #94517
7/3/2010 1:35:59 AM

I tried same selectons an dnot getting 877% but 530% , am I doing something wrong

Filter Exchange · \"HIGH PROBABILITY ETF TRADING\" BY LARRY CONNORS - GET YOUR FILTERS HERE!
jnafach
msg #93846
6/14/2010 4:03:53 PM

Hi Kevin, I want to thank you for all that you do, and being open to share the info, especially I am looking for ways to regain may fortune I lost that I could have buy house for it
Anyway, I read this book last year I looked at doing it but I found it little hard to practice, the opther problem is that you will miss a lot of days where RSI raise >90 and stay there and loose a lot of gain potential, I have seen in one of your posts that you may try it, I hope you luck
but the way is one of those is the TPS that they claim almost 90% success

also if you never visited you can look at their power ratings is tradingmarkets.com as this is free charts with scores on it, I think mainly based on RSI(2) which may cut a lot on your gains especially in years like last 2-3 years
thanks

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
jnafach
msg #92024
5/4/2010 7:42:44 AM

There was a study where tried to buy top 10 holding in berkshire hathaway and keep rotating which did better than BRK.A, now I wonder if we apply same on all their holdings and see if get better income than it and low risk

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
jnafach
msg #92023
5/4/2010 7:38:19 AM

By the way guys, Fidelity.com offers trading on 25 ETF from them IWM and EEM for free so there is no cost whatsoever for trading

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
jnafach
msg #91929
5/2/2010 9:43:05 AM

ALSO ON FILTER YOU WROTE THE RESULTS ON END OF MONTH DO NOT MATCH LIKE IN END OF DEC AND END OF OCT 2009

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
jnafach
msg #91928
5/2/2010 9:25:01 AM

Hey kevin, I am not sure hoe you get them I did run on same sit and got differnt return on putting 50% on 20 days and 50% on 3mo, also the filter you put how did you set it is it same as 50/50

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