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Filter Exchange · HYG vs. TLT
tomm1111
msg #109618
12/25/2012 1:55:27 PM

I have fixed the time period on variables to reflect 20 days. Also, I set proposed stops when the bond ratio (br) crosses it's 20 moving average. Enter at "1", Exit at "1".

Fetcher[
symlist(spy)
and chart-time is 6 months

set{num,ind(tlt,close)}
set{denom,ind(hyg,close)}
set{br,num/denom}

/* BB */
set{brMA20,CMA(br,20)}
set{brSD,cstddev(br,20)}
set{brSD20,2 * brSD}
set{brBOLU,brMA20 + brSD20}
set{brBOLD,brMA20 - brSD20}

set{long,count(br greater than brbolu,1)}
set{short,count(br less than brbold,1)}
draw long
draw short on plot long

set{exit_long,count(br crossed below brma20,1)}
set{exit_short,count(br crossed above brma20,1)}
draw exit_long
draw exit_short on plot exit_long

draw br
draw brbold on plot br
draw brbolu on plot br
draw brma20 on plot br
]



Filter Exchange · HYG vs. TLT
tomm1111
msg #109617
modified
12/25/2012 12:08:37 AM

tomm1111

"The way I read the article, it appeared to suggest long term trades. If that is correct, could you explain why your filter appears to be set up for short term trades?

Bill"

@ wkloss, why not try?

__________________________

@ Cheese, my work on backtesting/walk forward has been limited on this. Entry's are easy, exit's are hard. Kevin_in_GA, and others, speaks to this.

_______________

@ fortyfour, Thank you for the tutorial. I have run some back tests on NT, but haven't found suitable exit conditions yet.

_________________

I am going to run some backtests on this to see if this will work on walk forward testing. Retail traders are at a significant disadvantage. Anything we can do to try to even the odds is a testament to the generosity of this forum . Merry Christmas.

Tom



Filter Exchange · HYG vs. TLT
tomm1111
msg #109596
12/23/2012 12:56:41 AM

Thanks Cheese.

I probably started with the period at "10" when I wrote the filter then changing it to "20" later on. There really is no answer to this, except what works best for you. Both 10 and 20 provide decent entry signals.

Tom


Filter Exchange · HYG vs. TLT
tomm1111
msg #109586
12/21/2012 11:26:21 PM

Look for the bond ratio to cross bollinger band (20 ,2) upper/lower bands for entry.

http://seekingalpha.com/article/297401-making-money-in-credit-hyg-vs-tlt

Fetcher[
symlist(spy)
and chart-time is 6 months

set{num,ind(tlt,close)}
set{denom,ind(hyg,close)}
set{br,num/denom}

/* BB */
set{brMA10,CMA(br,20)}
set{brSD,cstddev(br,20)}
set{brSD10,2 * brSD}
set{brBOLU,brMA10 + brSD10}
set{brBOLD,brMA10 - brSD10}

set{long,count(br greater than brbolu,1)}
set{short,count(br less than brbold,1)}
draw long
draw short on plot long

draw br
draw brbold on plot br
draw brbolu on plot br
draw brvma10 on plot br
]



General Discussion · THE BEST FILTER YOU HAVE SEEN!
tomm1111
msg #108605
10/28/2012 11:27:19 PM

Have you?

No offense, but trying to bring home a point.

General Discussion · THE BEST FILTER YOU HAVE SEEN!
tomm1111
msg #108495
10/23/2012 11:56:32 PM

FYI - Grow wealth slowly....find your own edge. Don't rely on anyone but yourself.

Filter Exchange · MONDAY GAP UP AND GAP DOWN TRADING SYSTEMS
tomm1111
msg #104629
1/25/2012 10:52:27 AM

Kevin,

Thanks for the explanation. The elegance is in it's simplicity.

Thanks for sharing this filter.

Tom

Filter Exchange · MONDAY GAP UP AND GAP DOWN TRADING SYSTEMS
tomm1111
msg #104622
1/25/2012 12:40:07 AM

Kevin,

Do the equity curves illustrate a curve fitted result? Were a portion of the performance stats run on out-of-sample data? This could make or break a strategy.

Tom

Filter Exchange · MONDAY GAP UP AND GAP DOWN TRADING SYSTEMS
tomm1111
msg #104584
1/21/2012 11:09:49 PM

Kevin,

Impressive equity curves on both the long and short version. The criteria is simple which is always best. Did the equity curve charts include any out-of-sample testing?

Tom



General Discussion · can I backtest isolating specific dates
tomm1111
msg #103606
12/4/2011 12:15:22 AM

NinjaTrader would allow for this, but I caution it is not for the faint-hearted.

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