StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 6 7 8 9 10 ... 43 >>Post Follow-up
saico
55 posts
msg #101380
Ignore saico
6/28/2011 11:13:10 AM

Actually I dont know of any other hidden fees at IB except of a tiny fee for data, if you generate less than 10 USD in commissions per month. Beside of that there are no fees. The 10k are only to open an account. After that initial deposit you're allowed to withdraw 5k, or 6k and use the remaining for trading. However I think after the account falls below 2k it becomes subject to close, but not sure with that.

Kevin_in_GA
4,553 posts
msg #101383
Ignore Kevin_in_GA
6/28/2011 1:42:13 PM

Intraday trades are typical for pairs trading (this is really just half of a pair trade system, with the other stock being SPY). Automation of this type of system to trade intraday would certainly be possible.

shainadir
24 posts
msg #101385
Ignore shainadir
6/28/2011 2:56:51 PM

Has anyone considered using SDS as a hedge for this system? For each position entered, use a 1/2 position of SDS. I would only use this hedge under certain conditions that signaled a downtrend like a SPY 13/26 EMA crossover.

duke56468
683 posts
msg #101393
Ignore duke56468
6/29/2011 2:02:41 PM

fortyfour modified 6/12/2011 4:31:25 PM
PS. #2
Side by side comparisons within stockfetchers backtesting feature( never used this much) show that
cash(equity) was increased in method #2 mostly by changing(unintentionally) the max open positions to 6f(from 10)
and max daily entries to 3(from 5)
++++++++++++++++++++++++++++++++++++++++++++++++++++++

fortyfour...could you explaine which backtesting feature allows side by side comparisons. Thanks

Kevin_in_GA
4,553 posts
msg #101397
Ignore Kevin_in_GA
6/29/2011 5:29:51 PM

Has anyone considered using SDS as a hedge for this system? For each position entered, use a 1/2 position of SDS. I would only use this hedge under certain conditions that signaled a downtrend like a SPY 13/26 EMA crossover.
+++++

I would rather use SH - the leverage on SDS actually tends to be a drag on performance, especially if the market is trending up. The additional volatility also ipacts the system's Sharpe Ratio.



fortyfour
185 posts
msg #101403
Ignore fortyfour
6/30/2011 2:14:09 PM

Duke,

There is no such feature that I know of in SF....I just open a couple instances of stockfetcher and re-size windows
for side by side comparison....I have just signed up for Stratasearch and have started the 24 hour (one click , percent of perfect).
What the heck is this 24 hour run doing?
For those who use Stratasearch....is this 24 hour run going to demostrate results of multiple trading systems?
I havent had any time to look at this product...Are there canned trading systems( scripting already done ) that are
user modifyable or must one start from scratch and "build" every system?

Thanks.

Kevin_in_GA
4,553 posts
msg #101404
Ignore Kevin_in_GA
6/30/2011 3:18:46 PM

Fortyfour:

I would not place too much expectation on the outcome of the One-Click systems. They are used as starting points to teach new users as much as anything else.

that said, SS is a very powerful tool, and has exceptional backtesting capabilities. For fun, try looking at all possible combinations of single indicators like the MACD or RSI.

Example - MACD(X,Y,Z) cross above for buy and cross below for sell, letting X,Y, and Z all vary independently from 1-30 (27,000 combinations). SS will backtest all combinations of MACD settings against the entire S&P 500 for the last 10 years and have it complete within 12 hours. That's impressive.

Let the numbers do the talking and you'll see why things like the MACD crosses are wildly overrated as trading signals.

fortyfour
185 posts
msg #101423
Ignore fortyfour
7/3/2011 2:46:23 PM


Off topic for this thread....maybe.....but, Kevins system or others like it that generate a few/several/ trades
on a weekly basis run into the 3 day settlement issue when trading IRA accounts. I found this post on SS.
Is anyone out there doing what is discussed below with Interactive Brokers ?


***************************************
"
Reg T is a pain in most IRA accounts. I've been doing basically what Kevin_in_GA is doing. However, I've found that you don't have to put up with that restriction if you don't want to. You can switch to Interactive Brokers and not have to wait for settlement to trade again. You must select a "Reg T Margin - IRA" type of account - not a "Cash" IRA account which is what you get with all of other brokers I am aware of. You can even day trade if you want to (just make sure you keep more than 25K in the account or you will run up against another pain in the neck regulation).

Your broker will probably tell you that regulations prohibit them from letting you trade until you have settled funds. However, I've done some research and it appears that the regulations only ALLOW the broker to restrict you they do not REQUIRE the broker to restrict you. Interactive Brokers has had this special IRA account for years, but not many people seem to know about it if they are not already IB customers.

A friend of mine switched to IB recently and is happy with it. I may switch also.

Here's a couple of links to IB that describe the type of accounts available:

http://www.interactivebrokers.com/en/p. ... Config&p=i

http://www.interactivebrokers.com/en/p. ... entity=llc

"
***************************************



Kevin_in_GA
4,553 posts
msg #101453
Ignore Kevin_in_GA
7/5/2011 3:35:18 PM

Another periodic update - performance from 3/2 until last Friday 7/1:

There were 120 total stocks entered. Of those, 120 or 100.00% were complete and or 0.00% were open.
Of the 120 completed trades, 75 trades or 62.50% resulted in a net gain.
Your average net change for completed trades was: 1.08%.
The average draw down of your approach was: -2.76%.
The average max profit of your approach was: 2.86%
The Reward/Risk ratio for this approach is: 2.51
Annualized Return on Investment (ROI): 52.78%, the ROI of ^SPX was: 2.38%.

Return on $100,000 was 13.67% before commissions. Including commissions at $8.95 per side would reduce this by 240 x $8.95 or $2148.00 for a return of 11.53%.

Trades since last update on 6/23:

06/23/11
06/23/11 sold (Trigger #) 384.42 shares ($10990.58) of CHK at 28.59 for a loss of $46.13
06/23/11 bought 154.81 shares ($11018.08) of BA at 71.17, remaining cash: $77126.53
Transaction Summary
Daily Losses : $46.13
Running Gain/(Loss) : $10036.06
# Stocks held at end of day : 3

Summary
Invested In Stock: $32909.53
Market Value of Stock: $34036.74
Market Value - Invested: $1127.20
Available Cash: $77126.53
Total (Cash + Market): $111163.27



--------------------------------------------------------------------------------

06/24/11
06/24/11 sold (Trigger #) 148.20 shares ($11357.71) of CTXS at 76.64 for a gain of $411.98
06/24/11 sold (Trigger #) 45.26 shares ($11630.91) of NFLX at 257.00 for a gain of $685.18
Transaction Summary
Daily Gains : $1097.17
Running Gain/(Loss) : $11133.23
# Stocks held at end of day : 1

Summary
Invested In Stock: $11018.08
Market Value of Stock: $11032.01
Market Value - Invested: $13.93
Available Cash: $100115.15
Total (Cash + Market): $111147.16



--------------------------------------------------------------------------------

06/27/11
06/27/11 bought 165.56 shares ($11123.91) of BHI at 67.19, remaining cash: $88991.25
06/27/11 bought 346.54 shares ($11123.91) of LUK at 32.10, remaining cash: $77867.34
06/27/11 bought 148.02 shares ($11123.91) of SJM at 75.15, remaining cash: $66743.44
06/27/11 bought 240.05 shares ($11123.91) of STJ at 46.34, remaining cash: $55619.53
06/27/11 bought 144.69 shares ($11123.91) of XOM at 76.88, remaining cash: $44495.62
Transaction Summary
Running Gain/(Loss) : $11133.23
# Stocks held at end of day : 6

Summary
Invested In Stock: $66637.61
Market Value of Stock: $67298.46
Market Value - Invested: $660.86
Available Cash: $44495.62
Total (Cash + Market): $111794.09



--------------------------------------------------------------------------------

06/28/11
06/28/11 sold (Trigger #) 346.54 shares ($11397.67) of LUK at 32.89 for a gain of $273.77
Transaction Summary
Daily Gains : $273.77
Running Gain/(Loss) : $11407.00
# Stocks held at end of day : 5

Summary
Invested In Stock: $55513.70
Market Value of Stock: $56886.49
Market Value - Invested: $1372.79
Available Cash: $55893.30
Total (Cash + Market): $112779.78



--------------------------------------------------------------------------------

06/29/11
06/29/11 sold (Trigger #) 165.56 shares ($11766.27) of BHI at 71.07 for a gain of $642.37
06/29/11 sold (Trigger #) 144.69 shares ($11553.64) of XOM at 79.85 for a gain of $429.73
Transaction Summary
Daily Gains : $1072.10
Running Gain/(Loss) : $12479.10
# Stocks held at end of day : 3

Summary
Invested In Stock: $33265.89
Market Value of Stock: $33979.46
Market Value - Invested: $713.57
Available Cash: $79213.21
Total (Cash + Market): $113192.67



--------------------------------------------------------------------------------

06/30/11
No Transactions
Transaction Summary
Running Gain/(Loss) : $12479.10
# Stocks held at end of day : 3

Summary
Invested In Stock: $33265.89
Market Value of Stock: $34205.79
Market Value - Invested: $939.90
Available Cash: $79213.21
Total (Cash + Market): $113419.00



--------------------------------------------------------------------------------

07/01/11
07/01/11 sold (Trigger #) 154.81 shares ($11426.78) of BA at 73.81 for a gain of $408.71
07/01/11 sold 148.02 shares ($11377.02) of SJM at 76.86 for a gain of $253.12
07/01/11 sold 240.05 shares ($11661.62) of STJ at 48.58 for a gain of $537.71
Transaction Summary
Daily Gains : $1199.54
Running Gain/(Loss) : $13678.64
# Stocks held at end of day : 0

Summary
Invested In Stock: $-0.00
Market Value of Stock: $0.00
Market Value - Invested: $0.00
Available Cash: $113678.64
Total (Cash + Market): $113678.64



knightvictor
7 posts
msg #101455
Ignore knightvictor
7/6/2011 2:19:51 PM

Hi Kevin,
Do you have any ideas why there haven't been any new stocks to buy on this filter since 6-24?
Usually there are a few every couple days and I just want to make sure I didn't do something wrong. Have you had any to buy since the 24th?

Thanks!
-Dan

StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 6 7 8 9 10 ... 43 >>Post Follow-up

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