StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 7 8 9 10 11 ... 43 >>Post Follow-up
duke56468
683 posts
msg #101457
Ignore duke56468
7/6/2011 2:43:10 PM

Your filter is correct there has been nothing since the 24th. Just the nature of the market conditions is my guess.

Kevin_in_GA
4,553 posts
msg #101459
Ignore Kevin_in_GA
7/6/2011 3:02:01 PM

No, that is correct. There have not been any buys signaled since 6/24. That is not necessarily a bad thing. Probably reflects the ridiculous move up last week made by the S&P. The system saw this as a time to sell into strength.

mahkoh
895 posts
msg #101461
Ignore mahkoh
7/6/2011 5:36:12 PM

Due to the last correction many stocks trade near their 200 MA. Requiring that they also are near the lower BB weeds out a lot of candidates. If you remove the "close is above 200 MA" syntax there are stocks returned. The question is how the backtest holds up without the above 200 MA requirement.

Kevin_in_GA
4,553 posts
msg #101462
Ignore Kevin_in_GA
7/6/2011 6:00:28 PM

Why would you mess with a well-tested system just because it is telling you to stay in cash? Maybe it's right???

decipherlinda
133 posts
msg #101468
Ignore decipherlinda
7/7/2011 12:42:58 AM

Kevin, I don't have time to get into your analysis, etc., but John Bollinger in his book on Bollinger Bands said that actually stocks fell outside the bands 5% of the time when you set them to 1.8 instead of 2.0. I don't know if anyone else has mentioned that in this thread, or if it makes any significant difference to your work. Cheers!

jkinghome
7 posts
msg #101477
Ignore jkinghome
7/7/2011 1:01:42 PM

Hi Kevin,

I never got an exit signal for SJM but your performance showed as closed on 7/1. Even when I do a backtest, it shows as still open.

Thanks!

campbellb75
101 posts
msg #101481
Ignore campbellb75
7/7/2011 1:36:08 PM

@jkinghome - Kevin's stats closed out all open positions to let you know how they were performing up to that point. SJM hasn't been triggered to close the position yet, so it should still be an open position if you're trading off of this filter.

HTS

knightvictor
7 posts
msg #101486
Ignore knightvictor
7/7/2011 6:18:28 PM

Kevin_in_GA
7/6/2011 3:02:01 PM
No, that is correct. There have not been any buys signaled since 6/24. That is not necessarily a bad thing. Probably reflects the ridiculous move up last week made by the S&P. The system saw this as a time to sell into strength.
----------------------------------------------------------------------------------------
Thank you very much for the follow up.
-Dan

mahkoh
895 posts
msg #101502
Ignore mahkoh
7/8/2011 2:48:42 PM

Kevin_in_GA
1,926 posts
msg #101462
- Ignore Kevin_in_GA 7/6/2011 6:00:28 PM

Why would you mess with a well-tested system just because it is telling you to stay in cash? Maybe it's right???

Quote from your opening post:

"This still returned too many stocks, and during market corrections the system took some big hits. So I simply added a criteria that included “close above MA(XX)” for each stock, where XX was 50, 100, 150 or 200 days. This hopefully keeps you out of taking long positions on stocks that are tanking (keeps you “buying the dips”).

This definitely helped, and the system dramatically beat out the ^SPX, but the equity curves were still choppy and the system called for a lot of trades. "

Apparently your choice for a close above the MA syntax was not the part of the filter that you used the best of your skills and talents on and I think it would be interesting to see what improvements can be made here. After all you were basically looking to weed out stocks that are in a downtrend.





Kevin_in_GA
4,553 posts
msg #101504
Ignore Kevin_in_GA
7/8/2011 3:00:52 PM

Yes and no. The core concept is to identify non-equilibrium relationships between S&P 500 stocks and the index. Building from that, one tries to improve profitability and percent wins by adding intiutive system components, but always making sure that they are part of an optimization and rigorous backtest.

The equity curve shown in my first post contains the close above MA(200) component. Removing it resulted in poorer performance. That is why I made the comment about changing a system that has done well historically just because it is not currently signaling any trades.

Change this as you see fit, but don't expect the same performance going forward.

StockFetcher Forums · Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)<< 1 ... 7 8 9 10 11 ... 43 >>Post Follow-up

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