StockFetcher Forums · Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO<< 1 ... 13 14 15 16 17 ... 22 >>Post Follow-up
tennisplayer2
180 posts
msg #108103
Ignore tennisplayer2
9/19/2012 10:21:45 AM

Long SSO. Kevin, thanks for the heads up.

duke56468
683 posts
msg #108123
Ignore duke56468
9/19/2012 9:10:45 PM

MVV and MZZ seem to backtest well with this filter also.

jackmack
334 posts
msg #108185
Ignore jackmack
modified
9/26/2012 4:13:32 PM

Not stopped out "yet" in at $62.50 per the signal - 3% approx $60.62 - hurts but holding it
Cheers to any others on this ride =)

duke56468
683 posts
msg #108186
Ignore duke56468
9/26/2012 5:08:54 PM

If I'm reading it right, you should have been in at $63.19 on the 19th(open) and out at $61.79 on the 25th with the 3% trailing stop for a loss of 2.22%.

jackmack
334 posts
msg #108198
Ignore jackmack
9/27/2012 3:12:36 PM

duke - if you were asking me specifically I did not get the trade in until the 20th as I was away on business.
Missed the primary signal but actually worked in my favor - this time ;-)
Cheers

kraems17
4 posts
msg #108204
Ignore kraems17
9/28/2012 10:07:44 AM

@jackmack. I was in at $63.12 on the 19th, and stopped out with the 3% trail on the 25th at $61.83.



johnpaulca
11,314 posts
msg #108205
Ignore johnpaulca
9/28/2012 10:38:47 AM

19th was the end of a cycle.

Kevin_in_GA
4,553 posts
msg #108206
Ignore Kevin_in_GA
9/28/2012 11:26:56 AM

I think it is worth reminding people to look at the stats I posted in the first post on this thread. The win % is only slightly over 53%, and the max number of consecutive losses was 7. Right now this has lost 4 in a row, I think. Not terribly inspiring, but well within the system's past statistical boundaries.

The 3% trailing stop is designed to improve overall risk/return ratios (basically the Sharpe ratio), which are usually an issue for 2x leveraged ETFs. It ultimately results in more losses, but smaller overall losses. I know it sucks when it happens, but it happens for a good reason.

If you are wanting higher win rates but lower overall returns, I would direct you to this set of divergence filters -

http://forums.stockfetcher.com/sfforums/?q=view&fid=1002&tid=108174&qrid=

These provide about 30% annual return with 85-90% win rates. Not nearly as impressive as the 200+% return seen with this system over the same time period, but they do meet many trader's pschological need to be "winning" more than to be richer.



kraems17
4 posts
msg #108213
Ignore kraems17
9/28/2012 2:25:04 PM

@Kevin_in_GA:

Absolutely, the long run stats and Sharpe ratio is what attracted me to this filter.

One loss doesn't have me phased, and the stop loss at 3% helps you get out when the trend isn't with the system without too big of a loss. I'd rather take a small loss and win 53% of the time, than not get stopped out and lose more.

Have you looked at swapping the Go Long and Go Short indicators on this one Kevin? I was looking at it this morning, and based on the recent chart, the signals would have you short SSO now, and long SDS and seemed to map more closely to the trend of the market. This could just be a result of a small sample set as I don't have access to good backtesting tools, but thought it was interesting none the less.

Thanks for all you share with this forum.

Kevin_in_GA
4,553 posts
msg #108266
Ignore Kevin_in_GA
10/3/2012 2:50:16 PM

The filter now indicates a change in position from SSO (stopped out last week) to SDS.

Personally I am using the less profitable but more reliable Divergence filters I posted last week.

StockFetcher Forums · Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO<< 1 ... 13 14 15 16 17 ... 22 >>Post Follow-up

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