StockFetcher Forums · Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO<< 1 ... 2 3 4 5 6 ... 22 >>Post Follow-up
Nickster8074
53 posts
msg #107478
Ignore Nickster8074
8/8/2012 10:32:31 PM

Tom, I calculated the stochastics as you stated (%k period, %d period, smoothing) and you are correct. It is calculated that way. So basically, stochastics %d (5,1,5) is a 5 day moving average of the %k and stochastics %d (5,1,10) is a 10 day moving average of %k.

tombrown1
61 posts
msg #107479
Ignore tombrown1
modified
8/8/2012 10:36:54 PM

Ok Kevin, you have my attention. I've started a manual backtest using this for the first line:

- 5 for the k period, 1 for the d period, and 5 for the slowing period

and this for the second line:

- 5 for the k period, 1 for the d period, and 10 for the slowing period

I'm looking for the fast line to cross under the slow line. When the trading day closes with the cross, I buy at the open of the next day. When the trading day closes with the fast line above the slow line, I sell the next open. I used no stops (can't stand them).

I tested one etf at a time. I just finished August 8, 2011 to August 8, 2012.

SSO gained 112%
SDS gained 31%.

After testing the crash, I have a feeling I will have to retest everything with stops, but for now I'll leave them out.

More to come!

Thanks again for sharing Kevin.

TB


Edit: Oops, I made a small mistake in my calculations - backtest numbers are now correct.

tombrown1
61 posts
msg #107480
Ignore tombrown1
8/8/2012 10:37:49 PM

Thanks Nick.

Kevin_in_GA
4,538 posts
msg #107482
Ignore Kevin_in_GA
8/9/2012 9:52:32 AM

Just to let folks know - I bought SSO this morning at $57.92. I tried to get a slightly better price watching the quote, and it moved up faster before I pushed the button.

Marketwatch says it opened at 57.74 this morning - should have just set it and let it take the open price, I guess!

Nickster8074
53 posts
msg #107484
Ignore Nickster8074
8/9/2012 10:26:52 AM

Kevin, what I did to avoid the run-up is to buy at about 30 seconds before open. The bid ask spread was only 3 cents and it got me in at 57.77. I did have a question though. You mentioned earlier in this thread that trading this filter without a stop loss was more profitable, will you be trading that way or will you use a trailing stop loss? Thanks again for the great filter!

Kevin_in_GA
4,538 posts
msg #107486
Ignore Kevin_in_GA
8/9/2012 10:59:41 AM

The account I am using only uses standard stop losses, no option for a trailing stop. I will probably just move it manually.

drew9
171 posts
msg #107487
Ignore drew9
8/9/2012 11:07:37 AM

This mornings update shows it has flipped back to a short. Looks amazingly familiar to the June 8th trade. I am putting on another short postion today. I told you this was an incredibly accurate filter! :)

Kevin_in_GA
4,538 posts
msg #107499
Ignore Kevin_in_GA
8/9/2012 2:43:05 PM

I agree that it looks like a one day whipsaw, but it is a profitable trade so far. That type of whipsaw I can live with.

tennisplayer2
179 posts
msg #107500
Ignore tennisplayer2
8/9/2012 3:04:00 PM

If we follow the filter 100%, we are suppose to sell SSO tomorrow at the open and also buy SDS at the open (if this holds up). If this holds up, I will buy SDS at the open tomorrow and not the close today. Thanks again to Kevin.

tombrown1
61 posts
msg #107510
Ignore tombrown1
8/9/2012 10:44:10 PM

Aug. 8, 2010-Aug. 8, 2011

SSO gained 7%
SDS lost 12%


Sorry, but this causes me to abandon this backtest. Those are unacceptable results for an entire year's worth of trading regardless of what else it did in previous years.

Too bad because I had some hope for this strategy. If I find some time maybe I'll try it with stops.

Best,

Tom

StockFetcher Forums · Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO<< 1 ... 2 3 4 5 6 ... 22 >>Post Follow-up

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