StockFetcher Forums · Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO<< 1 ... 3 4 5 6 7 ... 22 >>Post Follow-up
johnpaulca
11,297 posts
msg #107512
Ignore johnpaulca
8/10/2012 12:04:06 AM

you need to catch earlier in the cycle, nothing wrong with the strategy....cycle is long in the tooth and market is mean reverting.

Kevin_in_GA
4,548 posts
msg #107527
Ignore Kevin_in_GA
8/10/2012 10:06:59 AM

SSO down a bit today - currently at 57.55, so I'm down about 0.67% and the system entry at yesterday's open is only down 0.33%.

I'll be looking for a better exit price over the next few hours, which should also give me a better entry for SDS. Knowing my luck when I do not rigorously adhere to my own system rules, this will probably backfire on me ...



Kevin_in_GA
4,548 posts
msg #107528
Ignore Kevin_in_GA
modified
8/10/2012 2:30:24 PM

Out of SSO at 57.83, for a loss of about 0.15%.

UPDATE: Figures - it closes at 58.20.

I bought into SDS at 14.50 late day.

tombrown1
61 posts
msg #107541
Ignore tombrown1
8/11/2012 6:00:36 PM

Kevin, what criteria are you using for your trades? The trades you're describing don't seem to coincide with the system you outlined.

TB

Kevin_in_GA
4,548 posts
msg #107542
Ignore Kevin_in_GA
8/11/2012 6:39:29 PM

Right. These are real trades, and I was going to exit at the open this morning and go into SDS, but decided to wait. Worked out to be a better deal, I just should have held onto SSO a bit longer and would have made a small proft versus a loss.

There's the system, and then how you actually trade the system.

bjfeen
24 posts
msg #107547
Ignore bjfeen
8/12/2012 3:08:27 PM

Kevin, because everybody seemed to be having an issue backtesting this system, I made a Google spreadsheet with charts going back to July 2006 that is accessible from the link at the bottom. Data is from Yahoo finance and no stop loss was used. Strategy was very successful during 2008 - mid 2009, but gave most of it back. Maybe adding the 3% stop loss will prevent that? BTW it has been doing very well again this past year.

https://docs.google.com/spreadsheet/ccc?key=0AuYZy0eiS8MSdEszRXpzSFlsZjVsYmxPbC04dmM0cGc



novacane32000
273 posts
msg #107562
Ignore novacane32000
8/12/2012 9:14:03 PM

My backtest going back to 2010 show that avoiding SDS trades when the market is trending up (such as it is now) improves results .SSO trades do best when the market is trending up but also hung in there during down periods.
Who woulda thunk it, trading with the trend works.

blumberg
27 posts
msg #107568
Ignore blumberg
modified
8/13/2012 1:15:18 AM

So bjfeen's backtest has a starting equity of $100,000 ending in $387,945 about 6 years later and Kevin's backtest has $100,000 ending in $1,367,436 about 6 years later. Who is right?

bjfeen
24 posts
msg #107569
Ignore bjfeen
modified
8/13/2012 8:07:03 AM

I wasn't using a stop loss. Including one should improve results. I'm working on that now...

Kevin_in_GA
4,548 posts
msg #107570
Ignore Kevin_in_GA
8/13/2012 8:46:01 AM

Also make sure that you are rolling the profits each time into the next trade (minus $17.90 for commissions on both sides of each trade). This is how the backtest was set up on Stratasearch. From your spreadsheet it was not entrirely clear that this was what you were doing.

Start with $100,000 and roll all of your profit into every trade. Exit the trade at the open of the next day after the signal, and enter the other trade at the same time. I'll download the Stratasearch trade list and post a link to it here for comparison.



StockFetcher Forums · Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO<< 1 ... 3 4 5 6 7 ... 22 >>Post Follow-up

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