StockFetcher Forums · Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO<< 1 ... 6 7 8 9 10 ... 22 >>Post Follow-up
Eman93
4,659 posts
msg #107600
Ignore Eman93
8/13/2012 10:57:53 PM

Using the 20DMA crossing over a 50DMA as Eman suggested would take away some of the subjectivity of this experiment. However, I wonder if that would have created a lot of whipsawing at times. It would be interesting to backtest it this way if you have the time.

the condition would be 20ma > 50ma to enter bullish not just the cross over ... for back testing...



tombrown1
61 posts
msg #107601
Ignore tombrown1
8/13/2012 11:03:40 PM

OK, so all these new posts got me a bit excited again. I backtested 8/8/10-8/8/11 (the one that was awful in my previous bt) but this time I only took trades for SDS that had a positive 20sma/50sma cross on SPX; and I only took the trades for SSO that had a negative 20sma/50sma cross on SPX.

I am only testing one stock at a time for the year. First SDS, then SSO. I realize this isn't exactly how you trade it, but I think it's close, and it's simpler to backtest this way.

SSO lost 1% for the year while SDS lost 7%.

I was hoping this filter would help things out, but still I'm getting nothing.

There are filters that have made money every year for the last ten years - this one hasn't. I'm still interested in ideas to improve it - I still haven't tried stops - but I'm a bit skeptical because of the large swaths of time it lost money.

I think if you would have traded real money with this thing over the last 5 years or so, you would have given up at some point or another. Kevin, what are you going on that you are trading this with real money? And not even following the method at that. It may be that you are trading it better than the way it was backtested - can you codify the way you are actually trading it?

Thanks again for the ideas guys - I think this one may have hope - I just haven't figured it out yet.

Best,

Tom



tconte
13 posts
msg #107613
Ignore tconte
8/14/2012 12:22:10 PM

Hi guys, thanks for the kudos.

Eman, Blumberg, I am with you. There has to be a way to numerically identify where the trend is. I applied your suggestion to compare the SPY SMA(20) vs the SPY SMA(50) in the spreadsheet link below, but the results were not as impressive, ending up with a capital of only 253k. You were right Blumberg, this method creates a lot of whipsaw.

https://docs.google.com/spreadsheet/ccc?key=0Ah-vGIsKIZandDVIaFZNd3h3M29lUDlCemN4OG1qbGc#gid=2

Kevin_in_GA
4,548 posts
msg #107614
Ignore Kevin_in_GA
8/14/2012 12:23:12 PM

Kevin, what are you going on that you are trading this with real money? And not even following the method at that. It may be that you are trading it better than the way it was backtested - can you codify the way you are actually trading it?

++++++

Did you see the stats and equity curve I posted? That's why I'm putting my money against this one. Show me a better performing system that has been similarly backtested and I'll consider it.

And I am trying to trade it as the system suggested, but I opted to wait and see if I could get a better price at the exit of the SSO trade (I got that) versus when I tried the same thing for a better entry price (I did not get that). Sometimes it works and sometimes it doesn't.

Going forward, I have coded this to be robotically traded using ProdigioRTS (on paper only right now) but I'll be trading this through my account as well. Let's see how it does through the end of the year.

jackmack
333 posts
msg #107615
Ignore jackmack
8/14/2012 1:32:50 PM

Kevin or anyone else
I want to post a screen shot of my start in Prodigio for others to see - how do I attach a screen shot?



Kevin_in_GA
4,548 posts
msg #107616
Ignore Kevin_in_GA
8/14/2012 1:35:11 PM

You need to upload it to a hostng site like tinypic or photobucket, then link to it. I use photobucket - it's free and gives you plenty of storage.

You could probably also use google docs (?) ...

shainadir
24 posts
msg #107617
Ignore shainadir
8/14/2012 2:31:14 PM

It appears that most of the losses occur on the short side(SDS)...so any thoughts on trading half a position for SDS, and full position for SSO?

tconte
13 posts
msg #107620
Ignore tconte
8/14/2012 3:47:33 PM

shainadir. Here is you idea backtested.
https://docs.google.com/spreadsheet/ccc?key=0Ah-vGIsKIZandFNRRVpKTk83Vm5kcmc3TUdTaUxCVGc
Actually ended up making less money with $366k at the end of the period vs $430k for the original strategy.

bjfeen
24 posts
msg #107621
Ignore bjfeen
modified
8/14/2012 3:55:40 PM

What about correlating it with the VIX?

In the last 6 years there were 3 very distinctive spikes in the VIX: late 2008, May-June of '10, and Aug - Oct '11. When comparing these spikes to charts of ONLY SDS or ONLY SSO using the sto crossover system, each spike correlated with large gains in SDS, and large drops in SSO. SSO seems to be very profitable when the VIX is below 25-30, and SDS is profitable when the VIX is above 25-30.

Just something that jumped out at me when studying the charts...

tconte, you seem to be much quicker at posting results... can you try this in your spreadsheet?


tconte
13 posts
msg #107623
Ignore tconte
8/14/2012 4:57:16 PM

Hi bjfeen,
Yes, I created a spreadsheet for this idea, and the results are poor with a total capital of 302k at the end

https://docs.google.com/spreadsheet/ccc?key=0Ah-vGIsKIZandElQM19CVDFtaXN1Nm5sWVdUUWMyTVE


StockFetcher Forums · Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO<< 1 ... 6 7 8 9 10 ... 22 >>Post Follow-up

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