StockFetcher Forums · Filter Exchange · TRADING DIVERGENCES ON THE S&P 500<< 1 ... 10 11 12 13 14 ... 33 >>Post Follow-up
voidcomp
23 posts
msg #110733
Ignore voidcomp
1/30/2013 10:10:43 AM

No need to get defensive. Clearly during this period the system has been *less* effective than something trend following such as a longer MA or momentum based system such as Faber's that has been discussed here and disclosed on your (updated?) web site. Since the baseline 12/6 date the S&P has risen 6.6% without a single trade or trade cost. associated with 50 transactions. The purpose here is to illustrate the benefits and disadvantages of trading vs long term investing during protracted market movements. No doubt when the market goes from a trending to more trading behavior the system will be once again more effective ... for trading. Obviously the word 'effective' is subject to interpretation when it comes to drawdown, return, and trade frequency.


Kevin_in_GA
4,553 posts
msg #110743
Ignore Kevin_in_GA
1/30/2013 10:37:08 AM

Agreed. There are certainly times when trend trading makes more money with less risk/work. For me the challenge is knowing when to enter or exit such trades with the same level of confidence in outcomes as this approach.

Many ways to skin a cat - the bulk of my investments are managed by trend trading. These divergence systems are a good way to "trade" versus "invest".

And having gone 50 for 50 lately, I really need to be looking at these more closely ....

frsrblch
35 posts
msg #110832
Ignore frsrblch
1/31/2013 4:35:21 PM

The composite filter is showing 7 hits today, including the SMI11DIV filter that I am so fond of.

jackmack
334 posts
msg #110837
Ignore jackmack
1/31/2013 10:21:33 PM

Kevin
Is there a way to graph the divergences on the chart for the filters? (other than the signal line at the bottom)

Something similar (visually) to Emans "stupid is as a stupid does" filter where the divergence is displayed

*/Emans stupid is as stupid dose Billy divergence */

close above 5
volume above 5000000

Williams %R(14) has been increasing for the past 2 days

3 day slope of close < 0

Or is it not possible since the divergences are short term?
Just asking
Thank you

Kevin_in_GA
4,553 posts
msg #110878
Ignore Kevin_in_GA
2/1/2013 1:43:33 PM

@jackmack: Not sure what value that brings. These are triggers, either they are on or off. The magnitude of "on" is not part of the system, but if it helps all different levels of divergences were looked at, and these simply were the most profitable and consistent performers.

I could plot the magnitude of the divergence - but instead I want to see you do it as a means to further your SF coding skills.

Kevin_in_GA
4,553 posts
msg #110882
Ignore Kevin_in_GA
2/1/2013 3:59:25 PM

Note that today triggered an exit - I need to check the count but I think all 7 trades in play will close profitably (again).

jackmack
334 posts
msg #110893
Ignore jackmack
2/1/2013 10:05:39 PM

Kevin
Good evening. I am here in Punxsutawney with the family and going to see Phil in the morning.
Kind of a bucket list thing.
I guess the thing I have been struggling with is looking back at the signals and how they relate to price on the chart and I am getting too caught up in the past details and not just going with the signal since I have not been following this for some time.
That said I will still try to write the filter and see if I can do it.
Can't promise anything but I will try.
Thank you
Cheers


miketranz
716 posts
msg #110898
Ignore miketranz
2/2/2013 4:30:23 PM

Kevin,on the SPY chart you provided,what determines your entries & exits in plain simple terms? I'm assuming it's the spikes in lower charts. Also,would you still be in the trade as of today? 80%+ winning trades is very impressive.Thank you for sharing.Miketranz.......

Kevin_in_GA
4,553 posts
msg #110899
Ignore Kevin_in_GA
2/2/2013 6:22:29 PM

Good question - what happens fairly frequently is the system has you sell AND buy again at the open. Seems like no one would do that, but that is the mechanical system. On Friday you had a SELL signal on 7 trades (all closing profitably) and new BUY signals for 5 of those 7 because the divergences are still in effect.

Personally, I would sell 2 units at a profit and keep the rest in play. But that's me.

miketranz
716 posts
msg #110906
Ignore miketranz
2/3/2013 9:49:35 AM

So would a buy signal be the Jan 2 gap open?

StockFetcher Forums · Filter Exchange · TRADING DIVERGENCES ON THE S&P 500<< 1 ... 10 11 12 13 14 ... 33 >>Post Follow-up

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