StockFetcher Forums · Filter Exchange · TRADING DIVERGENCES ON THE S&P 500<< 1 ... 12 13 14 15 16 ... 33 >>Post Follow-up
3,845 posts
msg #111331
Ignore Kevin_in_GA
2/12/2013 5:45:36 PM

If every one of the last 60 trades is a winner, how much is too much?

So you got in today at 151.78 and technically you don't exit until tomorrow at the open. But 9 of the 10 divergence filters are still signalling a BUY. Your call on what to do ... the market might react negatively to tonight's State of the Union address and the system will record it's first set of lossess since December. Or you can hold pat and use the fact that the signals are still in BUY mode and see how the rest of the week goes.

10 posts
msg #111332
Ignore radiobb2
2/12/2013 6:01:35 PM

Overall, it seems to work well. The only issue I have is avoiding trade settlement rule issues. In and out twice in a few days is a free ride. I'll plan to hold tonight and see what happens.

192 posts
msg #111335
Ignore sohailmithani
2/12/2013 7:17:43 PM

Kevin, no doubt the success factor of 80% to 90% is a great job done. Thanks for your valuable contribution. I just wanted to know your thoughts regarding the bear market returns. When I ran the back test for the years 2002 and 2008 and analysed the data, I found that the success rate were still great. The issue was that the full year still resulted in negative returns only due to few trades that produced higher -ve returns in excess of -20%. Any thoughts ragarding the most effective stop losses that you would recommend to maximise our returns?

3,845 posts
msg #111339
Ignore Kevin_in_GA
2/12/2013 9:51:03 PM

The successful trades are almost always completed within a week or so. Consider a time-based exit of 5-6 trading days.

23 posts
msg #111347
Ignore voidcomp
2/13/2013 9:14:53 AM

Amazing market over the past few months. Up days to down days on SPY are nearly 2 to 1 and VXX continues to make new lows.

192 posts
msg #111449
Ignore sohailmithani
2/17/2013 2:20:14 AM

Hi Kevin

After reading all 14 pages I feel confident and am planning to start trading on this strategy starting Tuesday. Please let me know if I want to follow the strategy I should buy 6 ubits of SSO / SPY on Tuesday? I am still a little bit confused on the sell signals that are coming up with the buy signals but will try to follow the posts going forward to have a hang of it. Your help would be appreciated.

2 posts
msg #111450
Ignore Nurdish
2/17/2013 8:40:50 AM

SF need to introduce a contribution recognition system (e.g like Reddit GOLD etc). The info provided by Kevin and many other posters is like $$$ in the bank.

3,845 posts
msg #111451
Ignore Kevin_in_GA
2/17/2013 10:13:25 AM

Statistics update - this last week has had a bunch of BUY and SELL signals on top of each other. Every trade closed positively but at very small gains (between 0.05% and 0.1%). In real trading these would probably end up as losses due to commissions and bid/ask spreads. That is why holding when a simultaneous BUY and SELL signal is probably a good idea.

Problem is I can't really code for that since it is a discretionary call. However, the system is 94 for 94 on recent trades using the backtest and strict adherences to the rules.

683 posts
msg #111454
Ignore duke56468
2/17/2013 11:39:22 AM

I have manually back tested the divergence filter for 6 months starting July 30th using SSO. I did not use SPY as a surrogate. I also did not enter until at least 2 filters triggered. If in cash did not enter if both entry and exit triggered same day. I had 13 winning trades and 1 losing trade. Average gain was 1.917%. The 1 losing trade was only -1.95% however at one point (NOV 15th) it was down 12%. Any ideas on how to avoid such heart stopping draw downs?

Ran the same test from Feb 23 to July 30 2012 and had 7 wins and 2 losses. This time however one loss was severe at -8.9% and at one time was down 18%. The 2 losses nearly wiped out the total gain which finally averaged 0.87% for the period.

671 posts
msg #111459
Ignore miketranz
2/17/2013 2:32:27 PM

Duke,the win ratio is extremely good,best I've seen,however,when you take into consideration the draw down losses,leaves much to be desired.I never really understood the basic entries & exits,but if you could explain them to me in English I would come up with a way to avoid,or at least minimize the draw downs to turn this into something.Thanks,Mike.....

StockFetcher Forums · Filter Exchange · TRADING DIVERGENCES ON THE S&P 500<< 1 ... 12 13 14 15 16 ... 33 >>Post Follow-up

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