StockFetcher Forums · Filter Exchange · TRADING DIVERGENCES ON THE S&P 500<< 1 ... 14 15 16 17 18 ... 33 >>Post Follow-up
683 posts
msg #111538
Ignore duke56468
2/20/2013 9:14:01 AM

sohail....Here is how I trade the filter....If I am in cash I wait until 2 filters hit using mahkoh's composite filter on page 2. I enter the next morning at the open. When the exit hits I exit the next day at the open. I do not enter if both the entry and exit hit the same day even if 2 filters hit. The only way I have been able to backtest is to chose one specific filter and use that to represent the composite. Not ideal I know but I'm not much of an expert at this stuff.
Hope this helps

640 posts
msg #111540
Ignore mahkoh
2/20/2013 9:32:48 AM

If you want to enter only when there is no exit add this to your filter

set{exit1, count(close reached a new 10 day high,1)}
set{exit2, count(ROC(15,1) is below ROC(15,1) 10 day high,1)}
set{exit, exit1 * exit2}
count(exit below 0.5,1) above 0

192 posts
msg #111541
Ignore sohailmithani
2/20/2013 11:35:17 AM

Thanks Duke and Mahko really apreciate your response.

Duke one more clarification . Lets say yesterday you were holding six units of spy. End of today entries show 8 units of spy but it also shows the exit signal. In this case will you sell everything tomorrow and will not enter until the exit signal is gone and atleaset two buy signals are there?

192 posts
msg #111560
Ignore sohailmithani
2/20/2013 10:22:00 PM

As per strategy are we supposed to buy 6 units of SSO?

683 posts
msg #111566
Ignore duke56468
2/21/2013 7:59:23 AM

sohail...I am taking a full position when 2 filters hit the trigger (not 6). I should say that I manually back tested this for 12 months and am now paper trading it before jumping in with cash (my usual procedure with any new strategy). This AM I will enter but decide based on the futures whether to enter at the open or wait (not true to the back test). Everyone needs to decide these things for them selves.

3,840 posts
msg #111572
Ignore Kevin_in_GA
2/21/2013 9:06:58 AM

NO. First, you would only buy units if there were buy signals at the end of the day. If there are simultaneous but and sell signals and you are already in on the same divergence trade, I would stay in. If there are current signals in play and no sell signal I would only enter if the Trades are neutral or at a better price.

And I do not advocate using SSO - the system was developed using the actual index (^SPX) and so SPY is the closest trade able proxy. If you use leverage the results will be different (could be better or worse, but will not be the same).

35 posts
msg #111653
Ignore frsrblch
2/22/2013 1:07:59 PM

There seem to be many ways to trade these systems. It would behoove you to analyze different methods of trading with this system. Some people trade single filters, some trade when some number of them have triggered, and others invest incrementally as more filters trigger. You can buy when only the entry signal is triggered, and you can hold when both the entry and exit are triggered.

You can do whatever you want, but you'd be a fool to do anything without first checking it out yourself and deciding whether it's right for you. As Kevin put it: "All I will provide is the codes ... the rest is up to you."

24 posts
msg #111654
Ignore shainadir
2/22/2013 1:25:34 PM

I only trade the signals on the filters with the highest sharp ratios, the SMI filter and QST filter and I trade them separately in that I will take each signal as a trade. For example, on 2/20 the QST gave a buy signal so I went long 1 unit of SSO the next morning. On 2/21 the SMI gave a buy signal so I went long this morning an additional unit of SSO. I will only trade just the 1 unit and will not add if there is another buy signal the next day or thereafter.

For the exits, I treat the signals a little differently. For the QST filter, when ever I get an exit signal, I will exit the trade...even if there is a buy signal the same day. For the SMI filter, I will only exit when the exit signal is given alone.

I will also set a stop loss of 5% based on SPY.

230 posts
msg #111657
Ignore wkloss
2/22/2013 6:25:21 PM

Can Mahkoh's composite be backtested using Stockfetcher and if so, how do you code the exit rule?

3,840 posts
msg #112040
Ignore Kevin_in_GA
3/4/2013 2:22:51 PM

Just noticed - the CMF Divergence filter triggered today.

Update at 3 PM: Now 5 filters are tirggering (CMF, WILLIAMS %R, Q-STICK, RMI, and STOCHASTICS). Looks like it is time to jump in again.

StockFetcher Forums · Filter Exchange · TRADING DIVERGENCES ON THE S&P 500<< 1 ... 14 15 16 17 18 ... 33 >>Post Follow-up

*** Disclaimer *** does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. does not recommend particular securities., Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.

Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus