StockFetcher Forums · Filter Exchange · TRADING DIVERGENCES ON THE S&P 500<< 1 ... 16 17 18 19 20 ... 33 >>Post Follow-up
Kevin_in_GA
4,542 posts
msg #112329
Ignore Kevin_in_GA
3/19/2013 7:35:23 PM

OK, so as of today there are 9 of 10 Divergence filters in a trade (the Aroon up divergence filter triggered today making it nine in total).

I will be going long in SPY tomorrow - trade well.

Cheese
118 posts
msg #112332
Ignore Cheese
3/19/2013 11:12:38 PM

Thanks again Kevin, for sharing your research and findings with all of us. This is a great thread.

If convenient and possible, please bring the results on StockFetcher more in line with your original,
more accurate research work on Strata Search. At the time of writing, your filters on StockFetcher
show a total of 6 comp, not 9 as you got from Strata Search. (The total on StockFetcher went up from 6 to 8,
then back down to 6 when run during the day on Mar 19.)

Best regards.

Kevin_in_GA
4,542 posts
msg #112338
Ignore Kevin_in_GA
3/20/2013 11:50:43 AM

Cheese - there are 9 of the filters currently in a trade, not necessarily currently showing a divergence. Here is what I have as of last night:

Side Action PF Order Type Product Symbol Name Buy Date Buy Price Close Price GainLoss System Name Sector Priority Rank
----- ---------- -- ---------------- ----------- --------------- ----------------------------------- ---------- ----------- ----------- -------- -------------------------------------------------- -------------------------------------------------- -------- --------------------
Long Buy 10 Market Stock ^SPX S&P 500 Index 1548.3400 aroon up div #1 sp500
Long Hold 10 Stock ^SPX S&P 500 Index 03/19/2013 1552.1000 1548.3400 -0.24% PDI Divergence #1 sp500
Long Hold 10 Stock ^SPX S&P 500 Index 03/07/2013 1541.4600 1548.3400 0.45% RMI Divergence #1 sp500
Long Hold 10 Stock ^SPX S&P 500 Index 03/07/2013 1541.4600 1548.3400 0.45% SMI Divergence #1 sp500
Long Hold 10 Stock ^SPX S&P 500 Index 03/08/2013 1544.2600 1548.3400 0.26% WLR(14) Divergence #1 sp500
Long Hold 10 Stock ^SPX S&P 500 Index 03/08/2013 1544.2600 1548.3400 0.26% RSI Divergence #1 sp500
Long Hold 10 Stock ^SPX S&P 500 Index 03/08/2013 1544.2600 1548.3400 0.26% QST Divergence #1 sp500
Long Hold 10 Stock ^SPX S&P 500 Index 03/19/2013 1552.1000 1548.3400 -0.24% LRS Divergence #1 sp500
Long Hold 10 Stock ^SPX S&P 500 Index 03/07/2013 1541.4600 1548.3400 0.45% CMF Divergence #1 sp500


Cheese
118 posts
msg #112345
Ignore Cheese
3/20/2013 3:47:49 PM

Thank you for the clarification, Kevin.


jackmack
333 posts
msg #112352
Ignore jackmack
3/20/2013 7:49:09 PM

Kevin
I know you are going to hate me for this but I was wondering if you might be able to go over the entrance and exits on 3 of the filters for me over the last 6 months (essentially since this thread started). **QST12DIV -- RSI10DIV -- STD325DIV **
I understand looking at the filter each day and seeing if the divergence for that particular filter is signaling an entry (or exit)
but looking back it just is not that clear (to me anyway) on the charts as there are odd things going on where one could have been in a trade for days and had 1,2 or even 3 exit signals but the entry signal is still present.
I am just trying to figure out how that relates to if I entered into a position and clearly had a "1" to enter but several days later the "1" for an exit appeared but I was still to stay in the trade? I would have thought the enter signal would drop off when the exit signal appeared and that is I guess what is making the review difficult.
Please forgive my stupidity but some things just do not come to me very easy.
I very much appreciate all you have done here and all you have shared I just really want to learn how to best use the 3 filters I asked about above to better my returns (and actually understand why I will be making a trade per the filter).
Again sorry if this is hard for you to do since you put it out and it's up to me to use as I see fit but I just want to understand this correctly.
Thank you
Cheers


Kevin_in_GA
4,542 posts
msg #112356
Ignore Kevin_in_GA
3/20/2013 9:28:26 PM

Entry and exit signals are not mutually exclusive. The system is mechanical, and so in any backtest the system will exit when an exit signal is triggered, and if an entry is also triggered it just buys back in at the open the next day. Most folks would probably just stay in the trade.

jackmack
333 posts
msg #112363
Ignore jackmack
3/21/2013 2:00:27 PM

Okay Kevin
Thank you
Would it then be correct for me to pick the 3 filters I mentioned above - wait for a divergence "entry" to signal on each one independently and enter each accordingly.
Then wait to exit ONLY when I get the exit signal by itself otherwise stay in the trade.
Then wait once again to get back in each one when the divergence signaled again?
Is this correct?
Thank you

Kevin_in_GA
4,542 posts
msg #112364
Ignore Kevin_in_GA
3/21/2013 3:59:49 PM

Basically, yes. You can trade this a number of different ways, but the approach you just described would be what I would do. In essence you are betting on the past high win% record of each of the three filters you indicated, all of which are currently in a trade.

My only caveat would be that if they are already in a trade and it is near the average profitability seen for each filter as I showed in the first post of this thread, you are better waiting. The odds of getting further gains is reduced. On the other hand, if they are in a trade which is currently at a small loss, I would say go for it.

Just my opinion, not any professional advice here.

jackmack
333 posts
msg #112365
Ignore jackmack
3/21/2013 4:17:03 PM

Thank you
Have you ever thought of creating one for the small or mid caps as well?
Just curious
Cheers

Xglassm
5 posts
msg #112367
Ignore Xglassm
3/21/2013 8:42:27 PM

Kevin, I was wondering if the win rates posted on the first page are based on a backtest which allowed multiple positions on each filter, or if itís based on the system you describe above (i.e. entering a filter only once, the first time it hits). I also want to thank you for all your help on the boards, I feel like there are a lot of people like me who aren't very vocal but really appreciate all your help.



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