StockFetcher Forums · Filter Exchange · TRADING DIVERGENCES ON THE S&P 500<< 1 ... 28 29 30 31 32 ... 33 >>Post Follow-up
miko
68 posts
msg #114388
Ignore miko
7/9/2013 10:28:26 PM

Was today an exit signal from all open positions?

Kevin_in_GA
4,539 posts
msg #114391
Ignore Kevin_in_GA
7/9/2013 10:49:17 PM

Yes. No current divergences are in play and the exit signal triggered. Note that Friday was also an exit day.

Just to let everyone know, I have re-optimized the divergence filters. They have been consistent winners (and will likely continue to be) but they were developed 10 months ago using a look-back period of about 5 years. I felt it was time to update them with the recent data. The new filters have higher win percentages and better Sharpe ratios, but are likely to trigger a bit less frequently than this set.


They are now the revised Pangolin D system on Collective2.

miko
68 posts
msg #114411
Ignore miko
7/10/2013 7:15:05 PM

Thx, somehow I missed the Jul 5 exit signal.

tomm1111
198 posts
msg #114748
Ignore tomm1111
modified
8/4/2013 10:03:57 PM

wrong post - looking for pangolin z

Kevin_in_GA
4,539 posts
msg #114784
Ignore Kevin_in_GA
modified
8/7/2013 10:02:45 AM

9 signals firing off today - 8 at the end of the day yesterday. This set of filters has generally had a win % in the upper 80s to low 90s, so now might be a good time to consider taking a long position (^SPX is at 1687.00 right now).

jackmack
333 posts
msg #114786
Ignore jackmack
8/7/2013 10:57:50 AM

Thank you
Love this filter set
Cheers

marine2
829 posts
msg #114823
Ignore marine2
8/9/2013 3:58:28 PM

Kevin, or whoever can answer this question, I am new on this forum "Trading Divergences" situation. What page can I find your filter that we would use to trade SPY (S&P 500)?

Dylan
27 posts
msg #114874
Ignore Dylan
modified
8/13/2013 7:58:43 PM

I realize these filters were tested using 2007-2012 data. However, if my backtesting serves me correctly, the RSI Divergence filter

triggered a buy signal on 3/20/2002 and a sell on 8/15/2002, 103 trading days held, max drawdown -32.6%, loss -19.5%. How

would you manage a trade with this type of drawdown should history repeat it self? thx in advanced, Dylan

Kevin_in_GA
4,539 posts
msg #114875
Ignore Kevin_in_GA
8/13/2013 8:05:59 PM

I would accept it as part of the system, and hope it doesn't happen again. That's about as honest as I can be - every system has a subset of bad trades, some of them really painful. Over time, does the system beat the market? Does it usually steer you clear of trouble? If so (meaning more than 80% of the time) then don't adjust it.

Kevin_in_GA
4,539 posts
msg #114876
Ignore Kevin_in_GA
8/13/2013 8:07:15 PM

Kevin, or whoever can answer this question, I am new on this forum "Trading Divergences" situation. What page can I find your filter that we would use to trade SPY (S&P 500)?

I use the composite filter on page 2 of this thread.


StockFetcher Forums · Filter Exchange · TRADING DIVERGENCES ON THE S&P 500<< 1 ... 28 29 30 31 32 ... 33 >>Post Follow-up

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