StockFetcher Forums · Filter Exchange · A set of trading rules regarding SPY and SH :<< 1 2 3 4 >>Post Follow-up
1 posts
msg #122928
2/24/2015 9:14:05 PM

I think one of the reasons why it didn't work before 2008 is because I'm pretty sure that was a different market then either up or down. I think it was flat if I remember. So your system would need 2 more additions:

Just a thought on an old thread lol.

991 posts
msg #122938
Ignore mahkoh
2/25/2015 2:00:01 PM

I would rather think it may have something to do with ^VIX being used as an entry indicator. Since 2007 VIX options and futures have become more and more prominent hedging instruments for the big players.

991 posts
msg #123028
Ignore mahkoh
3/4/2015 2:02:06 PM

Still pretty intrigued by this filter. As both the graphs from cidrolin and the workbook created by frsrblch show results that are truly amazing.
Especially the excelworkbook where SSO is used instead of SPY to generate leverage; it turns $1000 into $110.000 in 8 years!

But I have learned that whenever things seem to good to be true they usually are. However, one can check every calculation and every single trade in the workbook, and I would say everything seems in order.

There are just a few things that keep me wondering.

(btw Check frsrblch's post on page 2 for the location of the workbook)

The first thing that strikes me is that the workbook is always in trade during bear market, either long when CMF(14) is below 0 and short when CMF(14) is above 0. It does work out well, but I do not get the impression that it is Cidrolin's original intention.

Next is the calculation of CMF(14). SPY high, low and close are used to calculate the Money Flow Multiplier, but then ^SPX Volume is used to calculate the actual CMF. Normally I would assume to use SPY volume? However, when correcting for that the start amount of $1000 suddenly becomes $60.000. Still very respectable, but why would this cut profitability in half? Did someone accidentally stumble upon the holy grail of indicators? It does seem to create some more whipsaws, although the actual number of trades are not affected; 48 switches when using ^SPX volume, 47 trades using SPY. Furthermore it appears to have an effect on the long trades, average profitability drops from 2.67 % to 1.98 % while the short trades go from an average 4.07 % to 3.39 %.

As CMF is only used in bear market, it does not affect bull market results.

I'm not sure whether Cidrolin and frsrblch are still active on the board as there are no recent posts from them, but any thoughts on this are welcome.

StockFetcher Forums · Filter Exchange · A set of trading rules regarding SPY and SH :<< 1 2 3 4 >>Post Follow-up

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