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Kevin_in_GA
4,599 posts
msg #140220
- Ignore Kevin_in_GA

12/19/2017 10:29:48 AM

Not really. This requires the filter to know the entry price. SF does not retain this type of data (although it should).

You might be able to add the entry price as a set statement (using the date() function) and then set a trigger at that value * 0.95?

graftonian
1,089 posts
msg #140222
- Ignore graftonian

12/19/2017 11:10:07 AM

After I pressed the enter key, I knew that was a dumb question.
Here is my attempt at Filter 1

Fetcher[
/*********XIV 1 ***********/
symlist(XIV, UPRO, TQQQ, NUGT, JNUG)
add column ROC(10,1)
sort on column 5 descending
CHART-TIME IS 1 YEAR

/***Projection Oscillator(8)***/
SET{VAR1_UP, COUNT(Projection Oscillator(8) GAINED MORE THAN 7% OVER THE LAST 11 DAYS,1)}
SET{VAR1_DN, COUNT(Projection Oscillator(8) DROPPED MORE THAN 7% OVER THE LAST 11 DAYS,1)}

SET{VAR2_UP, COUNT(MA(3) GAINED MORE THAN 7% OVER THE LAST 11 DAYS,1)}
SET{VAR2_DN, COUNT(MA(3) DROPPED MORE THAN 7% OVER THE LAST 11 DAYS,1)}

SET{POS_DIV, VAR1_UP * VAR2_DN}
SET{NEG_DIV1, VAR1_DN * VAR2_DN}
SET{NEG_DIV, NEG_DIV1 * -1}
SET{ENTRY1, COUNT(POS_DIV EQUALS 1, 1)}
SET{TRIGGER, ENTRY1}
DRAW TRIGGER

/***MACD()***/
SET{MACD_CEMA, CEMA(MACD(), 17)}
SET{EXIT1, COUNT(MACD() CROSSED ABOVE MACD_CEMA, 1)}
DRAW EXIT1

/***
A 5% stoploss is part of this signal, but how does one code that?
***/

]

nibor100
1,096 posts
msg #140234
- Ignore nibor100

12/19/2017 3:19:16 PM

@graftonian,

I've been working on Kevin filter #10, which I will post when finished with comparative testing of SF results vs. SS data.

Thanks,
Ed S.

graftonian
1,089 posts
msg #140236
- Ignore graftonian

12/19/2017 3:31:39 PM

roger that, Nibor.
#11 was to easy, I must be missing something.

Kevin_in_GA
4,599 posts
msg #140247
- Ignore Kevin_in_GA

12/20/2017 8:05:47 AM

My signal email from last night - 2 new BUY signals:

Side	Action	PF	OrderType	Product	Symbol	Name	BuyDate	BuyPrice	ClosePrice	GainLoss	System Name
Long	Buy	10	Market	Stock	XIV	XIV			134.81		XIV MULTISYSTEM #20
Long	Buy	10	Market	Stock	XIV	XIV			134.81		XIV MULTISYSTEM #35
Long	Hold	10		Stock	XIV	XIV	12/19/2017	135.5	134.81	-0.51%	XIV MULTISYSTEM #33
Long	Hold	10		Stock	XIV	XIV	12/18/2017	135.17	134.81	-0.27%	XIV MULTISYSTEM #40
Long	Hold	10		Stock	XIV	XIV	12/5/2017	116.7	134.81	15.52%	XIV MULTISYSTEM #23
Long	Hold	10		Stock	XIV	XIV	12/18/2017	135.17	134.81	-0.27%	XIV MULTISYSTEM #6

Kevin_in_GA
4,599 posts
msg #140313
- Ignore Kevin_in_GA

12/22/2017 9:06:33 AM

New signals for today - I noticed that for some reason the signal for 12/19 (#33) is not showing up. Not sure why.

Long	Buy	10	Market	Stock	XIV	XIV			136.09		XIV MULTISYSTEM #32
Long	Hold	10		Stock	XIV	XIV	12/5/2017	116.7	136.09	16.62%	XIV MULTISYSTEM #23
Long	Hold	10		Stock	XIV	XIV	12/18/2017	135.17	136.09	0.68%	XIV MULTISYSTEM #40
Long	Hold	10		Stock	XIV	XIV	12/20/2017	137.04	136.09	-0.69%	XIV MULTISYSTEM #35
Long	Hold	10		Stock	XIV	XIV	12/20/2017	137.04	136.09	-0.69%	XIV MULTISYSTEM #20
Long	Hold	10		Stock	XIV	XIV	12/18/2017	135.17	136.09	0.68%	XIV MULTISYSTEM #6

mahkoh
1,065 posts
msg #140341
- Ignore mahkoh
modified

12/23/2017 6:05:11 AM

I have noticed that it is not uncommon for Yahoo to have a way off price (usually the open) and to correct that in the next couple of days.

Looking forward to following your new thread. You state that it is a problem to use SS for weekly data. I agree that transposing all formulas into weekly would indeed be a pain. But how about going the oppsite way, importing weekly prices as an ASCI file and run the regular formulas against that data?

Kevin_in_GA
4,599 posts
msg #140343
- Ignore Kevin_in_GA

12/23/2017 7:53:50 AM

That would work. I haven�t tried it yet but I have found with combined long and short systems SS tends to give you win rates that are in the 70/80% range over longer time frames. Certainly good but not at the level I�m seeing with the NN systems.

Maybe a contest to see who can produce the best XIV long and short system from 2011-2017 using either daily or weekly data?

mahkoh
1,065 posts
msg #140364
- Ignore mahkoh

12/24/2017 6:56:24 AM

As you already have a complete system for XIV, shall we do GDX? If the neural networks are about spotting a pattern and expecting this pattern to continue; well, in hindsight even I could have spotted the pattern in XIV over the last 2 years. The GDX chart however is a different animal and might just prove to be a challenge for Neuromaster. I know it is a challenge for SS as I have tried several but have yet to find strategies that are consistent going forward.

I have purchased the software as well by the way, after all the PS4 I'm getting my son for X-mas is more expensive and of that I'm sure it will not pay for itself. As I understand support is pretty much nonexistent so you'll probably be hearing from me when I encounter issues..

GDX data starts in May 2006, that's 11 years or 570 bars. Roughly the same as a 2 year backtest when based on daily data. Currently, after 8000 runs I'm looking at 86 % profitability and 6% annual return on a portfolio size of 10.

Kevin_in_GA
4,599 posts
msg #140369
- Ignore Kevin_in_GA

12/24/2017 4:44:55 PM

HOW ABOUT THIS?

Weekly data used (I did three separate OneClick runs and combined them). Portfolio of 10 returns 21.78% per year, annualized Sharpe ratio is a ridiculously high 4.22. Win percentage is not astounding (73%). Total number of trades is 296 (about 50/50 long and short).

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