Eman93
4,750 posts
msg #107944
- Ignore Eman93 |
9/6/2012 7:00:17 PM
I think when all 3 happen at the same time you get a move like today....
The only thing you can control is the risk... that is it..
the only thing charts do is graphically plot price and volume over time.. those are the only facts you have, the rest is mathematical models of the facts.
its simple but the hardest thing I have ever done......LOL.... but I have never run with the bulls...GLT
http://stockcharts.com/public/1424685/chartbook/129091841
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novacane32000
331 posts
msg #107945
- Ignore novacane32000 |
9/6/2012 7:41:43 PM
Page one shows this filter has had 7 consecutive losses in BT.
2011 had a streak where 6 of 8 trades were losers starting around April but then the next 13 of 14 trades were winners.
As Kevin mentioned-sometimes we just need to recognize when a market is news driven.
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BarTune1
441 posts
msg #107946
- Ignore BarTune1 |
9/6/2012 7:51:57 PM
Eman is dead on when he says the only thing you can control is the risk. I have played pretty much only pairs the last two to three weeks and todays move had little effect on my portfolio despite the large move in the indexes.
I did however start taking short positions late in the day (APOL, ESI, JCP,QSII). I am concerned a little with the jobs number tomorrow and a possible carry over, but I manage risk by position size and will add likely add to the shorts late tomorrow if the market spikes up again.
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novacane32000
331 posts
msg #107969
- Ignore novacane32000 |
9/9/2012 3:19:46 PM
Kevin , are you ok with posting your stratsearch startegy syntax for this filter?
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Kevin_in_GA
4,599 posts
msg #107970
- Ignore Kevin_in_GA |
9/9/2012 4:42:16 PM
Stratasearch Code:
Entry
crossbelow(stochd(5, 1, 5,simple),stochd(5, 1, 10,simple))
Exit
crossabove(stochd(5, 1, 5,simple),stochd(5, 1, 10,simple)) or
traildown(3,unleveraged)
Entries and exits are the default
ref(open,1)
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novacane32000
331 posts
msg #107977
- Ignore novacane32000 |
9/9/2012 8:10:44 PM
Thanks
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jackmack
334 posts
msg #108007
- Ignore jackmack
modified |
9/11/2012 10:34:46 AM
Kevin,
Was the STOCHASTICS %D(5,1,5) %D(5,1,10) the one that created the greatest number of potential profitable trades or is it possible that a different time frame for cross above/below in the oscillator might produce better results?
Just asking
Thank you
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Kevin_in_GA
4,599 posts
msg #108009
- Ignore Kevin_in_GA |
9/11/2012 11:05:37 AM
Highest APR, low drawdown, high Sharpe ratio. Those were the criteria I loked for.
This specific combination was the highest APR and among the highest Sharpe and lowest drawdown.
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duke56468
683 posts
msg #108011
- Ignore duke56468 |
9/11/2012 1:15:26 PM
On this last trade a trailing 3% stop would have saved you several hundred dollars (depending on the size of the position) over a hard 3% stop. However in the backtests I did, a trailing stop did considerably worse over a 4 mo period.
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Kevin_in_GA
4,599 posts
msg #108012
- Ignore Kevin_in_GA |
9/11/2012 2:38:06 PM
Note: The addition of a 3% trailing stop here generated the best overall performance since 1/2/2007, as I had shown in the first post. The last four months is not necessarily representative of the system's long term performance.
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