drew9
171 posts
msg #107426
- Ignore drew9 |
8/7/2012 12:20:14 PM
Hi Kevin,
After reviewing this, it is again some really nice work! If you really look at the signals, they tend to be a leading indicator of what is to come. If you moved the entries one or two days after the signal, the results appear to be much better. Perhaps you may want to run the backtest and try it? I think this is really impressive to use as a heads up with other indicators to confirm possible entries and exits. It seems to be dead on with a two day lag in choppy markets. I love leading indicators and this is one to add to the collection. Thanks!
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tombrown1
61 posts
msg #107428
- Ignore tombrown1 |
8/7/2012 1:30:09 PM
I understand they are from the high, but intraday high or end of day high? Also, do you sell intraday when stop is hit immediately? I can take some guesses, but I just wanted to make sure we are on the same page.
Best,
Tom
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Kevin_in_GA
4,599 posts
msg #107429
- Ignore Kevin_in_GA |
8/7/2012 1:58:09 PM
In backtesting, the daily low will be used to see if the trailing stop is triggered. Looking this up, the trailing stop is based off the close, not the high. Here is the Metastock formula for calculating it.
SVE_Stop_Trail%
perc:=Input("Trailing Loss % :",0,100,14);
loss:=C*perc/100;
trail:=
If(C>PREV AND Ref(C,-1)>PREV,
Max(PREV,C-loss),
If(CMin(PREV,C+loss),
If(C>PREV,C-loss,C+loss)));
Trail
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voidcomp
23 posts
msg #107431
- Ignore voidcomp |
8/7/2012 3:01:44 PM
How does this do with weekly periodicity, understanding that drawdown and return would probably be compromised in favor of fewer trades?
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duke56468
683 posts
msg #107445
- Ignore duke56468 |
8/7/2012 9:27:49 PM
Shouldn't I be able to sort on column 5 descending, and have either SSO or SDS pop to the top? I thought this would help in backtesting. Didn't seem to work.
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Kevin_in_GA
4,599 posts
msg #107448
- Ignore Kevin_in_GA |
8/7/2012 10:20:10 PM
By adding the line
ADD COLUMN SEPARATOR
before "add column go_long", the separator becomes column 5. Try sorting on column 6 descending.
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olathegolf
119 posts
msg #107450
- Ignore olathegolf
modified |
8/7/2012 11:31:16 PM
Nice, Kevin. Thanks.
Anyone interested in backtesting manually can download (and modify) a stochastics spreadsheet from: http://stochastics.weebly.com/
**Update: Looks like this is not free but you may find the link useful.**
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Kevin_in_GA
4,599 posts
msg #107463
- Ignore Kevin_in_GA |
8/8/2012 10:59:19 AM
Looking at today's values from stockcharts.com, freestockcharts.com and here on SF, the system will signal a move to go long on SSO at the end of the day (assuming no massive drop that would keep the current SDS trade going).
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springhill
74 posts
msg #107473
- Ignore springhill |
8/8/2012 5:35:51 PM
Kevin,
Looks like SSO triggered long today.
But,,, it looks very oversold with Stochs above 75 and RSI(2) above 90
What do you think?
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Kevin_in_GA
4,599 posts
msg #107474
- Ignore Kevin_in_GA |
8/8/2012 5:56:39 PM
I will be buying SSO tomorrow at the open, unless there is a gap down that would get me in at a better price.
I have been skeptical of this rally for a while, looking at historical trends for this time of year and also relying on my RS systems, which have me in bonds. But this approach has consistently delivered YTD with a success rate of 75%, and is now up over 50%. We could argue about the meaning of RSI(2) over 90 or any other indicator all day, but you really can't argue with actual performance.
These trades typically last 3-6 days. Any indicator can stay overbought for that long, or longer.
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