tombrown1
61 posts
msg #107369
- Ignore tombrown1 |
8/5/2012 10:38:51 PM
Kevin,
Sorry, but I'm not quite understanding this - pardon my ignorance.
When STOCHASTICS %D(5,1,5) BELOW STOCHASTICS %D(5,1,10),1
- you go long on either SSO or SDS
But then you also short them if it is above? So you are always short one and long the other at the same time?
I guess I'm confused by your usage of the word "short". Are you literally meaning to short either of these stocks, or are you meaning "short" to indicate buying into sds?
I tried pasting your code into a backtest, and had horrible results for the last two years with your exit and the trailing stop. However, I don't think I'm backtesting correctly because I don't really understand what you're doing.
Any help will be appreciated, and if I can understand it a little better then maybe I can be of some assistance in backtesting and optimizing.
Best,
Tom
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tombrown1
61 posts
msg #107370
- Ignore tombrown1 |
8/5/2012 10:47:46 PM
Using this as an entry:
SYMLIST(SDS,SSO)
STOCHASTICS %D(5,1,5) crosses BELOW STOCHASTICS %D(5,1,10)
and your exit of:
STOCHASTICS %D(5,1,5) CROSSES above STOCHASTICS %D(5,1,10)
or
3% trailing stop
over the last two years with 2 maximum open positions and 2 trades per day
buying and selling at the open
Your equity summary would've lost about $300 total.
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Kevin_in_GA
4,599 posts
msg #107374
- Ignore Kevin_in_GA |
8/6/2012 8:26:37 AM
Using this as an entry:
SYMLIST(SDS,SSO)
STOCHASTICS %D(5,1,5) crosses BELOW STOCHASTICS %D(5,1,10)
and your exit of:
STOCHASTICS %D(5,1,5) CROSSES above STOCHASTICS %D(5,1,10)
or
3% trailing stop
over the last two years with 2 maximum open positions and 2 trades per day
buying and selling at the open
Your equity summary would've lost about $300 total.
+++++++++++++++++++
I got bad results from SF as well. Two things worth checking:
1. I only saw that SSO was traded, never SDS. Check to see if SDS was ever traded, and if so was it alternating with SSO as it is supposed to be?
2. If you remove the 3% trailing stop, you get 22% return over the last 4 months on the SSO trades. Again, not sure if the stochastics here are calculated in the same manner as they are in Stratasearch.
Also, you should only have 1 position open and 1 trade per day.
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Kevin_in_GA
4,599 posts
msg #107375
- Ignore Kevin_in_GA |
8/6/2012 8:28:11 AM
Also, to make it simpler just ignore the "go_short" column, as this is simply to confirm that the mirror image ETF is sending the opposite signal at the same time.
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Nickster8074
53 posts
msg #107381
- Ignore Nickster8074 |
8/6/2012 10:19:02 AM
I backtested this filter by hand using the opening price the day following the signal and had some mighty impressive results. The only difference is that I used 3% stop loss as opposed to a 3% trailing stop loss. After commissions, I came up with slightly more than a 51% return from 4/4/12 to 8/3/12, a four month period. It seems quite choppy, but the results speak for themselves. Excellent filter once again Kevin!
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blumberg
27 posts
msg #107383
- Ignore blumberg |
8/6/2012 11:45:24 AM
The last four months were extremely choppy, therefore a stochastic crossover system has worked very well. I don't see how it would perform well during a trending market.
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Kevin_in_GA
4,599 posts
msg #107384
- Ignore Kevin_in_GA |
8/6/2012 11:59:05 AM
Just look at 2008 for a down trending market and post March 2009 for an uptrend. The graph I posted shows the net equity generated during those times. Both were solid.
Nice thing about this filter is a lot of people can use it at the same time and not skew the results, since the liquidity on these two ETFs is insanely high.
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tennisplayer2
210 posts
msg #107385
- Ignore tennisplayer2 |
8/6/2012 12:31:17 PM
Please correct me if I'm wrong, but I thought that when %D5 crosses above %D10, we should be long the market (in SSO) and when %D5 crosses below %D10 we should be out of the market (or in SDS). Thanks.
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Kevin_in_GA
4,599 posts
msg #107386
- Ignore Kevin_in_GA |
8/6/2012 12:49:31 PM
Consider yourself corrected - it is the other way. Seems counterintuitive but that's the way the filter works.
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VenturaTrader
44 posts
msg #107405
- Ignore VenturaTrader |
8/6/2012 10:40:28 PM
Also, to make it simpler just ignore the "go_short" column, as this is simply to confirm that the mirror image ETF is sending the opposite signal at the same time.
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Way to go Kevin!!
To avoid confusion I just took the "go_short" column out of your filter so the short signals are not seen. For those of us who are color blind it makes it easier to see the signals. Nice job!
Mike
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