Kevin_in_GA
4,599 posts
msg #107664
- Ignore Kevin_in_GA |
8/16/2012 8:23:47 AM
RSI(42) and MA(100) - when RSI(42) is above MA(100) = go long SSO or go long SDS when below - and
CCI(220) and MA(55) - when CCI(220) is above MA(50) = go long SSO or go long SDS when below
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I think what you are trying to say is "when the RSI(42) is above the CMA(RSI(42),100) - the 100 day moving average of the RSI(42) - go long". Is that what you meant here? Otherwise this makes no sense.
If that is what you are saying, can you also explain where these numbers came from?
I still stand by the basic premise that the simpler a filter is, the better. The fewer indicators used, the better.
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jackmack
334 posts
msg #107665
- Ignore jackmack |
8/16/2012 9:05:13 AM
Springhill - I have not been using this as a filter as I have not been able to include it in SF.
Kevin - yes go long SSO when the RSI crosses above the MA.
I have to give all credit on this to John Tast at Stock Charts http://stockcharts.com/public/1173967
This will give the visual of what I am trying to explain but it becomes pretty clear when you see it.
So my thinking was that once these conditions occured they could be used as an additional entry condition.
Hope this helps - but again I am not able to write the script in SF but would love to see if someone could
and then run back tests on it to see if results were any better.
Thanks
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mrmenstig
20 posts
msg #107677
- Ignore mrmenstig |
8/16/2012 12:07:10 PM
how do you get the go long/short to appear in the filter results even if i click on the filter you posted in the forum i still dont see it just the code for it
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jackmack
334 posts
msg #107678
- Ignore jackmack |
8/16/2012 12:20:03 PM
Kevin - looks like you call on long SSO is correct once again
Nicely done
Cheers
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Kevin_in_GA
4,599 posts
msg #107684
- Ignore Kevin_in_GA |
8/16/2012 3:20:19 PM
Jack:
Actually not a good call - the system still has you in SDS until tomorrow's open.
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tennisplayer2
210 posts
msg #107691
- Ignore tennisplayer2 |
8/17/2012 10:14:55 AM
Sold SDS for a loss, not a big deal (I still think that this will payoff in the long run). I still don't trust this up move, so to play it safe, I will not buy SSO this time. I maybe wrong, but I rather be safe. BTW, Kevin's weekly filter (TAA) said to move into SPY last Friday. I will continue to go with his monthly filter which have one in AGG. Kevin, once again, thanks for hard work.
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tennisplayer2
210 posts
msg #107692
- Ignore tennisplayer2 |
8/17/2012 10:16:48 AM
Jack, that rsi(42) crossing the ma100 has peaked my interest. Thanks for sharing.
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Kevin_in_GA
4,599 posts
msg #107699
- Ignore Kevin_in_GA |
8/17/2012 1:58:42 PM
Kevin were you able to run the data in back test with the stops as none and then at 1% - 10% yet?
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I looked at adding trailing stops from 1% to 20%, and just as before the 3% stop is the most profitable. This is one of the few instances I have seen where the addition of a stop (of any kind) resulted in more profit.
I know there are those will will argue, perhaps vehemently, that stops are critical to long-term success. I am not challenging their beliefs. I simply have not seen that many systems that traded better in a rigorous back test with a stop rather than without one.
Without a stop it still did quite well, but had a lower CAGR and a lower Sharpe ratio.
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Billirider321
62 posts
msg #107799
- Ignore Billirider321 |
8/24/2012 3:53:57 PM
As per the model we should be going long this mornig. Is anybody following this strategy.
thanks
Bill
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novacane32000
331 posts
msg #107800
- Ignore novacane32000 |
8/24/2012 5:00:18 PM
Bill- The SSO signal to go long was on 8/16/12.
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