20dmf

[Pascal]

Although the Upper panel is showing a positive MF, the lower panel has pushed below -90.
If we close below -90, the 20DMF will cover its short position.


Pascal


10706

[barsuk]

Pascal, if cover shorts signal is issued, is this going to be at today's close or tomorrow's open?

[nickola.pazderic]

How will we know that the rubicon has been crossed at the close? Will you inform us?

Thanks always,

[Pascal]

Pascal, if cover shorts signal is issued, is this going to be at today's close or tomorrow's open?

The 20DMF is only a market direction indicator. If the IWM Robot has to close a position, it will do it at the open tomorrow, but nothing is for certain.


Pascal

[Pascal]

How will we know that the rubicon has been crossed at the close? Will you inform us?

Thanks always,

I will not know it myself, so we will wait for tomorrow.


Pascal

[Neil Stoloff]

I will not know it myself, so we will wait for tomorrow.


Pascal


Pascal,

You stated on the IWM robot page, "The profit on the trade was 4.79%." Given all of the above, wouldn't the robot's profit be determined by Wednesday's opening price? That's when we'll be exiting.

Thanks,

Neil

[Pascal]

Pascal,

You stated on the IWM robot page, "The profit on the trade was 4.79%." Given all of the above, wouldn't the robot's profit be determined by Wednesday's opening price? That's when we'll be exiting.

Thanks,

Neil

Yes. You are right. I corrected the text accordingly and will also correct the trade records when we know the opening price today.


Pascal

[Neil Stoloff]

Yes. You are right. I corrected the text accordingly and will also correct the trade records when we know the opening price today.


Pascal

Thanks, Pascal. Forgive me, but I can't find the discussion of the change that occurred in the way you describe the strength of a buy or short signal. Is it still true that "strong buy" and "strong sell" are the trades that can be expected to deliver 80% of the robots' gains while they represent only 20% of all trades? I'm seeking to simplify things....

Thanks again,

Neil

[Billy]

Thanks, Pascal. Forgive me, but I can't find the discussion of the change that occurred in the way you describe the strength of a buy or short signal. Is it still true that "strong buy" and "strong sell" are the trades that can be expected to deliver 80% of the robots' gains while they represent only 20% of all trades? I'm seeking to simplify things....

Thanks again,

Neil

Neil, the changes were explained in the following pdf. Billy
10713

[adam ali]

Billy and Pascal,

This is the first time I've seen this document. I'm surprised as I follow the board religiously. It's odd to me that the rules in this document indicate initiating a trade on parameters other than Strong, and yet the equity curve and drawdown statistics are both based on "Strong" signals. That doesn't make sense.

[Pascal]

Billy and Pascal,

This is the first time I've seen this document. I'm surprised as I follow the board religiously. It's odd to me that the rules in this document indicate initiating a trade on parameters other than Strong, and yet the equity curve and drawdown statistics are both based on "Strong" signals. That doesn't make sense.

The equity curve and the drawdowns statistics are based on "non-neutral" signals


Pascal

[Billy]

Billy and Pascal,

This is the first time I've seen this document. I'm surprised as I follow the board religiously. It's odd to me that the rules in this document indicate initiating a trade on parameters other than Strong, and yet the equity curve and drawdown statistics are both based on "Strong" signals. That doesn't make sense.

Adam, it was online around August 18. Perhaps you were on vacation. Anyway, I'm surprised that you didn't notice the big changes on the robot page, you are usually quick to jump on any detail change.
Billy

[adam ali]

Billy,

Agree - strange I missed it. I did go on vacation just after the 18th so perhaps that accounts for it.

Pascal, not to beat this to death, but the charts show results distinguished by "all signals" and "strong signals". Are non-neutral signals the same as strong signals? Just trying to understand here - thanks.

Also, insofar as yesterday is concerned, you decided to close out your shorts even though the 20DMF didn't close below the -90 level. I assume it was simply a matter of your being able to see significant buying pressure coming into the market in the last hour (as we all could). Was there anything else that prompted your taking this action, however?

It will be nice when the 20DMF is operating in real-time so we can immediately see whether short-covering rallies are being participated in by the large institutions.

[Neil Stoloff]

Neil, the changes were explained in the following pdf. Billy
10713

Thanks, Billy. I feel I must be missing something. The equity curve and drawdown analysis both favor trading only Strong signals. If those are still only 20% of all trades (the doc doesn't seem to confirm this), why would anyone but an action junkie trade any but Strong signals? Frequent trading is a problem for me anyway, and it seems to be punished in RR terms.

Also, is there a comparable doc for GDX? And was the optimal relative weighting of GDX and IWM positions resolved? Finally, is there an easy way to search for answers to questions like these so I don't have to bother you or Pascal? I did a quick search but came up empty.

Thanks again,

Neil

[Pascal]

Thanks, Billy. I feel I must be missing something. The equity curve and drawdown analysis both favor trading only Strong signals. If those are still only 20% of all trades (the doc doesn't seem to confirm this), why would anyone but an action junkie trade any but Strong signals? Frequent trading is a problem for me anyway, and it seems to be punished in RR terms.

Also, is there a comparable doc for GDX? And was the optimal relative weighting of GDX and IWM positions resolved? Finally, is there an easy way to search for answers to questions like these so I don't have to bother you or Pascal? I did a quick search but came up empty.

Thanks again,

Neil


Neil,


I might have been un-precise somewhere.
The IWM Robot does not trade neutral signals, but trade all the other signals.

The GDX Robot has not been changed.


Pascal

[Neil Stoloff]

Neil,


I might have been un-precise somewhere.
The IWM Robot does not trade neutral signals, but trade all the other signals.

The GDX Robot has not been changed.


Pascal


Thanks Pascal,

Of course the robots don't trade neutral signals, but they do trade Buys and Strong Buys alike. My original question at 3:59 applied (perhaps mistakenly) to both GDX and IWM: "Is it still true that "strong buy" and "strong sell" are the trades that can be expected to deliver 80% of the robots' gains while they represent only 20% of all trades?"

Billy answered with the IWM pdf, which seemed to show that both returns (in the equity curve) and risk (in the drawdown analysis) favored trading only Strong signals. So my question: Why should I trade any but Strong signals?

And was I mistaken that a similar dynamic applies to GDX, even with no changes?

I will limit myself to two questions per post.

Thanks,

Neil

[adam ali]

Neil,

My understanding is that the graphs you mention in the study, although they do say "Strong Signals", are mislabeled, as they include both buy/strong buy and sell/strong sell signals.

Billy indicated this was so today, but I'll let him/Pascal correct me if I'm wrong.

[Neil Stoloff]

Neil,

My understanding is that the graphs you mention in the study, although they do say "Strong Signals", are mislabeled, as they include both buy/strong buy and sell/strong sell signals.

Billy indicated this was so today, but I'll let him/Pascal correct me if I'm wrong.


Hi Adam,

I was referring to the graphs on pp. 5-6 that compare strong signals to all signals. (The_IWM_Robot_Evolution[1].pdf)

Neil

[adam ali]

Yep, I know.

Assuming what you are alluding to is the fact there are two meaures in those graphs, one for All Signals, and the other for Strong Signals, and assuming you are assuming the Strong Signals are just that, strong signals.

I first thought the Strong Signals only looked at the strong signals for the IWM Robot. Apparently, I am wrong and the Strong Signals include all "non-neutral" signals, i.e., both buy and strong buy signals (for long entries).

My assumption about the nature of your question could be wrong, of course.

[Neil Stoloff]

Yep, I know.

Assuming what you are alluding to is the fact there are two meaures in those graphs, one for All Signals, and the other for Strong Signals, and assuming you are assuming the Strong Signals are just that, strong signals.

I first thought the Strong Signals only looked at the strong signals for the IWM Robot. Apparently, I am wrong and the Strong Signals include all "non-neutral" signals, i.e., both buy and strong buy signals (for long entries).

My assumption about the nature of your question could be wrong, of course.


You understood my question perfectly, Adam. But how is it possible to interpret those graphs any other way? Your definition of strong signals above would result in comparing identical things, which is not what the graphs depict (and why would they?). Pascal's previous message was, "The IWM robot does not trade neutral signals." So, "all signals" must be all buys and sells + all strong buys and strong sells. "Strong signals" would be just those.

I breathlessly await clarification.

Neil

[adam ali]

Much as I would like to provide clarification, I can only say I originally read things as you do/did.

I believe the distinction here is that in the past the IWM Robot would trade neutral signals, leaving it to Billy to determine whether the trade should be long or short depending on his pivot setups. (I think I have this right.)

So "All Signals" includes those trades as well as the buy/strong buy and sell/strong sell trades; the "Strong Signals" measures only includes buy/strong buy and sell/strong sell signals.

Pascal/Billy need to confirm this, to be sure.

[Neil Stoloff]

Much as I would like to provide clarification, I can only say I originally read things as you do/did.

I believe the distinction here is that in the past the IWM Robot would trade neutral signals, leaving it to Billy to determine whether the trade should be long or short depending on his pivot setups. (I think I have this right.)

So "All Signals" includes those trades as well as the buy/strong buy and sell/strong sell trades; the "Strong Signals" measures only includes buy/strong buy and sell/strong sell signals.

Pascal/Billy need to confirm this, to be sure.


Thanks Adam,

I found the other thread you referred to, and Billy does confirm your understanding. I wish I could stop bothering you (or Pascal or Billy), but I'm still left with my original question. The Evolution paper does not quantify the RR advantage in trading only "strong" signals as they are labeled on the robot page (differently from how the paper defines them). I have the same question regarding the GDX robot even though there have been no recent changes to it. I remember a discussion on this topic stating that "strong" signals -- 20% of all signals -- are responsible for 80% of the robots' gains. Do you (or Billy or Pascal) know if this is still correct for either or both robots?

Thanks again,

Neil

[adam ali]

I do recall the discussion but not clearly enough to give a definitive answer.

Will have to wait for Pascal/Billy.

[Pascal]

Much as I would like to provide clarification, I can only say I originally read things as you do/did.

I believe the distinction here is that in the past the IWM Robot would trade neutral signals, leaving it to Billy to determine whether the trade should be long or short depending on his pivot setups. (I think I have this right.)

So "All Signals" includes those trades as well as the buy/strong buy and sell/strong sell trades; the "Strong Signals" measures only includes buy/strong buy and sell/strong sell signals.

Pascal/Billy need to confirm this, to be sure.

Yes Adam, your understanding is correct.


Pascal

[adam ali]

Good, Pascal.

But Neil had another question I couldn't answer for him having to do with strong signals only (see above). I know you discussed this in a prior post some time ago but neither Neil nor me could recall the exact gist of that response.

[Pascal]

Thanks Adam,

I found the other thread you referred to, and Billy does confirm your understanding. I wish I could stop bothering you (or Pascal or Billy), but I'm still left with my original question. The Evolution paper does not quantify the RR advantage in trading only "strong" signals as they are labeled on the robot page (differently from how the paper defines them). I have the same question regarding the GDX robot even though there have been no recent changes to it. I remember a discussion on this topic stating that "strong" signals -- 20% of all signals -- are responsible for 80% of the robots' gains. Do you (or Billy or Pascal) know if this is still correct for either or both robots?

Thanks again,

Neil

I do not think that we published anything about trading only Strong signals.
I remember that I tested this possibility and discarded it as signals were not numerous enough.
That is the only think I could say on this subject, as I did not keep track of the results.
Let's put this discussion on signal strength (Long/strong long) to rest now, as I believe that it might only confuse people.




Pascal