No changes in signals or trades.
Printable View
No changes in signals or trades.
No changes
[QUOTE=pdp-brugge;23474]No changes[/QUOTE]
Hi Pdp,
Regarding stop losses.
You state you use the leveraged TQQQ,UYM,FAS,UXI,TECL and XLY as your preferred trading instruments.
Do I understand correctly that the stop losses are calculated based on the basic XLX's metrics in your daily tables and this is the trigger for a sale of the relavant leveraged instrument ?
(ie the ATR(3) figures relate to the basic XLX's and not the leveraged instrument).
Thanks,
Trev
Trev,
The XLX signals determine when to take a trade and the direction of the trade. The incidental filters limit some of the trade signals.
The stop-loss strategy is calculated based on historical executed trades following the XLX signals but executed with the leveraged instruments.
The ATR(3) I use (and which is displayed in the daily table) is that of the leveraged instrument.
PdP
[QUOTE=pdp-brugge;23476]Trev,
The XLX signals determine when to take a trade and the direction of the trade. The incidental filters limit some of the trade signals.
The stop-loss strategy is calculated based on historical executed trades following the XLX signals but executed with the leveraged instruments.
The ATR(3) I use (and which is displayed in the daily table) is that of the leveraged instrument.
PdP[/QUOTE]
Thanks.
Trev
pdp,
first, wow! this is really a lot of work you have undertaken, and i appreciate you efforts not only because of the time you put into this, but also because you inspired me to look at the daily signals more in depth. i put the daily XLX signals into a spreadsheet and recorded the trades from january of 2010 to the end of july 2012 and found the results amazing. this exercise made me realize i have been an idiot for not following them!
i have some questions about your findings though. why did you decide not to use XLE, XLV, XLY, and GDX as the results seemed quite good? why did you decide to use XLB as the results seemed not so good? maybe i have done something incorrectly and will double check. also, i used QQQ in place of XLK as the holdings look similar and found the results improved quite a bit over XLK. i realize that would be somewhat redundant with the Combo signal, but are they a little redundant already? just curious.
as far as atr3, kelly, and no fear, i'll have to take you word for those. one thing i don't understand is the no fear. how do you know what the drawdown is currently to apply the no fear? is that the drawdown from when the most recent signal is given? sorry, not being a math person i don't really know how to ask the question.
i think i'm starting to drive my boyfriend crazy with all of my excel questions, but i was wondering what software you use for testing. it might be over my head, but at least that would give him some peace since he would not be able to answer questions about that program.
so again, amazing job and thanks!
lisa
Lisa,
I decided not to use the XLE, XLV, XLU, and GDX signals because, at first sight, they where not looking as promising as the others. This first look I based on the raw signals. To me, the XLB, XLI, XLF, XLK and XLY where the best 5. I wanted also to limit the number of models. I did back tests with different number of models. In theory I have 11 models (Combo-MF, GDX and the nine S&P500 sub-sectors). My back tests showed me that using a maximum of 6 models was financially the best.
I agree that the trades from the Combo-MF signals and from the XLK signals are redundant at some point. I found enough differences though (in the result of the trades). I use QQQ (or QLD or TQQQ) for trading the Combo-MF signals. I use TECL as instrument for the XLK signals. I think there is a sufficient enough difference between the Nasdaq-100 companies and the S&P500 Tech-companies. I must confess that I did not thoroughly had a look at the exact composition of the 2 etfs.
How did I do the back tests? I created a database using a proprietary program I created. I have been a software developer for more then 30 years, so this was doable for me. This application enable me to generate thousands of runs with each time a slight different parameter (ATR, Stop-loss, ...). I guess doing this with plain Excel is not realizable.
The Nofear was calculated from the draw downs. I calculate the running equity after each trade. The size of the draw downs determined the NoFear factor.
I hope this makes it a bit more clear.
Do not hesitate to post more questions. This enables me to think again and it gives me a fresh new approach to some items.
PdP
[QUOTE=pdp-brugge;23483]Lisa,
I decided not to use the XLE, XLV, XLU, and GDX signals because, at first sight, they where not looking as promising as the others. This first look I based on the raw signals. To me, the XLB, XLI, XLF, XLK and XLY where the best 5. I wanted also to limit the number of models. I did back tests with different number of models. In theory I have 11 models (Combo-MF, GDX and the nine S&P500 sub-sectors). My back tests showed me that using a maximum of 6 models was financially the best.
I agree that the trades from the Combo-MF signals and from the XLK signals are redundant at some point. I found enough differences though (in the result of the trades). I use QQQ (or QLD or TQQQ) for trading the Combo-MF signals. I use TECL as instrument for the XLK signals. I think there is a sufficient enough difference between the Nasdaq-100 companies and the S&P500 Tech-companies. I must confess that I did not thoroughly had a look at the exact composition of the 2 etfs.
How did I do the back tests? I created a database using a proprietary program I created. I have been a software developer for more then 30 years, so this was doable for me. This application enable me to generate thousands of runs with each time a slight different parameter (ATR, Stop-loss, ...). I guess doing this with plain Excel is not realizable.
The Nofear was calculated from the draw downs. I calculate the running equity after each trade. The size of the draw downs determined the NoFear factor.
I hope this makes it a bit more clear.
Do not hesitate to post more questions. This enables me to think again and it gives me a fresh new approach to some items.
PdP[/QUOTE]
PdP,
You stated you will be reveiwing the sytem quarterly and so I presume you will change the mix of XLX's if warrented ?
Trev
I am going to close my UXI trade today at the open. I started this trade at the open of August 3. At the close last Friday the return of this trade was 4.37%. I will close this trade because the 50MA of XLI went above the 200MA.
My back tests have shown that trades following a "Bought" signal are not beneficial when the 50MA of XLI is above the 200MA and the 20DMF is in cash. Since the beginning of 2010 there have been 11 XLI trades on a "Bought" signal. 6 of them where positive. 4 out of the 5 negative trades where when the 20DMF was in cash and the 50MA of the XLI was above the 200MA. The balance between the positive and negative trades was in favor of the negative ones. That is the reason I skip the XLI signal "Bought" when the 20DMF is in cash and the 50MA is above the 200MA. We had a cross of the 50MA and the 200MA last Friday. On August 2, when the XLI signal "Bought" was given, the 50MA was below the 200MA, so I made the trade. Now that the 50MA is again above the 200MA, I will close that trade.
pdp,
instead of treating the data as EOD, i used the opening price of the day of the signal and am now redoing my excel files. so far, i have still found XLE to be better than XLB but will let you know when i am finished to compare.
sigh.
lisa