The XLB model is now short and the XLK model has now a buy signal.
I will ignore the XLB short signal because of poor back tested performance under these circumstances.
I will open a new long trade for the XLK model at the open.
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The XLB model is now short and the XLK model has now a buy signal.
I will ignore the XLB short signal because of poor back tested performance under these circumstances.
I will open a new long trade for the XLK model at the open.
The XLB model turned long again yesterday. I will open a new long trade for this model at the open.
The VSTpro just missed a new long signal yesterday. If the conditions are right then a buy signal today is within the odds.
The two most important conditions are:
- a low below the 14SMA which will be about 1400 today
- a high higher then the high yesterday 1415.56
This means a intraday volatility of about 1% which is quite possible in the current market situation.
An attentive reader of my posts will notice that my Kelly factor has gone negative today. This means that based on all the trades made in the last 250 trading session, the Kelly formula thinks that the risk is to high. This is caused by the large number of trades with a negative result. The end result is still positive but there where (in my strategy) 65 positive trades and 102 negative ones.
A negative Kelly formula results in a negative risk which means theoretical no trade at all.
I think this is just a momentary situation.
Meanwhile I am working on a review of the filter conditions. Based on the back tested performances of each model, I selected certain trades to ignore based on their poor results. This study was first done in August. I am reviewing these conditions to see if a adjustment should/could be made. Also I am looking at the XLX models that I have ignored so far (like XLE). There is a possibility that their trades over the last 4 months have improved their performance.
[QUOTE=pdp-brugge;24324]The XLB model turned long again yesterday. I will open a new long trade for this model at the open.
The VSTpro just missed a new long signal yesterday. If the conditions are right then a buy signal today is within the odds.
The two most important conditions are:
- a low below the 14SMA which will be about 1400 today
- a high higher then the high yesterday 1415.56
This means a intraday volatility of about 1% which is quite possible in the current market situation.
An attentive reader of my posts will notice that my Kelly factor has gone negative today. This means that based on all the trades made in the last 250 trading session, the Kelly formula thinks that the risk is to high. This is caused by the large number of trades with a negative result. The end result is still positive but there where (in my strategy) 65 positive trades and 102 negative ones.
A negative Kelly formula results in a negative risk which means theoretical no trade at all.
I think this is just a momentary situation.
Meanwhile I am working on a review of the filter conditions. Based on the back tested performances of each model, I selected certain trades to ignore based on their poor results. This study was first done in August. I am reviewing these conditions to see if a adjustment should/could be made. Also I am looking at the XLX models that I have ignored so far (like XLE). There is a possibility that their trades over the last 4 months have improved their performance.[/QUOTE]
Thanks for your feedback PdP.
The current risk metrics for our type of investing are very valuable.
Trev
"... Also I am looking at the XLX models that I have ignored so far (like XLE). There is a possibility that their trades over the last 4 months have improved their performance."
PdP, I know you are aware of this already but just wanted to put this out there for others that consider building financial models. You should not backfit your model. True backtesting involves two stages: calibration and testing. One should always break their data into a minimum of two sections. Calibration determines the parameters for your model and the second is where you test the performance of those parameters. Consider 1/2 & 1/2, 1/3 & 2/3, or even 1/4 & 3/4 partitioning. If the XLX models did not far well during the calibration testing, using the past 4 months performance to calibrate will probably lead to poor future performance.
No changes
[QUOTE=pdp-brugge;24324]The XLB model turned long again yesterday. I will open a new long trade for this model at the open.
The VSTpro just missed a new long signal yesterday. If the conditions are right then a buy signal today is within the odds.
The two most important conditions are:
- a low below the 14SMA which will be about 1400 today
- a high higher then the high yesterday 1415.56
This means a intraday volatility of about 1% which is quite possible in the current market situation.
An attentive reader of my posts will notice that my Kelly factor has gone negative today. This means that based on all the trades made in the last 250 trading session, the Kelly formula thinks that the risk is to high. This is caused by the large number of trades with a negative result. The end result is still positive but there where (in my strategy) 65 positive trades and 102 negative ones.
A negative Kelly formula results in a negative risk which means theoretical no trade at all.
I think this is just a momentary situation.
Meanwhile I am working on a review of the filter conditions. Based on the back tested performances of each model, I selected certain trades to ignore based on their poor results. This study was first done in August. I am reviewing these conditions to see if a adjustment should/could be made. Also I am looking at the XLX models that I have ignored so far (like XLE). There is a possibility that their trades over the last 4 months have improved their performance.[/QUOTE]
PdP.
We all know this is an extremely difficult market to trade and I think your risk metrics are doing a very good job of highlighting this fact !
This market is not for the feint hearted !
Trev:o)
Thanks Trev.
The odds for a buy signal for the VSTpro are growing. The high today is already higher then yesterday. If we get a low below 14SMA (+/- 1404.75) then the second condition is set. After that only a close above the 14SMA is sufficient to trigger the buy trigger. Let's wait and see.
[QUOTE=pdp-brugge;24341]No changes[/QUOTE]
Hi PdP,
Would it be possible to get the update for today please.
Trev
sorry for this late update
[QUOTE=pdp-brugge;24361]sorry for this late update[/QUOTE]
Thanks Pascal.
Trev