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The XLB & XLF models have now a "Shorted Overbought" signal. I will not follow these signals because my back test statistics have shown me that they do not provide a significant positive egde.
The XLI & XLK models are now in "Cash" and I will close the running trades for these models at the open today.
My only remaining trade is the long trade in TQQQ.
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The model XLY has a "Shorted Overbought" signal since the close of yesterday. I will not follow this signal because my back test statistics have shown that following a Overbought signal when the 20DMF is not Short is not profitable.
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I have updated the theoretical equity graph of my strategy. September was a small but positive month. The streak of losing months is broken, I think. My NoFear has protected me against larger draw downs.
[QUOTE=pdp-brugge;23806]I have updated the theoretical equity graph of my strategy. September was a small but positive month. The streak of losing months is broken, I think. My NoFear has protected me against larger draw downs.[/QUOTE]
Thanks very much Pascal. Very informative.
Trev
No changes in signals or trades.
The slope of the 14SMA of the S&P500 has started to go down yesterday. This enhances the odds for a short signal in the coming days.
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The VSTpro has signaled a SHORT signal at the close of Friday. When considering the 20DMF is still LONG, then my Combo-MF model would go to neutral (CASH) because of the conflict between the two models. I am still considering the 20DMF (based on my personal conviction) to be LONG since the launch of QE3.
The models XLB and XLF have both a SHORTED OVERBOUGHT signal. The basic rules of my strategy would suggest going short for these models. I will not follow this because, in my humble opinion, both these trades have had a length when the "juice is out of the bottle".
The models XLI and XLK are in CASH so no need to do anything.
The XLY model has a SHORTED OVERBOUGHT signal. The statistics of my back tests have learned me that following a SHORTED OVERBOUGHT signal for the XLY model is not beneficial if the 20DMF is not SHORT.
[U]Conclusion:[/U] I will close the open long trade in TQQQ and do nothing else. The odds for the VSTpro to signal a new LONG signal are strong. Let's wait and see
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[QUOTE=pdp-brugge;23833]The VSTpro has signaled a SHORT signal at the close of Friday. When considering the 20DMF is still LONG, then my Combo-MF model would go to neutral (CASH) because of the conflict between the two models. I am still considering the 20DMF (based on my personal conviction) to be LONG since the launch of QE3.
The models XLB and XLF have both a SHORTED OVERBOUGHT signal. The basic rules of my strategy would suggest going short for these models. I will not follow this because, in my humble opinion, both these trades have had a length when the "juice is out of the bottle".
The models XLI and XLK are in CASH so no need to do anything.
The XLY model has a SHORTED OVERBOUGHT signal. The statistics of my back tests have learned me that following a SHORTED OVERBOUGHT signal for the XLY model is not beneficial if the 20DMF is not SHORT.
[U]Conclusion:[/U] I will close the open long trade in TQQQ and do nothing else. The odds for the VSTpro to signal a new LONG signal are strong. Let's wait and see[/QUOTE]
PdP,
The 20DMF appears to be more neutral than long. Do you agree, and how would that affect your model.
Thanks in advance.
Trev
Trev,
It is my personal judgement that I consider the 20DMF now in a LONG state (since the announcement of QE3).
In the weekend I have done the simulation to see what would change if the 20DMF was indeed still considered to be in CASH. Over the last 17 trading days, this change would be an increase of the performance of my strategy of 0.0029% over that period (17 trading days).
The Combo-MF would now be in SHORT mode because a SHORT for the VSTpro and a CASH for the 20DMF results in a SHORT for the Combo-MF. I would have skipped this trade because my back tests statistics have learned me that following a SHORT trade for the Combo-MF model when the 20DMF is in CASH and the 50MA is above the 200MA is not beneficial.
The SHORTED OVERBOUGHT signal for the XLB model could have resulted in a SHORT trade but I still would hesitate because that SHORTED OVERBOUGHT signal was last Friday 11 days old ("juice out of the bottle" syndrome).
The same for the SHORTED OVERBOUGHT signal for the XLF model.
As a reference I attach the Strategy Status in the consideration of a 20DMF in CASH mode.
I know my judgement is now somewhat emotional but my back tests statistics have also shown that periods where the 20DMF is CASH and the VSTpro is SHORT are not the greatest in performance. They also do not last very long.
If and when the 20DMF also would go SHORT, then we would have an other type of ball game. Then things would really be different and I would follow my theoretical strategy again.
The odds for a change of the VSTpro to signal LONG again are high. We need a high higher then yesterday, a low below the 14SMA and a close above the 14SMA. With the increase volume compared to yesterday I suspect the volatility will also be higher today.
[QUOTE=pdp-brugge;23859]Trev,
It is my personal judgement that I consider the 20DMF now in a LONG state (since the announcement of QE3).
In the weekend I have done the simulation to see what would change if the 20DMF was indeed still considered to be in CASH. Over the last 17 trading days, this change would be an increase of the performance of my strategy of 0.0029% over that period (17 trading days).
The Combo-MF would now be in SHORT mode because a SHORT for the VSTpro and a CASH for the 20DMF results in a SHORT for the Combo-MF. I would have skipped this trade because my back tests statistics have learned me that following a SHORT trade for the Combo-MF model when the 20DMF is in CASH and the 50MA is above the 200MA is not beneficial.
The SHORTED OVERBOUGHT signal for the XLB model could have resulted in a SHORT trade but I still would hesitate because that SHORTED OVERBOUGHT signal was last Friday 11 days old ("juice out of the bottle" syndrome).
The same for the SHORTED OVERBOUGHT signal for the XLF model.
As a reference I attach the Strategy Status in the consideration of a 20DMF in CASH mode.
I know my judgement is now somewhat emotional but my back tests statistics have also shown that periods where the 20DMF is CASH and the VSTpro is SHORT are not the greatest in performance. They also do not last very long.
If and when the 20DMF also would go SHORT, then we would have an other type of ball game. Then things would really be different and I would follow my theoretical strategy again.
The odds for a change of the VSTpro to signal LONG again are high. We need a high higher then yesterday, a low below the 14SMA and a close above the 14SMA. With the increase volume compared to yesterday I suspect the volatility will also be higher today.[/QUOTE]
Thanks for your comprehensive and valuable reply Pascal :O)
Trev
[QUOTE=manucastle;23860]Thanks for your comprehensive and valuable reply Pascal :O)
Trev[/QUOTE]
Pascal, you use TQQQ for the market. Have you tested if the model would improve or be more stable if you used XLK as a further confirmation of trend for risk control ?
Trev
Trev,
A while back, I did a very comprehensive research to find the "best" instrument for trading the Combo-MF signals. Out of that work, I deducted the use of TQQQ.
Because I always want to keep my eyes open for a changing environment, I have just made a small comparison between TQQQ and TECL (the 3x ETF for XLK) with the Combo-MF signals between January 2010 and now. This back test confirms that TQQQ is still the best vehicle.
[QUOTE=pdp-brugge;23862]Trev,
A while back, I did a very comprehensive research to find the "best" instrument for trading the Combo-MF signals. Out of that work, I deducted the use of TQQQ.
Because I always want to keep my eyes open for a changing environment, I have just made a small comparison between TQQQ and TECL (the 3x ETF for XLK) with the Combo-MF signals between January 2010 and now. This back test confirms that TQQQ is still the best vehicle.[/QUOTE]
Thanks Pascal, good to see you are constanly adapting to current conditions. Very neccassary in todays markets.
Trev
Pascal,
I recently questioned SPX "Open" values and confirmed (via this forum) that they are not really indicative of the market open since not all securities not starting trading at exactly 9:30. I know VST uses Open values in it's calculations and wonder if you looked at the difference in signals when comparing to say SPY? I did a rough check and found quite a few signal differences.
I question aloud how much better VST could be if it's signals were not generate off of fictitious data? Could a MA be optimized for SPY for even better returns? Maybe not? Have you considered this?
Harry
Harry,
The last days I have been busy with optimizing exactly that: finding the most optimal MA parameters.
It takes a lot of testing but my goal is to combine the different EV signals (20DMF, the 9 S&P sub-components and PM) with their appropriate VSTpro counterpart signals.
For each tradable EV signal could/should be a comparable VSTpro signal.
Out of this ongoing work I hope I will be able to digest more efficient combined signals.
I will present my results once they are done.
PdP
The XLK model has now a SHORT signal. I will not follow this signal because my back test statistics have learned me that following a SHORT trade when the 20DMF is not SHORT is not beneficial.
No changes in signals nor trades.
The 20DMF has signaled a SHORT signal yesterday. All the models that I follow have now a SHORT signal. I am going to open the corresponding new trades at the open today. Let's hope I won't be trying to catch a falling knife...
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The VSTpro has a LONG signal since yesterday. This has turned the Combo-MF to CASH because of the conflict between the VSTpro and the 20DMF signals. Since the 14SMA is rising, a new SHORT signal for the VSTpro is not possible today.
The 20DMF is in CASH since yesterday. The Combo-MF will now follow the VSTpro LONG signal.
The XLF model goes gone to CASH. The XLI model has a BOUGHT signal.
I will close the SHORT trades for the XLF, XLI, XLK and XLY models.
I will open a new LONG trade in TQQQ.
As clearly indicated with the low Kelly and the high NoFear, my strategy is performing very poor (for now).
The XLB model has signaled a BOUGHT signal yesterday.
The 20DMF has a Short signal since the close of last Friday. This means that the Combo-MF will go to CASH.
The XLF model has a Shorted Overbought signal.
The trade signals from my strategy are mixed: XLB & XLI both LONG while XLF, XLK and XLY are SHORT.
I think this gives me a hedge situation to keep me floating through these rough waters.
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pdp-brugge,
20DMF moved back to cash today, not short as you have listed? Are you making a subjective call?
Harry
Harry,
Thanks for noticing this!
I suppose I was not already awake this morning when I looked at the 20DMF.
You are right: the 20DMF is neutral again since the close of yesterday.
This changes a lot!
The Combo-MF goes back to LONG.
I will not follow the signals from the XLF, XLI, XLK and XLY models because of their poor statistical performances learned from my back-tests.
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[QUOTE=pdp-brugge;23971]No changes[/QUOTE]
Hi PdP,
Seems strange the VSTPro signal is long in this current market ?
Trev
Trev,
I know and it is somewhat frustrating.
Last Friday, the S&P500 turned down very fast while the 14SMA was not going downwards for at least two days. There have been other occasions in the past where the same thing happened. May 4, 2012 serves as an example. At that time, the 20DMF caught the down-move and went short. Last Friday, the 20DMF also signaled a short signal. This short signal was however cancelled this Monday.
There are several possibilities for adapting the VSTpro formula to try catching these fast moves down. I have tried to adapt the VSTpro formula to obtain better results, all with poorer results when I perform my back-tests.
In the broader picture, I have come to the conclusion that the combining of the VSTpro signals with the 20DMF EOD signals is still the best model.
There have been, according to my back-tests, similar periods in time where the performance of the Combo-MF model was not so good. None however so long as the one we are in now.
In the mean time, I am waiting for times to change.
I am waiting very eager on Pascal's detailed back-tests results for the new 20DMF RT model.
PdP