The new 20DMF's back-test results are here:
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Pascal
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The new 20DMF's back-test results are here:
[ATTACH]16240[/ATTACH]
Pascal
Pascal,
I admire the work you did regarding the RT system.
After reading your latest document several times, I can not construct a clear table with the new RT 20DMF signals.
Is it possible for you to supply a simple table with the dates and the appropriated signals going back as far as possible?
Thanks in advance.
PdP
The XLK model has a Bought Oversold signal and I will follow this signal.
For the XLB model, the ticker that I use to trade this model (UYM) has had a bullish signal as of yesterday. The 50MA is now above the 200MA. My back-tested rule for this model is to ignore Bought signals if the 50MA is above the 200MA. I will close the current long trade in UYM at the open today.
The 20DMF has signaled a SHORT signal yesterday. This means that my Combo-MF is in CASH again.
The XLB model has also signaled a SHORT signal. The XLK model has gone to CASH.
The only model still in buy position is XLI. Following my rules, I should open a new long position for this model. I will not follow this mainly because RSI, MacD and Williams'%R are all bearish. I know, this is very subjective. For the sake of the statistics, this new long trade in XLI will only be opened in my paper-trading account.
I real life, I am now a bear.
The XLK model is Bought Oversold since the close last Friday.
I am short for the models XLB, XLF and XLY in my real-life account
I am long for the model XLI in my paper-account and will open a new long trade for the XLK model in that paper-account.
Let's wait and see what the post Sandy trading days deliver.
No changes
The XLB model has a Bought signal since yesterday. My back test statistics tell me that this is not a good trade when the 20DMF is Short.
Meanwhile the FAS trade for the XLF model has hit his stop-loss yesterday.
It is painful to see that the real trades I have made following my strategy did not work out and those in my paper account did well. I will see how the futures react to the jobs report at 8:30am. If the reaction is positive I will open the long trades for the XLI and XLK models in my real account. This is a very subjective and therefore personal decision.
It looks like we are going to have a short signal for the VSTpro today.
The 14SMA has been going down for at least two days. The high was above that 14SMA and the close should be below the open. Unless the S&P500 goes up 17 points between now and the close, we will have a SHORT signal for the VSTpro. Together with the current, still valid, SHORT signal for the 20DMF, this will move the Combo-MF in SHORT state.
I think a powerful signal !
The VSTpro issued a SHORT signal last Friday. This changes to Combo-MF also to SHORT.
The long signals for the XLB and XLK models are ignored due to their poor statistical performance from my back tests under the current circumstances.
No changes
The VSTpro has gone long again yesterday. Therefore the Combo-MF will be neutral due to the conflict between the 20DMF and the VSTpro.
The XLY model has signaled a Bought signal yesterday.
The current short trades for the Combo-MF and XLF models had a stop-loss yesterday.
I will close the current short trade for the XLY model at the open today
I will open a new short trade for the XLF model and new long trades for the XLK and XLY models at the open today.
The market is producing whipsaws for my strategy :(
There are three rules for the VSTpro to signal a short signal:
- slope of 14SMA going down for minimum the last two days
- high above the 14SMA
- close below the open
Because the slope of the 14SMA of the S&P500 is still going down and the high of the day of an index is the close of the day before and this close was yesterday above the 14SMA, all we need for (again) a new short signal for the VSTpro model is a close below the open today.
[QUOTE=pdp-brugge;24064]... high of the day of an index is the close of the day before ...[/QUOTE]
Why is this?
Harry,
I do not know. Sorry.
Most of the time, when there is a very serious down gap, the open of the day is not the real "open" but more or less equal to the close of the previous day. If the day remains negative this means that the virtual open is also the high of the day (and more or less the close of the day before). The open (when a gap down or up) is a fictitious number. My experience is limited but that is how I have seen it.
Maybe someone with more experience can correct me...
Pascal,
My point of asking is that whenever we have gaps, I have seen the index post open numbers different than the appropriate high/low of the previous day, so that's why I asked why?
I have learned (via this site) that the opening value of an index is usually off when we have large gaps either way due to not all the securities start trading at exactly 9:30. I personally have switched to the ETF proxy SPY that trades on the open.
As I'm sure you already know, the signals are different for VSTPro using ^GSPC vs. SPY due to the opening values discussed above. I do not know if this hurts or helps VSTPro performance?
Harry
Harry,
In my back tests, I have compared the signals generated from .SPX (the MetaStock ticker for the S&P500) and those generated by the ticker SPY
The performance of my Combo-MF model with signals from SPY where significant lower than those from .SPX
I have done no research for the how's/why's of these differences
Maybe they are partially caused by the behaviour that we have experienced today
Jose Silva, the creator of the VSTpro add-on for Metastock, also did his development and testing based on .SPX
Jose has warned his users to use the VSTpro formula only with indexes
For common stocks and ETFs he has a (completely different) trading strategy based on band crossing
Therefor, I will stick with observing the behavior of the VSTpro formula applied to .SPX for determinating the state of the VSPro model
To my experience, fooling around with such essential determinant parameter has not brought any improvement
Pascal
When you compare, you need to adjust SPY for dividends.
The difference is coming from there.
Pascal
[QUOTE=Pascal;24070]When you compare, you need to adjust SPY for dividends.
The difference is coming from there.Pascal[/QUOTE]
I don't believe so. The difference I was referring to was in regards to when signals were issued, not returns. Due to the different opening prices between .SPX/SPY and the VSTpro rule of when to go short regarding the open price, there can be a matter of days difference between signals being issued (if they even are sometimes). I discovered this through my backtesting and recall the .SPX gave better returns concurring with pdp and Silva observations. At this point, I stopped my backtesting.
As expected, the VSTpro model has (again) a short signal.
This turns the Combo-MF model also to short.
The VSTpro model needs a close above 1420 today for signaling a new long signal.
This is about 1.8% gain which is very unlikely under the current market situation.
The XLB and XLI models have a short signal since yesterday and the XLK model has turned into Cash Oversold state.
The current long signal for the XLY model will be ignored due to poor statistical back tested performance when the Combo-MF is short.
I had a stop-loss for my long trade for the XLK model.
I will close the existing long trades for the XLI and XLY models at the open today.
I will open new short trades for the Combo-MF, XLB and XLI models.
I hope the market now shows a clear sign.
I do not care up or down.
Changing direction every few days only brings losses and frustration.
Meanwhile, the whipsaw song keeps on playing...
[URL="http://www.youtube.com/watch?v=LiE1VgWdcQM"]http://www.youtube.com/watch?v=LiE1VgWdcQM[/URL]
The XLY model is now in cash.
The XLF model has a Bought Oversold signal.
I will close the short trade for the XLF model and open a new long trade for this model at the open today.
The XLF model returned to cash last trading day.
In my strategy, only Combo-MF (QQQ), XLB and XLI remain short.
No changes
The 20DMF issued intraday a buy signal that was cancelled at the close.
There is now confusion between the EOD 20DMF and the RT20DMF.
This is frustrating for me. For now, I will follow the EOF 20DMF for my strategy. This is a personal choice. I hope not a bad one...
The XLB and XLI models have a Bought Oversold signal since yesterday.
I will close the short trades and open new long trades at the open today for these models.
The distance between the close of the S&P500 and his 14SMA is very large. If there is a bounce today, the odds for a long signal for the VSTpro model are very small. Unless the 20DMF signals a Bought Oversold signal today, nothing will change for tomorrow.
The XLB and XLI models have gone to cash yesterday.
I will close the two long trades for these models at the open today.
The only trade left is the short one for the Combo-MF model.
I will hold this trade until a 20DMF buy or a VSTpro buy is triggered.
The 20DMF has a long signal since the close last Friday. This puts the Combo-MF into cash.
The distance between the close of the S&P500 and his 14SMA is big so a VSTpro buy signal is not likely. The S&P500 needs to jump more than 2.2% for this to happen.
The XLB model has now a Bought Oversold signal.
I will close my short trade for the Combo-MF model and open a new long trade for the XLB model at the open today.
[QUOTE=pdp-brugge;24164]The 20DMF has a long signal since the close last Friday. This puts the Combo-MF into cash.
The distance between the close of the S&P500 and his 14SMA is big so a VSTpro buy signal is not likely. The S&P500 needs to jump more than 2.2% for this to happen.
The XLB model has now a Bought Oversold signal.
I will close my short trade for the Combo-MF model and open a new long trade for the XLB model at the open today.[/QUOTE]
PdP,
Has the recent past made you consider changing anything in your trading strategy ?
Trev
All the XLX moels that I use in my strategy have now a Bought Oversold signal.
It will take a close of the S&P500 above 1388.42 to generate a long signal for the VSTpro.
If that happens, all my models will be long.
To answer the question from Trev: I have done a lot of research for improving my strategy but have not found anything that fundamentally improves the results based on the same VSTpro, 20DMF and XLX signals.
No changes
The VSTpro model has signaled a buy signal at the close Wednesday. This means that the Combo-MF model is now also long.
All my models are now signaling long trades.
[QUOTE=pdp-brugge;24199]The VSTpro model has signaled a buy signal at the close Wednesday. This means that the Combo-MF model is now also long.
All my models are now signaling long trades.[/QUOTE]
Missing your model today PdP. Is there a problem ?
Trev
Trev,
There is no problem; just nothing has changed.
I will come back to the forum when there is a signal change in one of the models.
[QUOTE=pdp-brugge;24223]Trev,
There is no problem; just nothing has changed.
I will come back to the forum when there is a signal change in one of the models.[/QUOTE]
I take a keen interest in your Risk Factors (Kelly, No Fear and Risk%) so would appreciate the model if you can find the time :O)
Thanks in advance.
Trev
here they are
The VSTpro has signaled a short signal yesterday. This puts my Combo-MF into cash because of the conflict between VSTpro and 20DMF.
The XLF and XLK model have still a Bought Oversold signal but I will close these trades because my back tested statistics learned me that following those Bought Oversold signals when Combo-MF is in cash is not profitable.
If the 20DMF signals a short today, then Combo-MF will also go short.
In that case then the long trades for the XLY model will also need to be closed.
Thank you for your daily analysis.
Regarding the possibility of the 20DMF issuing a short signal today, it is rather remote, I would say.
Indeed, the 20DMF can issue a short signal either
- if the OB/OS indicator falls back below -30, which is rather far. If this occurs, then we would probably be below the 200MA.
- or if the 20DMF first crosses above the Buy level (+0.11% on an EOD base or +0.176% on an intraday base) and then falls back below -0.11% on an EOD base. We are in Bought Protected 30 mode and need first to close above the normal "Buy" level before registering a down move to a new short level. On an EOD base, you obviously would need two days to complete these two steps.
Pascal
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No changes
No changes
No changes
The XLK model has now a short signal. Following my strategy I did not have a long trade for this model.
If the 20DMF issues a short signal (MF cross below -0.176%) then a lot will change.
For now, I only have (small) long trades for the XLB, XLI and XLY models.