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
No changes
No changes
The XLB and XLI models have a Shorted Overbought signal as of yesterday.
The Kelly factor stays negative for the moment. My personal feeling about this situation is that the market is very difficult to trade under these circumstances. A lot of the recent trades (October and November) are a string of negative ones. This is not good for the way the Kelly Formula calculates the odds. Recently there have been a couple of wining trades but overall the result of my strategy is not prosperous.
The main indexes are cought between a decending 50MA and a rising 200MA. Until we get a decisive break out of that triangle we are currently in, I do not see large changes in the very near future.
The Nasdag is going to signal a death cross today, I presume.
I expect a decisive break out of the triangle very soon. This can change the uncertain situation and possibly offer some rewarding short trades.
No changes
No changes
Maybe premature but a buy signal from VSTpro is rather possible today: low (open) was below the 14SMA, the high of the the day is already higher then the previous high. All we need is a close above the 14SMA, which is about 1416.
Let's wait and see.
As expected, the VSTpro signaled a buy signal yesterday. This turns my Combo-MF model to LONG.
The Shorted Overbought signals for the XLB and XLI models where cancelled yesterday.
I will close the short trades for the XLB and XLI models and open a new long trade for the Combo-MF using TQQQ as vehicle.
Tomorrow, due to an external appointment, I will not be able to post an update until just before the open.
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No changes
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The XLI model signaled a Shorted Overbought yesterday. I will open a new short trade for this model at the open today.
The XLF model has a Shorted Overbought signal since yesterday. I will not follow this signal due to the poor back-tested performance with the combination of a XLF Shorted Overbought and a long 20DMF.
No changes
Happy New Year to everyone!
The XLI model turned to cash last Monday. I will close the current short trade for this model at the open today.
In my strategy, only the Combo-MF, XLK and XLY models are active as of the first trading day of the New Year and all in long mode.
No changes
No changes
The XLK model is now also in Cash. The only models that are active in my strategy are now my Combo-MF and XLY.
No changes
No changes
[QUOTE=pdp-brugge;24536]No changes[/QUOTE]
pdp,
Thanks for all your work.
Your Kelly and NoFear metrics are indicating to stay out of the market but the market has had a decent rise since the 20DMF buy signal of 11/15/2012.
Does this change your view of these metrics ?
Thanks in advance.
Trev
Trev,
I agree with your remark. The market has been rather well performing since the long signal of the 20DMF on November 16.
My calculation for the Kelly Criterion is based on a moving window of 250 days. In the last 250 days, my strategy had a return of 39,39% non-cumulative. There where 59 positive trades and 99 negative ones. This large number of negative trades causes the current negative Kelly criterion. This has me puzzled.
Personally, I am still trading with a very small position size.
I must admit that I fear that there is something fundamental wrong with my position size calculations. Since November 16 there have been 16 trades in my strategy with a non-cumulative result of 8,81% based on the raw trades. With my position size technique, this positive raw result has turned into a negative growth of my equity of 0.51%. Frustrating!
I am working on a review of my position size technique and will report once I have found a better one with consistent equity growth over the now 3 years of trading signals that I have.
PdP
No changes in signals
No changes in signals
I am reviewing my strategy from the bottom up.
Examining the trades my strategy generated in 2012 delivered not a satisfactory result. Trading the XLX signals nor the Combo-MF signals gave me a decent impression. If I compare the results from the naked signals with the results of my strategy after implementing my position management rules, than it is even poorer. Although my strategy is still performing better than the S&P500, I do not have a good feeling about it.
I do not think there is something wrong with the signals. In the last weeks I have had a thoroughly review of my position sizing rules. Here the same: I have not found a serious error in my logic nor my programming.
I honestly think that the solution lies in expanding the number of models/instruments that I use. I am examining the use of currencies and commodities.
Until I have found a broader spectrum, I am postponing my daily posts.
PdP
PdP; I really appreciate all the work that you have shared and your daily posts. I look forward to seeing
where your work will lead you.
Best regards,
Robert