| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 ... 22 23 24 25 26 ... 49 >>Post Follow-up |
| mahkoh 1,065 posts msg #132144 - Ignore mahkoh modified |
10/26/2016 3:16:50 PM Question about signal #1 - it uses OBV which will not work for VIX - right? What is signal #1 using as its symbol? ************ SS does not carry volume for ^VIX (when using Yahoo as data source), so that part of the filter will always be true and the exit OBV code will never be true. I assume deleting that part of the code will return the exact same results. |
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| Kevin_in_GA 4,599 posts msg #132150 - Ignore Kevin_in_GA |
10/26/2016 7:30:15 PM SIGNALS FOR THURSDAY 10/27/16 1 NEW SHORT SIGNAL FOR TOMORROW.
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| Kevin_in_GA 4,599 posts msg #132178 - Ignore Kevin_in_GA |
10/27/2016 7:57:44 PM SIGNALS FOR FRIDAY 10/27/16 2 NEW SHORT SIGNALS FOR TOMORROW.
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| ericeira 23 posts msg #132180 - Ignore ericeira |
10/27/2016 10:54:05 PM Hi Kevin thanks for the daily updates .... my filters triggered one new short signal and one closing long position if we are using identical filters i'm not sure why there is a discrepancy other than the filters being run at different times just run mine 10:30PM eastern time . Thank you Side Action PF BuyDate BuyPrice ClosePrice GainLoss SystemName Short Short-Sell 10 15.36 VIX SHORT SIGNAL #6 Long Sell 10 10/20/2016 14.43 15.36 6.44% VIX LONG SIGNAL #1 Long Hold 10/26/2016 13.66 15.36 12.45% VIX LONG Signal #2 Short Hold 10/27/2016 14.37 15.36 -6.89% VIX SHORT SIGNAL #9 |
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| Kevin_in_GA 4,599 posts msg #132184 - Ignore Kevin_in_GA |
10/28/2016 8:33:38 AM We might have different settings - I notice that your "PF" column value is 10 while mine is 5. Also, There was no Long Buy signaled on 10/20 in any of my nightly signals, or I would have recorded it in this thread. Odd - not really sure why this happens but my guess is it settings-driven. |
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| gmg733 788 posts msg #132194 - Ignore gmg733 |
10/28/2016 12:28:32 PM This can be one of a few issues. I've ran into signals that show up one day, gone the next and then shows up again. Or a symbol just shows up without a buy. For the data in SS, you can download every night, but as Pete told me prices can settle after a close, this is why I run my filters at 11p CST. Also, there are price artifact settings and in the import prices, you might have options set different than Kevins. I use import prices and symbols, but there is an option to clear the previous prices. Also look at the 'Import Current Prices'. I've asked Pete about these anomalies and price data does change and settle. For instance see this note on the feature above: Import Current Prices: When checked, prices from the most current day will additionally be imported. Normally, prices are imported only from the archived database of prices from Yahoo. However, it can take 8 or more hours for Yahoo to process the current day's prices and move them into the archived database. By checking this box, however, current prices can be imported earlier than would otherwise be the case. In fact, prices can be imported numerous times during the trading day, with each import updating the prices as-of the time of the import. It isn't perfect but the benefits far out way a few nagging issues. |
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| nibor100 1,096 posts msg #132223 - Ignore nibor100 |
10/29/2016 10:10:46 AM Kevin, Yesterday I received my 1st email of forum posts and as a new subscriber I have a few questions regarding your system characteristics: a. Your first set of results/stats is entitled 'Fixed Trade Equity-Portofolio Size 5' but I believe you only ran the 20 strategies on a single symbol VIX, so what does Portfolio Size 5 refer to? b. In the stats there is a phrase I'm not familiar with "Longest Flat period 48, could you explain what this measures? c. Further below in the section "And the absolute Number of Open...." ; you mention 20 slices and 5 units. Is a unit equivalent to a slice of investment funds? d. In your #4 Vix long filter you use expressions pdi and mdi which I can't find defined anywhere in the usage guide, indicator list or the forum historical posts. Are they shortcuts for +DI and -DI? If so, where do I find a list of valid shortcuts/abbreviations? Thanks, Ed S. |
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| Kevin_in_GA 4,599 posts msg #132227 - Ignore Kevin_in_GA modified |
10/29/2016 10:01:42 PM SIGNALS FOR MONDAY 10/31/16 NO NEW SIGNALS - HOLD ALL CURRENT POSITIONS.
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| Kevin_in_GA 4,599 posts msg #132228 - Ignore Kevin_in_GA |
10/29/2016 10:09:38 PM a. Your first set of results/stats is entitled 'Fixed Trade Equity-Portfolio Size 5' but I believe you only ran the 20 strategies on a single symbol VIX, so what does Portfolio Size 5 refer to? If you read the first post carefully you will see that even though there are 20 systems that could signal, it is uncommon that more than 5 do so at any time. Hence, the best utilization of equity is with a Portfolio size of 5. b. In the stats there is a phrase I'm not familiar with "Longest Flat period 48, could you explain what this measures? It is the longest period within the backtest where no trades were in play. c. Further below in the section "And the absolute Number of Open...." ; you mention 20 slices and 5 units. Is a unit equivalent to a slice of investment funds? Yes, a unit is 1/5th of your trading equity for this approach. d. In your #4 Vix long filter you use expressions pdi and mdi which I can't find defined anywhere in the usage guide, indicator list or the forum historical posts. Are they shortcuts for +DI and -DI? If so, where do I find a list of valid shortcuts/abbreviations? PDI and MDI are required to reference +DI and -DI within user-defined functions. As stated in the description: stockfetcher 963 posts msg #37388 8/10/2005 7:05:04 AM Note: When using the +DI or -DI inside set statements, you'll want to use PDI (for +DI) and MDI (for -DI). |
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| nibor100 1,096 posts msg #132233 - Ignore nibor100 |
10/30/2016 3:03:31 PM Kevin, a. Your first set of results/stats is entitled 'Fixed Trade Equity-Portfolio Size 5' but I believe you only ran the 20 strategies on a single symbol VIX, so what does Portfolio Size 5 refer to?<< If you read the first post carefully you will see that even though there are 20 systems that could signal, it is uncommon that more than 5 do so at any time. Hence, the best utilization of equity is with a Portfolio size of 5.>> Having read it carefully the 1st and 2nd time, I couldn’t reconcile the contrast between the purported results of a single symbol backtest having a title “Portfolio Size 5” when it appears from your original msg that the conclusion to use a portfolio size of 5 was made after the backtest was run; therefore my question. b. Careful reading discovers a contrast between your stated first requirement of “Have a win % of 90% or higher” yet the first set of stats you provided only have an overall win rate of 86.7%. Did most of the individual strategies you picked have win rates of 90% and you had to pick a couple with less than 90% in order to have 10 long and 10 short strategies in your system? c. Further below in the section "And the absolute Number of Open...." ; you mention 20 slices and 5 units. Is a unit equivalent to a slice of investment funds?<< Yes, a unit is 1/5th of your trading equity for this approach>>. Ok I’m lost, did you mean to say 5 units is 1/4 th of your trading equity? (because in your original system description post you stated "so you make the best returns just trading five units whenever ANY filter triggers." ; however, if we trade 5 units of 1/5 th of our trading equity whenever any filter triggers we would only have a max of one trade open at any time). d. Your out of sample test had a much lower win rate of 70.6%, leading me to wonder if you had first run the original test on the out of sample dates you would not have picked the same 20 strategies to follow. Especially since total gain for out of sample 10 year backtest was much much less than double the total gain of the 5 year backtest. The much longer flat period of 299 days seems to be a bit of a shocker considering the nature of the VIX and how many different trading signals are present in the 20 strategies. e. I can't seem to be able to add bold to any text in my reply either typing in the forum text box directly or pasting in from MS Word. how are you bolding text in your responses? Thanks, Ed S. |
| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 ... 22 23 24 25 26 ... 49 >>Post Follow-up |
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