gmg733
788 posts
msg #132627
- Ignore gmg733 |
11/18/2016 5:48:40 PM
Today was one of those spx/vix non-inverse corrrelation days. SPX was down as was VIX. Might have something to do with expiration.
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jackmack
334 posts
msg #132663
- Ignore jackmack |
11/21/2016 2:41:22 PM
Love the filter Kevin_in_GA
Quick question for you that I hope I didn't miss asked earlier in the thread but is it correct to take 5 positions if any of the filters return either long or short as initially stated in first page?
"This is actually pretty important - my initial thought was that I would divide my investment funds into 20 "slices" and only trade a slice when the corresponding filter triggered, but looking at the position counts it is very clear that if I did that I would be trading only a fraction of my available capital - it looks like the system rarely had more than 5 positions open at any time, so you make the best returns just trading five units whenever ANY filter triggers."
It makes sense since if you were to use only 1/20th of your buying power per signal it would take some time to gain ground but at the same time you are reducing your risk - but just wondering if this was still the designed practice for these.
Thank you for your time an generosity in presenting this newest filter.
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miketranz
978 posts
msg #132665
- Ignore miketranz |
11/21/2016 5:47:36 PM
Pthomas,thank you for the info.Here's another question.The long/vix trade signal that was just triggered,even though the market goes against you right from the open,according to the system,should you still be in the trade at close? Or should you even have entered in the first place? I probably would have taken the trade if I saw anything resembling green.I'm using TVIX as a vehicle.Thanks,Miketranz..
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pthomas215
1,251 posts
msg #132666
- Ignore pthomas215 |
11/21/2016 5:53:45 PM
I think in general trading and pair trading..any trading...you are going to have to become accustomed to eating consolidation for awhile. Im still learning how to be patient. but it is confidence in the trade. it all boils down to how confident you are in the trade.Put in stops...stop out at a maximum of 2% of your portfolio. that is the general rule.
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shillllihs
6,093 posts
msg #132668
- Ignore shillllihs |
11/21/2016 6:28:37 PM
With loss after loss in these 2 systems,
where has your leader gone?
Abandon ship.
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miketranz
978 posts
msg #132669
- Ignore miketranz |
11/21/2016 7:49:24 PM
The reason I'm still here is because I have 20+ years of trading patience.Trading's a numbers game,not a guessing game.Any system that can deliver close to 90% win ratio,I'll trade it,and yes there's going to be some losses,but do the math,it's part of the game.The bottom line is systems trading must be followed to a tee,otherwise you'll never attain the percentages.Great work Kevin....
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tennisplayer2
210 posts
msg #132670
- Ignore tennisplayer2 |
11/21/2016 7:55:38 PM
Shillllihs, I don't know what you are talking about. This is a great system (I am up quite a bit on this system), very thankful for Kevin. Shillllihs, I usually don't read your posts.
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ferndave
65 posts
msg #132672
- Ignore ferndave |
11/21/2016 8:35:17 PM
jackmack: I think what he means is that you divide your funds into five slices. Kevin's backtests show that it is rare for more than 5 triggers to be active at a time, so using more than 5 slices leaves too much money on the sidelines.
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shillllihs
6,093 posts
msg #132673
- Ignore shillllihs |
11/21/2016 9:22:24 PM
Since you use units & cant find any vehicle to track this right, system is good for about 20%
which is just ok.
When I asked what exit should be for the 3X short filter, I was told next morning(a loss) but he claimed he held longer for a win.
Both systems have been shalacked & I feel his presence & credibility has tanked.
This filter looks great on the surface & I wish it was but backwardation & no proper way to
win large long term & all the flaws with SS. leave this obsolete.
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Kevin_in_GA
4,599 posts
msg #132675
- Ignore Kevin_in_GA |
11/21/2016 10:19:41 PM
Jeez - can't a guy go on vacation for a week?
As I told everyone at the end of October, I will no longer be providing nightly updates on this as of 1 Nov since everyone has both the SF versions and ALL of the SS code to do it themselves. At that time the system was 20 for 22 wins. I really don't see where you are coming from with your comments.
As to the 3x shorting filter, please review what I have posted. Every trade is recorded. It is exactly this type of behavior that prompted me to make my recent threads read-only.
You must be running out of things to brag about.
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