jackmack
334 posts
msg #132732
- Ignore jackmack |
11/23/2016 12:20:54 PM
shillllihs
Interesting on the LONG side using DUST but murder on the short - ouch
but very interesting indeed
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dtatu
143 posts
msg #132733
- Ignore dtatu
modified |
11/23/2016 12:29:12 PM
jackmack
Maybe somebody , clever than me, would have the ability to do the math of the decay over 10 days of a LONG 3x product ? All I know is that, roughly, the price is recalculated EACH day , lower?
For a 3x, I suppose is 3 x more?
XIV is less sensitive to it, as far as I can tell ( I do not touch these products, yet)
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nibor100
1,096 posts
msg #132734
- Ignore nibor100 |
11/23/2016 1:07:08 PM
Miketranz,
In Kevin's first post, the 2nd backtest on SS covering a different span of 10 years, the results were a bit further away from ~90% winners down to ~71% winners.
Ed S.
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shillllihs
6,094 posts
msg #132735
- Ignore shillllihs |
11/23/2016 1:10:41 PM
I didn't sleep so thought you might be right on the short side but go back and look. It's up
overall by about 30% if you go allin first day and exit all the day you are supposed to without adding units.
And for the long side, forget about it, Just crushing it.
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mahkoh
1,065 posts
msg #132736
- Ignore mahkoh |
11/23/2016 1:14:31 PM
http://www.etf.com/etf-education-center/21044-leveraged-and-inverse-etfs-why-2x-is-not-the-2x-you-think.html
Explains inefficiency regarding leveraged etfs.
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nibor100
1,096 posts
msg #132737
- Ignore nibor100 |
11/23/2016 1:17:21 PM
dtatu,
Could you post the dates of entry and exit that were used by you for the 3 test methods whose 13 results you posted earlier so we can determine the corresponding Kevin signals, etc.?
You stated the "system" works after using 3 methods trading ~4 trades each and I notice that your $ profits related to %profits are spread quite a bit as a 7.16% gain got $1,070.80, and a 0.68% gain got $686.86.
Is your version of the "system" alternating between those 3 methods or have you settled on one method going forward?
Thanks,
Ed S.
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dtatu
143 posts
msg #132738
- Ignore dtatu
modified |
11/23/2016 1:28:01 PM
If anybody could tell me how to copy/ paste a Google sheets table, without having it chopped while posted, I'll send all the details
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nibor100
1,096 posts
msg #132739
- Ignore nibor100 |
11/23/2016 1:28:08 PM
Kevin,
Regarding the last 8 trade results you recently posted, I can only verify that in following a 5 unit portfolio approach that 2 of the larger gaining trades would not have been executed, due to date overlap, similar to early October when there was also 7 short signals close together.
Ed S.
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jackmack
334 posts
msg #132741
- Ignore jackmack |
11/23/2016 1:58:26 PM
shillllihs
On DUST are you taking the signal to go long when ANY of the filters goes long and then exit when any say exit?
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dtatu
143 posts
msg #132742
- Ignore dtatu |
11/23/2016 2:08:28 PM
1. Anybody can tell me what the correlation is between the Gold miners and VIX ???
As far as I know, VIX reflects the volatility of SPX , not of GOLD, GDX, GDXJ ,etc.
2. How can anybody make a profitable system and test it , based on a 3x DUST?( just another wasting product, on the long side) Am I missing something?
see the link /chart, below:
https://www.barchart.com/etfs-funds/quotes/DUST/technical-chart#/technical-chart?plot=CANDLE&volume=contract&data=DO&density=X&pricesOn=0&asPctChange=0&logscale=0&indicators=EXPMA(10);EXPMA(20);EXPMA(50);EXPMA(100);EXPMA(200);MACD(20,50,9);MACD(12,26,9);STOSL(5,3);SMA(200)&sym=DUST&grid=1&height=500&studyheight=100
Based on 1 & 2 , I would never trade this. Just my opinion.
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