Kevin_in_GA
4,599 posts
msg #132743
- Ignore Kevin_in_GA |
11/23/2016 2:19:25 PM
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.
True for a 5 unit portfolio. The discrepancy arises from the fact that the nightly system signals I generate are set for a portfolio size of 10 units. You may have noticed that at times there are more than 5 trades listed in the previous updates as well.
Your point is valid but the system still seems to be sending out profitable signals, which was being questioned.
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jackmack
334 posts
msg #132744
- Ignore jackmack |
11/23/2016 2:29:01 PM
@ dtatu
I know I got off track with that one
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shillllihs
6,094 posts
msg #132746
- Ignore shillllihs |
11/23/2016 3:33:20 PM
Jack,
On longs, go long Dust on first, exit on any last, & on shorts enter Nugt long or Dust short on first and exit on any first.
Check it out and let me know.
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jackmack
334 posts
msg #132747
- Ignore jackmack |
11/23/2016 3:47:27 PM
Kevin_in_GA or anyone else - is there a way here in SF to combine all of the longs into one and all of the shorts into one?
Similar to what was done in the "Trading Divergences" thread so on a manual back test you could just forward each day and see when any one of the filters triggered long or exit.
I've tried but I believe when I am adding an "add column ___ " line for each filter since the wording is not exactly what the underlying filter is returning it is not working out properly or is it not even possible because of the dynamics of the filter there is no way to combine it.
Just looking to make this one by one day by day manual research a little less painful ;-)
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Kevin_in_GA
4,599 posts
msg #132748
- Ignore Kevin_in_GA |
11/23/2016 4:00:59 PM
Not really - each filter has its own exit, where in the case of the trading divergences filters they all had the same exit.
Listen - I strongly encourage you to use SS and the provided code to trigger these signals. I was able to convert the SS code into SF syntax for most of them, but you would be better off getting a subscription to Statasearch and using it for not just this, but to build and backtest other systems you might be considering.
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shillllihs
6,094 posts
msg #132749
- Ignore shillllihs
modified |
11/23/2016 4:07:46 PM
Since 7-29 Dust long/short, has returned 103% going all in.
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jackmack
334 posts
msg #132750
- Ignore jackmack |
11/23/2016 4:10:00 PM
Thank you Kevin_in_GA
I am STRONGLY leaning that way
Happy Thanksgiving to all here
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Kevin_in_GA
4,599 posts
msg #132752
- Ignore Kevin_in_GA |
11/23/2016 6:33:26 PM
Since 7-29 Dust long/short, has returned 103% going all in.
Can you post the trades (enter at the open of the day after the entry is signaled, close at the open of the day after the exit is signaled). Not doubting you, I just want to see how it worked.
I would caution though that the time interval of less than 4 months is not all that long (I trained the system against a 5 year period, and backtested it against a different 10 year period).
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shillllihs
6,094 posts
msg #132753
- Ignore shillllihs |
11/23/2016 7:09:01 PM
I haven't been sleeping well lately so cant post all but here is an example,
Start searching from page 26. Will take you 10 minutes.
9-27 DUST 33.80 10-12 DUST 50
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dtatu
143 posts
msg #132755
- Ignore dtatu
modified |
11/23/2016 9:54:14 PM
I still think:
VIX-DUST= false premise and wrong instrument=just appearance and short term coincidences= I can't believe that anybody , besides sillllhs, pays any attention to this.
I cannot find any significant correlation:
Feb-Jun: VOL goes down , GDX goes UP ( DUST down)
SEP-NOV : no relation
Recently: gold selloff( because of expected rate hike in December)(GDX down, DUST UP), VOL down
https://www.barchart.com/futures/quotes/VIM16/technical-chart#/technical-chart?plot=LINE&volume=contract&data=DO&density=X&pricesOn=0&asPctChange=0&logscale=0&indicators=EXPMA(10);EXPMA(20);EXPMA(50);EXPMA(100);EXPMA(200);SMA(200)&sym=VIM16&grid=1&height=500&studyheight=100&overlay1=dust&axis1
https://www.barchart.com/futures/quotes/VIM16/technical-chart#/technical-chart?plot=LINE&volume=contract&data=DO&density=M&pricesOn=1&asPctChange=0&logscale=0&startDate=2016-02-01&endDate=2016-06-20&daterange=specific&sym=VIM16&grid=1&height=500&studyheight=100&overlay1=gdx&axis1
https://www.barchart.com/futures/quotes/VIX16/technical-chart#/technical-chart?plot=LINE&volume=contract&data=DO&density=M&pricesOn=1&asPctChange=0&logscale=0&startDate=2016-09-01&endDate=2016-11-23&daterange=specific&sym=VIX16&grid=1&height=500&studyheight=100&overlay1=dust&axis1
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