miketranz
969 posts
msg #107310
- Ignore miketranz |
7/31/2012 8:23:57 PM
I'm looking for a filter that would be right 75% of the time or better,over a 1-3 day period.Is there such an animal?
|
duke56468
683 posts
msg #107311
- Ignore duke56468 |
7/31/2012 8:56:25 PM
You might try this one from Levamit, NOTE you enter at the close instead of the open, thats why the 1 day minimum hold.
Name: LEVAMIT 2day WINNER sort on IMI
Approach Type: Long
Start Date: 04/27/2012
End Date: 07/27/2012
Benchmark Symbol: ^SPX
Exit Setup
Stop Loss: N/A
Profit Stop: 2%
Trailing Stop Loss: N/A
Minimum Holding Days: 1
Maximum holding days: 2
Exit Trigger #1:
Extra Indicators
Entry Columns:
Show Performance After: after 1 day
after 2 days
after 3 days
after 4 days
after 5 days
Advanced Options
Selection Method:
Entry Price: close
Conditional Entry: No
Exit Price: open
Maximum Trades Per Day: 1
Maximum Open Positions: 10
Maximum Selected Stocks: All
Close all OPEN positions: Yes
|
Kevin_in_GA
4,599 posts
msg #107312
- Ignore Kevin_in_GA |
7/31/2012 10:20:25 PM
Here's an even simpler one:
Go long the next day when this happens. Exit is the %K cross back above the %D line.
Since 1/2/2006 there have been 240 trades completed, with 180 (75.00%) being profitable. Average trade lasted 3 days and returned 0.39% after commissions, spread and slippage. Starting with $100,000 on 1/2/2006 you would have a final balance on 7/27/2012 of $247,640.76, assumng full reinvestment of proceeds. That's an annual return of 22.46% or a CAGR of 14.79%.
Now look at using the same crossover to go short:
Go short the next day when this happens. Exit is the %K cross back above the %D line.
Since 1/2/2006 there have been 239 trades completed, with 153 (64.02%) being profitable. Average trade lasted 3 days and returned 0.32% after commissions, spread and slippage. Starting with $100,000 on 1/2/2006 you would have a final balance on 7/27/2012 of $212,879.69, assumng full reinvestment of proceeds. That's an annual return of 17.17% or a CAGR of 12.18%.
Just so you can see which side of the trade you are supposed to be in currently, use this:
Enjoy.
|
miketranz
969 posts
msg #107313
- Ignore miketranz |
7/31/2012 11:04:31 PM
Thanks for the quick responses.Kevin,I have a few questions.Would the long filter you used (spy) have the same percentages if you used (qqq) or (iwo) or (dia) indexes? Also,what would happen percentage wise if you applied it to individual stocks? It also seems like this system works best in a chop market,like the one we're having currently,or possibly just get more signals.Looks like the long system kicks in at very overbought levels and returns it's highest percentages within 2-3 days.Amazing that a system so simple would deliver those kind of percentages.....
|
Kevin_in_GA
4,599 posts
msg #107314
- Ignore Kevin_in_GA |
8/1/2012 5:36:34 AM
This system was identified from an autosearch on ^SPX over the last 6+ years. Stratasearch ran for about a day and looked at more than 600,000 combinations of different indicators and settings. This was one of the more simple and profitable ones that also traded well in the short direction as well.
I don't think it would work as well on QQQ or DIA, but who needs it to? This has you 100% in market on a single highly liquid stock, both long and short as the market dictates, with both sides highly profitable.
|
duke56468
683 posts
msg #107319
- Ignore duke56468 |
8/1/2012 9:12:13 AM
Kevin.. It seems counter intuitive, I would think you would go long when the fast indicator crossed above the slow indicator. Help me out here I must be thinking about this wrong.
|
gmg733
788 posts
msg #107321
- Ignore gmg733 |
8/1/2012 10:17:34 AM
I've been using this one successfully.
I use the MA(5) as an exit point.
|
novacane32000
331 posts
msg #107325
- Ignore novacane32000
modified |
8/1/2012 2:47:54 PM
gmg -Do you use a stop if the trade goes against you?
|
gmg733
788 posts
msg #107328
- Ignore gmg733
modified |
8/1/2012 11:13:52 PM
Nope? Not a big fan of stops and the way I trade I usually don't need them. With this particular filter I just close with a close above ma(5) right or wrong. Very binary in nature.
|
mrmenstig
20 posts
msg #107332
- Ignore mrmenstig |
8/2/2012 2:50:41 PM
The long/short coulumn indicator is not appearing on my graphs even using your 2nd filter how do i get it please?
|