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Thats interesting to know - the problem is that every time we have a small dip right now money comes flooding back in - take everytime the Greek problems have happended in the last month - even the opening down dips the last few days this week - it just pushes harder back. Nothing is stopping this train. We are coming towards the middle of the month. No big thing but towards the end of the month you get the 401K monthly money flows getting distributed. This has a very very small quatifiable edge over the long run - 'Joe Plummer' after reading the Jobs numbers last Friday and the consumer sentiment this week is going to not even think twice about the monthly pension monies. Another leg up. And then another. I'll be out of my short and back long if my trending indicators tell me - but this is damn annoying.
but like John Keynes said - 'the markets can remain irrational longer than you can stay solvent'
Nah - its my last name.
I'm also short as of last Thursday when trending indicators stopped and overboughtness ruled. But the long rush this week is going to get the trend rolling again and i may need to get out and lick my wounds on this short ... fwiw.
This is getting insane - my signal which keeps me in trends as long as possible just keeps continuing long. Its not that i hate it - its just that we all know this is going to end at one point with a bust.
JMHO from my testing experience - when a trend is established it is always better to follow the trend until the trend ends (i.e. ADX < ADX (yesterday), VHF < VHF (yesterday) etc.. etc..) than to try and fade it. The whole point of trend following is that you are taking advantage of the 'fat tail' concept which is one of the only truely accepted small edges that there is in the market. You can try and fade the extremes - but when the trend is established my experience says its better not too.
JMHO
Hamiltonie
Marc, see link below ..
http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?HistoricalData
Personally i think TradeStation is the best and has everything.
You've got to be kidding - right ?
Twenty posts and your already at each others throats - and not one shred of informative information in the whole board. I suggest you start again from scratch.
I have to be honest i just carnt keep reading all of those bad projections based on EW or 123. I was really going over there to read Capt and Northam posts.
I dunno - but the market can change its dynamics at any time and its up to us to use a myriad of tools to try and figure out what its doing. An all encompassing theory as it suggests to go forward i just dont get considering all past results are modified after the fact.
Northam - my personal system (which is short term) - that i use went short from long at the open this morning. So one account i have is short as of this morning. A signal i subscribe to is long from Dubai day last week which i have a half position in in another account.
I agree with the significant pullback at this point theory too. It may not happen like Capt says until after Christmas - but at this point i dont want to be too exposed long - we have come along long way since March. My trend following pointers ADX and VHF are not confirming the trend anymore and havent for over a week now.
Capt - i'm with Northam - my indicators are working fine too. The last 7 - 8 months have been a trend followers wet dream.
I will say this any mean reversion type strategies (Like we discussed with Travis) that were shorting against the trend on the overbought markets would have gotten you killed - unles you had trend filters in place.
Hi Northam - my model is still bullish and for some reason didnt blink during this short term down cycle - how's your looking ? seems we've been pretty much in sync - just curious ?
Honestly Northam - i have no clue :)
I was just going on a past statistical bias of the oversold condition - which was pretty extreme.
It just depends on this bounce and how far up we get with it and how fast to make a guess the next direction.
I'am almost in agreement Northam - fwiw - I'm expecting a very short term low to be either put in today or tomorrow am. With an extremely short term oversold (RSI 2 on Q's of 1.39) reading and the end of the month 401k buying starting. Next week is a whole new world though.
Its a compellng argument Poker and i do put stock in it - the problem is now is earnings like AAPL's and the impact its having on the markets.
http://finance.yahoo.com/q?s=AAPL
Looks like that gap will maybe closed as of the open tomorrow.
Gleno - that chart is very interesting ! - now check this chart out ... your chart shifted back 6 years.
http://stockcharts.com/h-sc/ui?s=$SPX&p=D&st=2001-10-15&en=2003-10-15&id=p68853369191&a=150136628
same exact period 2001-10-15 to 2003-10-15 - seems the primary A and Primary B waves are the same, and the current ABC (from what i know look the same. Also the 956 line is very intact.
Just saying there's alot of similarities...
and here's the folllowing 6 months 2003-10-15 - 2003-04-15.
http://stockcharts.com/h-sc/ui?s=$SPX&p=D&st=2003-10-15&en=2004-04-15&id=p44866958395&a=150136628
Well - yes - looking at 1988 and 2003 there was enough liquidity and government manipulation thrown at the market after those two crashes that there had to be the kind of rally that there was. This government is no different - on the surface - I hold to those two patterns until proven other wise - conditions are similar and markets mid to longer term patterns are following it to the T. My technical model is also following it to the T.
Are any of you wave counters making any money here ? this isnt a dig - It's just i'm seeing all of these calls people are making based on the waves and no one is possibly making money of them.
You guys are missing one of the best trend following markets of the last couple of decades - you would have made your money back from last years drop in spades.
I'm in complete agreement with Northerm - my models until proven otherwise point bullish the only issue is a very short term overbought (RSI 2 at 94 ish).
For the second rule (as you wanted with the weekly entry filter) - one thing to note it did cut the number of trades in half.
All Trades Long Trades Short Trades
Total Net Profit $829.86 $0.00 $829.86
Gross Profit $4,106.12 $0.00 $4,106.12
Gross Loss ($3,276.26) $0.00 ($3,276.26)
Profit Factor 1.25 n/a 1.25
Roll Over Credit $0.00 $0.00 $0.00
Open Position P/L $0.00 $0.00 $0.00
Select Total Net Profit $981.14 $0.00 $981.14
Select Gross Profit $3,694.12 $0.00 $3,694.12
Select Gross Loss ($2,712.98) $0.00 ($2,712.98)
Select Profit Factor 1.36 n/a 1.36
Adjusted Total Net Profit ($502.52) $0.00 ($502.52)
Adjusted Gross Profit $3,456.89 $0.00 $3,456.89
Adjusted Gross Loss ($3,959.41) $0.00 ($3,959.41)
Adjusted Profit Factor 0.87 n/a 0.87
Total Number of Trades 63 0 63
Percent Profitable 63.49% 0.00% 63.49%
Winning Trades 40 0 40
Losing Trades 23 0 23
Even Trades 0 0 0
Avg. Trade Net Profit $13.17 $0.00 $13.17
Avg. Winning Trade $102.65 $0.00 $102.65
Avg. Losing Trade ($142.45) $0.00 ($142.45)
Ratio Avg. Win:Avg. Loss 0.72 n/a 0.72
Largest Winning Trade $412.00 $0.00 $412.00
Largest Losing Trade ($563.28) $0.00 ($563.28)
Largest Winner as % of Gross Profit 10.03% n/a 10.03%
Largest Loser as % of Gross Loss 17.19% n/a 17.19%
Net Profit as % of Largest Loss 147.33% n/a 147.33%
Select Net Profit as % of Largest Loss 174.18% n/a 174.18%
Adjusted Net Profit as % of Largest Loss (89.21%) n/a (89.21%)
Max. Consecutive Winning Trades 8 0 8
Max. Consecutive Losing Trades 3 0 3
Avg. Bars in Total Trades 4.78 0.00 4.78
Avg. Bars in Winning Trades 3.83 0.00 3.83
Avg. Bars in Losing Trades 6.43 0.00 6.43
Avg. Bars in Even Trades 0.00 0.00 0.00
Max. Shares/Contracts Held 258 0 258
Total Shares/Contracts Held 8835 0 8835
Account Size Required $1,184.25 $0.00 $1,184.25
Total Slippage $353.40 $0.00 $353.40
Total Commission $378.00 $0.00 $378.00
Return on Initial Capital 8.30%
Annual Rate of Return 0.80%
Buy & Hold Return (55.38%)
Return on Account 70.07%
Avg. Monthly Return $4.98
Std. Deviation of Monthly Return $99.96
Return Retracement Ratio 0.09
RINA Index 40.53
Sharpe Ratio (0.01)
K-Ratio 0.11
Trading Period 10 Yrs
Percent of Time in the Market 9.64%
Time in the Market 11 Mths, 17 Dys
Longest Flat Period 216 Dys
Max. Equity Run-up $2,392.36
Date of Max. Equity Run-up 11/12/01 16:00
Max. Equity Run-up as % of Initial Capital 23.92%
Max. Drawdown (Intra-day Peak to Valley)
Value ($1,404.57) $0.00 ($1,404.57)
Date 11/23/05 16:00
as % of Initial Capital 14.05% 0.00% 14.05%
Net Profit as % of Drawdown 59.08% n/a 59.08%
Select Net Profit as % of Drawdown 69.85% n/a 69.85%
Adjusted Net Profit as % of Drawdown (35.78%) n/a (35.78%)
Max. Drawdown (Trade Close to Trade Close)
Value ($1,184.25) $0.00 ($1,184.25)
Date 11/29/05 16:00
as % of Initial Capital 11.84% 0.00% 11.84%
Net Profit as % of Drawdown 70.07% n/a 70.07%
Select Net Profit as % of Drawdown 82.85% n/a 82.85%
Adjusted Net Profit as % of Drawdown (42.43%) n/a (42.43%)
Max. Trade Drawdown ($771.42) $0.00 ($771.42)
For the first rule (without the entry filter - short side only)
All Trades Long Trades Short Trades
Total Net Profit $342.69 $0.00 $342.69
Gross Profit $4,763.87 $0.00 $4,763.87
Gross Loss ($4,421.18) $0.00 ($4,421.18)
Profit Factor 1.08 n/a 1.08
Roll Over Credit $0.00 $0.00 $0.00
Open Position P/L $0.00 $0.00 $0.00
Select Total Net Profit $493.97 $0.00 $493.97
Select Gross Profit $4,351.87 $0.00 $4,351.87
Select Gross Loss ($3,857.90) $0.00 ($3,857.90)
Select Profit Factor 1.13 n/a 1.13
Adjusted Total Net Profit ($924.92) $0.00 ($924.92)
Adjusted Gross Profit $4,121.51 $0.00 $4,121.51
Adjusted Gross Loss ($5,046.43) $0.00 ($5,046.43)
Adjusted Profit Factor 0.82 n/a 0.82
Total Number of Trades 106 0 106
Percent Profitable 51.89% 0.00% 51.89%
Winning Trades 55 0 55
Losing Trades 50 0 50
Even Trades 1 0 1
Avg. Trade Net Profit $3.23 $0.00 $3.23
Avg. Winning Trade $86.62 $0.00 $86.62
Avg. Losing Trade ($88.42) $0.00 ($88.42)
Ratio Avg. Win:Avg. Loss 0.98 n/a 0.98
Largest Winning Trade $412.00 $0.00 $412.00
Largest Losing Trade ($563.28) $0.00 ($563.28)
Largest Winner as % of Gross Profit 8.65% n/a 8.65%
Largest Loser as % of Gross Loss 12.74% n/a 12.74%
Net Profit as % of Largest Loss 60.84% n/a 60.84%
Select Net Profit as % of Largest Loss 87.70% n/a 87.70%
Adjusted Net Profit as % of Largest Loss (164.20%) n/a (164.20%)
Max. Consecutive Winning Trades 8 0 8
Max. Consecutive Losing Trades 10 0 10
Avg. Bars in Total Trades 3.75 0.00 3.75
Avg. Bars in Winning Trades 3.40 0.00 3.40
Avg. Bars in Losing Trades 4.18 0.00 4.18
Avg. Bars in Even Trades 2.00 0.00 2.00
Max. Shares/Contracts Held 258 0 258
Total Shares/Contracts Held 14694 0 14694
Account Size Required $1,430.26 $0.00 $1,430.26
Total Slippage $587.76 $0.00 $587.76
Total Commission $636.00 $0.00 $636.00
Return on Initial Capital 3.43%
Annual Rate of Return 0.34%
Buy & Hold Return (55.38%)
Return on Account 23.96%
Avg. Monthly Return ($11.29)
Std. Deviation of Monthly Return $123.71
Return Retracement Ratio 0.04
RINA Index (7.50)
Sharpe Ratio (0.06)
K-Ratio (0.15)
Trading Period 10 Yrs
Percent of Time in the Market 11.63%
Time in the Market 1 Yr, 1 Mth, 28 Dys
Longest Flat Period 216 Dys
Max. Equity Run-up $2,392.36
Date of Max. Equity Run-up 11/12/01 16:00
Max. Equity Run-up as % of Initial Capital 23.92%
Max. Drawdown (Intra-day Peak to Valley)
Value ($1,636.60) $0.00 ($1,636.60)
Date 01/16/07 16:00
as % of Initial Capital 16.37% 0.00% 16.37%
Net Profit as % of Drawdown 20.94% n/a 20.94%
Select Net Profit as % of Drawdown 30.18% n/a 30.18%
Adjusted Net Profit as % of Drawdown (56.51%) n/a (56.51%)
Max. Drawdown (Trade Close to Trade Close)
Value ($1,430.26) $0.00 ($1,430.26)
Date 01/16/07 16:00
as % of Initial Capital 14.30% 0.00% 14.30%
Net Profit as % of Drawdown 23.96% n/a 23.96%
Select Net Profit as % of Drawdown 34.54% n/a 34.54%
Adjusted Net Profit as % of Drawdown (64.67%) n/a (64.67%)
Max. Trade Drawdown ($771.42) $0.00 ($771.42)
Marc - correct the first test was without the additional short entry filter. The second paragraph was i think what you were after...
>>I then changed the signal entry to exclude openning the RSI 2 short if the weekly RSI 5 was >70 and <80. This increased the pf to 1.25 and 63% winning trades but although that brought up the pf it still only had a net profit in 10 years of $829.<<
Let me know if we are both on the same page ...
Marc - i ran the stops as you suggested. It didnt help the short side system much. There was the same problem during the weeks when the weekly RSI 5 >70 and <80 when the system would close the short and re-enter the next day and then close again the following open. This was over the period 1999 - 2009. The profit factor went from .96 and winning trades 63% for the period to 1.08 with 51% winning trades. Over the whole period the net profit difference was only a matter of around $900 or so.
I then changed the signal entry to exclude openning the RSI 2 short if the weekly RSI 5 was >70 and <80. This increased the pf to 1.25 and 63% winning trades but although that brought up the pf it still only had a net profit in 10 years of $829.
Bottom line i'm really not seeing any edge with this addition on the short side.
Gary,
btw: following the vanilla RSI2 rules we all worked through early summer, this mornings long is to be closed at the open tomorrow since RSI2 is 70 - if following it to the T.
Marc - fwiw - last Fridays close caused a RSI 2 long on QQQQ at the open this morning and its in pretty good shape right now per the original basic rules. With RSI 2 as of todays close at 70.33 per the rules it has an exit at tomorrows open.
Howdy Marc - still here ... not decimated.
I ran a stop on the RSI 5 > 80 on the short side. Its not pretty (negative for the whole period 99 - 09) - the problem is, is that the short re-enters immediately the next open and stops out again next open and it continues becuase the RSI 2 is still > 95.
We might want to try a trending indicator like the ADX or the VHF at extreme highs as our exit and not reentering until its in a more normal range ? - i'll try some runs on that when i get some time.
But although there was a bad beat on an RSI 2 short in late July, there was just as good win on a long at the beginning of September.
How have you guys been holding up in this strong trend market ? I posted some links on the POKERSAM board about some similarities between the markets in 88/89, 03/04 and now all coming off extreme drops.
Anyways all the best Marc.
Thanks !
Hi Capt - any chance of posting a link for that ? (and a possible chart ?) this is an important point ...
Here's a couple of charts to note similarities...
http://stockcharts.com/h-sc/ui?s=$SPX&p=D&st=1987-05-15&en=1990-05-15&id=p62389415092
http://stockcharts.com/h-sc/ui?s=$SPX&p=D&st=2002-05-15&en=2005-05-15&id=p20295880102
http://stockcharts.com/h-sc/ui?s=$SPX&p=D&st=2008-06-15&id=p02246111662
fwiw i'm in agreement that short term we are probably due for a pullback of sorts with RSI2 > 95, but how much of a pullback ?
During the 88 recovery there was around a 10% pull back at the end of October 2003 before its return to the long term trend and solid a further move up form then on of around 35%.
In 2003 there were < 5% pull backs and then a 15% upward move to the end of the year.
I'm just trying to stress that trying to call tops in runaway recoveries likes this is pure suicide regardless of reason for convictions. Just like it was trying to call bottoms late last year.
The trend is still in place until proven otherwise - look at 1988 and 1990 after the 87 crash.
I was a little fiesty on that previous reply - there is just alot of touts on MA cross and MACD systems and how well they work - when in reality they do not. If you had a market similar to the the past 10 months yes, but over the last 10 years it would have eaten your lunch and your neighbours too.
"...Then again an SMA cross will work if that is all you trade and you follow the rule...."
POKER - this is not a diss on you. But an SMA cross system does not work. If you dont believe me prove it.
Ok - i see it your point.
Thanks ... the author should have posted the length of the RSI they are using - i'm assuming its 14 days.
I see your point - but as its said 'look at these things long enough and they will tell you anything'
Poker - what is a 'Huge negative divergence like the RSI on the daily' ? what is diverging from what price to RSI ? i'm not seeing it - let me know i'm very curious ...
I'm not bear until the market shows a sign that its turned. Counting waves and trying to anticipate the turn is all very good but i dont gamble short when every single trend following indicator point long. fwiw with RSI(2) QQQQ at 98 i have gone to cash from long.
Agreed - it will eventually turn your way - a reason picking tops and using extreme values on mean reversion indicators to fade the trend can be the equivalent or drinking wood varnish - horrible death - beautiful finish.
I completely agree - i'm just trying to stress that when everyone is predicting it, there is a good possibility it may not happen.
FWIW RSI(2) > 95 on QQQQ.
If you guys dont think this has legs take a look at 1988 and 1989 after the 87 crash. I'm just skeptical about a new big down move - everyone is predicting it - so it wont happen - so we will climb the wall of worry.
Jerry - the results i saw the other day looked pretty good - but it again is locked down on C2 "This system is currently not allowing any new subscribers and thus is not viewable by the public."
Those are some pretty decent stats 16/16 - you carnt see the stats on C2. It says because you carnt subscribe to the system you carnt see the details.
I have been tracking it. But i have not got additional filters on like you mentioned below. I think its definately worth a look by adding your additonal RSI filter along with trying a couple of other simple filters i.e longs only when 200 ema > yesterdays 200 ema.
There is also stops and profit targets that could be added. Anyone got any suggestions on these ?
FWIW - i have been taking certain live signals from this and as you can imagine it feels like someones giving me a root canal right now.
No problem - its as simple as a couple of statements and parameters and copying in the performance report. Let me know if you want anymore running - the ideas help me too.
I have been playing around with this for quite a while and here's a couple of points to note that have come up time and again.
1. When setting the exit level for some reason it is always more profitable to go +/- 10 either way i.e a short on RSI(2) > 95 should exit on RSI(2) about 40 and a long on RSI(2) <5 should exit on RSI(2) about 60. The reversion when it works almost always overshoots.
2. This does not work on all index ETF's and certainly not all stocks.
CAPT - the results were backtested but they took into account commissons and 0.02 cents commission per share per trade.