mahkoh
1,065 posts
msg #108789
- Ignore mahkoh |
11/13/2012 2:52:25 AM
Add "exit above 0.5" to your exitfilter.
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ericeira
23 posts
msg #108797
- Ignore ericeira |
11/14/2012 12:21:30 AM
Thank you Mahkoh.
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Kevin_in_GA
4,599 posts
msg #108804
- Ignore Kevin_in_GA |
11/14/2012 3:06:46 PM
10/20/2012 3:09:40 PM
Just a follow up - been on the road for work and did not get to enter the above trade - a good thing considering yesterday's session. I got into SSO at 61.50 around noon yesterday, thinking the the bottom was in. It wasn't, but by the end of the day four more divergence filters had triggered.
+++++++++++++++++++++
Ouch.
My thinking with this particular set of filters was that with such high win rates and Sharpe ratios, one can use leverage with a reasonable degree of confidence. I know that is still true, but I need to remind myself of that as I look at SSO currently trading at 54.80 (down close to 11%).
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jackmack
334 posts
msg #108805
- Ignore jackmack |
11/14/2012 4:23:52 PM
I still think the filters are awesome and it is no doubt prudent to use that 3% stop - saving 8% on the down side if the 61.50 SSO trade was entered - ouch yes if not.
Cheers
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Kevin_in_GA
4,599 posts
msg #108807
- Ignore Kevin_in_GA |
11/14/2012 5:51:17 PM
These filters do not employ any stops. You are probably thinking of the Stochastics %D crossover filter.
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tennisplayer2
210 posts
msg #108812
- Ignore tennisplayer2 |
11/15/2012 6:30:12 AM
Kevin, I very much appreciate your posts. I can only wish that I had your knowledge. You are a rare breed, a man of integrity. You remind me a lot of the guys that I use to do business with in the 70's, a handshake was all that was needed. Once again, thanks for all the help and your willingness to help others.
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jackmack
334 posts
msg #108813
- Ignore jackmack |
11/15/2012 7:47:55 AM
Kevin - yes I was - sorry.
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duke56468
683 posts
msg #108815
- Ignore duke56468 |
11/15/2012 9:10:27 AM
We are near the limit of the max draw-down.
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Kevin_in_GA
4,599 posts
msg #108817
- Ignore Kevin_in_GA |
11/15/2012 9:38:30 AM
Duke:
You're right but the thing that worries me is that the average winning trade is like 6-10 days, and the longer a trade is held in these filters the more likely it will result in a loss. That coupled with my use of SSO instead of SPY makes this one likely to go against me. However, that is trading ...
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mahkoh
1,065 posts
msg #108829
- Ignore mahkoh |
11/15/2012 2:58:28 PM
That last thing is what I have come across as well backtesting these filters: Trades that do not close out within about 10 days result in severe losses. Maybe it would be an idea to incorporate an optimal max holding period.
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