davesaint86
725 posts
msg #116201
- Ignore davesaint86 |
10/23/2013 4:58:25 PM
Forgot to add this a backtesting area.
https://www.pairtradinglab.com/index.php?command=newBacktest
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Kevin_in_GA
4,599 posts
msg #116202
- Ignore Kevin_in_GA |
10/23/2013 7:04:28 PM
Dave - this requires you go long one and short the other. What I was thinking was that you go place a long bet on whichever stock goes up more than X% from the open, knowing that since they are inversely related only one will do this.
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davesaint86
725 posts
msg #116206
- Ignore davesaint86 |
10/23/2013 11:13:10 PM
Sorry Kevin. Your idea makes more sense. If each of us would have bought $5,000 of Dust and $5,000 of Nugt at the open Monday morning (also with a 3% trailing stop) I'm pretty sure on Monday the 3% trailing stop for Dust would have been hit. Nugt would have made a high of 18% yesterday and then today I assume the trailing stop would have been triggered at 15%. So we would have had a 15% gain on Nugt and a 3% or so lost on Dust.
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Kevin_in_GA
4,599 posts
msg #116208
- Ignore Kevin_in_GA |
10/24/2013 12:01:03 AM
Or just buy the one that gains 3% using a set of buy stops. That was the idea from Bartune1, which saves you money.
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mahkoh
1,065 posts
msg #116210
- Ignore mahkoh |
10/24/2013 6:47:23 AM
One could throw in statistics on how many times the stock went to 5, 8 and 10 % after a 3 % move.
And we could call it "Run Forrest, Run"
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olathegolf
119 posts
msg #116233
- Ignore olathegolf
modified |
10/24/2013 6:13:44 PM
On a daily time frame, I think this is just a variation of TRO's MTC.
Trigger is 3% above the open.
Counts how many times you achieve 0.25%-3% above the trigger
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alf44
2,025 posts
msg #116239
- Ignore alf44
modified |
10/25/2013 1:31:36 AM
"On a daily time frame, I think this is just a variation of TRO's MTC"
---
I think TRO said his original "Crock Pot" filter WAS a variation of MTC ! (albeit on a WEEKLY time frame)
I would ALSO say that much/most of what TRO has put forth in these forums (in recent years) ... IS a "variation" of MTC !
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I would ALSO say ... there is MUCH to be gleaned from these cleverly coded TRO filters !!!
Not saying anything about the viability of them as standalone trading systems ... personally, I don't care much for them !
But, as clever examples of how to use the Stockfetcher platform in creative and entirely different ways (reports/statistics etc ... rather than merely "scan for stocks") ... to me, that is where TRO deserves a place in the SF Hall of Fame !!!
Just sayin'
--------------------------------------------
~edit~
Actually, as I "re-read" the post above this one this morning ... I think I misunderstood the "jist" of the post.
.
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olathegolf
119 posts
msg #116269
- Ignore olathegolf |
10/25/2013 9:15:10 PM
alf44 - TRO deserves kudos as this was a variation of his original filter. When I said "just", I suppose it sounded like a minimizing phrase. That was not my intent. He has many great posts.
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bjfeen
24 posts
msg #116311
- Ignore bjfeen |
10/28/2013 10:33:49 PM
Kevin, does SS incorporate intraday data or just EOD? So far in my manual backtesting of the 3% buy stop with a 1-2% trailing stop on DUST/NUGT, price crosses the 3% threshold only to quickly reverse back triggering the trailing stop. I've found that once price crosses that 3% threshold, it has a greater tendency to close the day above 3 percent (and in some cases much more than 3%). I'm testing the buy stop with holding to the close now to see if it produces better results. Just want to compare notes to see if anyone else has seen the same?
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guspenskiy13
976 posts
msg #118709
- Ignore guspenskiy13
modified |
3/23/2014 3:17:00 PM
I was thinking, whether a buy at the Monday's CLOSE instead of the OPEN would be reasonable.
In case of the Monday sell-off at the open, it would give the system better chances to achieve the 2% target, IMO.
I am also looking how to reduce the risk, as one down week for the market could result in a loss of 5-8% on the position, while other stocks could fluctuate from negative 5% to positive 5% intra-week.
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