Makes sense… thanks for the clarification.

Hi Matt, Given the price action that has followed this afternoon, is this an uncommon example where symmetry didn’t happen to work?  Or perhaps there is something else to consider when looking for a “higher high “ after a break in symmetry?  

Looks like the RVX did close within its BB today.

Thanks for responding  with the linked chart.  With the divergence between these two and BPSPX in nosebleed, this last advance didn't seem to have much further to go.

Interesting how the BPSPX appears to be in nosebleed territory back to 2007, while the BPNYA is lagging on this move.

Hi Matt... It's not in my email yet.  Can you identify the option?

Another potential CCI play?:   PRTS Daily

It appears that the PMOBUYALL index dropped to 47 today... I believe it's a sell signal for the market (SP500) when it drops below 66 for that system.

In Matt’s post on Feb 15th at 9:48am, he said did mention the exit signal was not there for the open that day.   But in that same post, he did say that the system did show an exit for the following day.  Since he didn’t report another issue with the system signal, my assumption was that the system actually did exit on the 16th.  For the statistics of the system and for those who were still in the trade, the open of the 16th was a little  better than the open of the 15th.

Thanks for taking the time to do this backtest, Matt.  The other interesting thing about it is that if this had been integrated with the Main Spy system, it appears that it would have effectively "blocked" the "first" long trade entry on 1/30 and possibly the 2nd entry in SSO on 2/2?... Effectively keeping the system out of this downturn?  Of course, it "is what it is" for where the system is now.  I know there's plenty of other things to focus on right now, but not sure if you might be considering to integrate this as a new sub-system into the SPY system or possibly changing the existing exhaustion short subsystem with these parameters?  Thanks again!

Matt,

On the Spy System, I believe we're getting very close to the 10% max historical drawdown on the Spy's initial position (281.6 *0.9 = 253.44), and therefore an approximate Stop-loss price that you had recommended... depending on our risk-tolerance.  Wasn't sure if this 10% stop loss should be applied to SPY and then close out all subsequent entries for SSO and UPRO as well, or are you also suggesting approximately 10% stop-loss for each of those separate entries?  Thanks!

Thanks, Steve... I didn't see this post until after I posted my last one.  I think I had understood the leveraging/degradation risks, but not sure that I had understood all of the "implied" added risk... at least as it applied to its use in the Spy Pro system.  I do try to read and listen to the newsletters, but sometimes I'm not able to get to them all.  I know the FAQ section of the Spy Pro system has warnings about allocating your capital with leveraged investments, but perhaps a little more information to discuss/identify these potential/ implied risks and how that may or may not be reflected in the System Performance would be helpful.  But a sincere thanks for all your efforts, guidance, and recommendations based on your investing and trading experience. 

Thanks for the  information, Matt.   It's good to know that although your investigation found the SSO and UPRO ETFs to be well managed and maintained good leverage performance over time, they still have potential risks that might affect the performance or potentially have a "Black Swan" event.  I know it may be hard to quantify, but I assume from your response that SSO and UPRO may have risks, but may not be in the same risk category / level of risk as the XIV "crap"?  

After doing a little research, it makes sense that if the S&P500 reaches an intraday loss of 33%, then the entire UPRO investment/position could be lost  in a "Black Swan" event. While it appears that this condition would not have occurred  in UPRO with the Black Monday S&P500 drop of 20.5%, it doesn't mean that it couldn't occur in future market conditions.   Using well-managed investment tools with a lot of liquidity, a system like Spy Pro, having some hard stop-losses does help to manage the risk.  However, if this type of event were to occur in after-hours, I'm not sure that my current trading platform/provider applies the regular market session stop-loss in After-hours trading... With lower liquidity in after-hours, some of these moves can be amplified that would not be present when liquidity is higher during the day, and may want to figure that into setting a stop loss in after hours as well.   

Sorry for the rambling, but just trying to do a better job of identifying any additional potential risk, and evaluating that risk in investment/trading decisions with the Spy Pro system - risk that may not be apparent from the System / sub-system statistics that you have already provided.  Appreciate all of the additional feedback on this topic that you and Steve have provided in the extra posts in the trading community and newsletter this past evening.   Any additional thoughts/comments/suggestions that you might have on how we can better identify/evaluate/manage increased risk to these investments under changing market conditions (other than what you and Steve have already posted/discussed this evening) is also appreciated.  Thanks!

Matt / Steve:

In an effort to better understand the instruments that are being traded with the Spy Pro System, are you aware of any similar potential "Black Swan" concerns/risks with the other leveraged ETFs used by the system (SSO, UPRO or possibly SPXL)?  Is their 2x / 3x leverage effectively maintained relatively closely with respect to the SP500 index on a daily basis without significant changes in this leveraging amount due to magnitude or rate of market volatility?   Of course investing involves risk, but as part of risk management, are you aware of any other potential concerns/risks with SSO, UPRO, SPXL that would be in addition to the inherent daily 2x / 3x S&P500 leveraging such that the leveraging could increase significantly (gain or loss) in response to  other market factors?

I'm mentioning this I thought I had noticed on a couple trading days last week that UPRO appeared to close well above the 3x SP500 price, and then well below the 3x SP500 price the following day.  Perhaps that was some anomaly with StockCharts at that time, but I had noticed that SPXL traded close to the 3x SP500 price during that same duration - which is why I have used SPXL lately instead of UPRO.  But based on your response, perhaps I may need to re-evaluate how/when to use these specific leveraged ETFs and how I may need to set and adjust a stop loss with the Spy Pro System.  Any additional info/guidance/suggestions you may have is welcome and appreciated.

Thanks!

- Nick

Hmmm... I'm still seeing quotes for 22.5 on XIV

Now 36-ish... Volatility Panic.