Posted by leekaufman on 14th of Jan 2010 at 02:20 pm
Bob, you're talking about the 90,000 - 100,000 ES contracts
traded just after noon yesterday, right? That's a big
trade!
Can you share any thoughts about how one might interpret that
trade, either in how it might influence the rest of trading
yesterday, or might impact today's session?
Posted by leekaufman on 5th of Jan 2010 at 02:29 am
Hi Matt, I'm not trading it, though I have it set up on one of
my workspaces.
I'm using the standard Tradestation Pivot Reverse (long and
short) strategy on a 3 minute chart using the input strength value
you recommend.
Even if I take out the commission and the slippage I only get
7.9% and 12.1% returns for November and December.
I'm not sure what you're doing to get something better, but
I'm curious.
By the way, I very much like the idea of the systems and have
made really good money trading them, but I've turned them off in
the last few months as volitility has receeded and returns have
flattened.
PS I'd love to know what your strategy does that mine
doesn't.
I think it's only fair, especially for those new to the site, to
post realistic returns for the systems, returns that account for
commissions and slippage.
When I say "realistic" what I mean is that these are the returns
you will likely experience if you actually traded the systems for
the past few months.
For example, here are returns for AIG, BIDU and SRS Swing #2
for the past two months, that include Interactive Brokers
commissions ($.005 per share) and a nominal, but realistic slippage
per share:
Slippage:
AIG: $.01 per share because it's pivot driven and pivots
are often taken out with momemtum (and remember these are market
orders)
BIDU: $.10 per share because the spread is often at least
$.10 per share (and the orders are market orders)
SRS Swing #2: $.005 per share (maybe a little too much
slippage estimated here, but probably not at all out of the
ballpark)
Posted by leekaufman on 13th of Nov 2009 at 11:39 am
I just started running the BIDU mechanical system a few days ago
(not posted in Premium Content section - private message Matt for
more details), and I'm trying to make sure it's all working as it
should.
So if there is anyone else trading this, can you confirm that
the system reversed and went long this morning at about 10:27:53 at
around $429.
Posted by leekaufman on 5th of Oct 2009 at 12:21 pm
For all you folks that trade Direxions leveraged ETFs, this
change, outlined below in a newsbrief, will NOT have any affect on
leveraged ETF (e.g. FAZ, FAS). I also confirmed this with a
Direxcion representative.
By Ian Salisbury
Of DOW JONES NEWSWIRES
NEW YORK (Dow Jones)--After months of criticism, some mutual
funds that magnify investors' bets on the direction of the stock
market are being scaled back.
On Wednesday, Direxion Funds said its so-called "leveraged"
mutual funds will double investors' bets on the direction of the
stock market on a monthly - rather than a daily - basis.
The change will apply only to Direxion's conventional mutual
funds and not to its exchange-traded funds that, along with those
from Bethesda, Md.-based ProShares ETFs, have provoked the most
controversy.
Leveraged mutual funds and ETFs, which have collected billions
of dollars in the past few years, use complex investments like
swaps and futures contracts to give investors a more convenient
alternative to moves like trading stocks on margin or short
selling.
For example, on a day when the stock market rises 1%, a
triple-leveraged long fund might rise 3%, while a leveraged short
fund would fall 3%.
While such tools appeal to a wide range of investors, many use
them to make bets that last longer than a single day. In that case,
results can be disappointing, especially in volatile markets when
compounding daily returns tend to work against fund investors.
For instance, while the Russell 2000 was up about 2.6% over the
first six months of the year, the effect of daily compounding meant
the Direxion Daily Small Cap 3X Bull ETF was not up 7.8%, but down
about 21% during that span.
Funds that aim for monthly rather than daily returns could still
produce similar discrepancies, but the longer time frame would give
investors more time to react.
Andy O'Rourke, head of marketing at Direxion, says the funds'
new goal may be a "better fit" for investment managers using
leveraged mutual funds to hedge other bets or get exposure to a
certain slice of the market over the medium term. Day traders may
continue to favor the ETFs.
-By Ian Salisbury, Dow Jones Newswires; 212-416-2241;
ian.salisbury@dowjones.com
Posted by leekaufman on 30th of Sep 2009 at 09:54 am
I've been having the same problem lately with trades not going
through quickly. I think it has something to do with
Tradestation holding the trade.
Under the Tradestation Trademanager window, check out the the
"strategy orders" tab. There is a column called "order
held". I think there may be something in the Easylanguage
code or the way a certain strategy is constructed that prevents it
from being sent immediately.
I've reviewed the tradebullet log and its communication with
Interactive Brokers and that all seems to be working perfectly, and
quickly (milliseconds).
I'd love to resolve this and would appreciate any thoughts/ideas
you all have.
Posted by leekaufman on 25th of Sep 2009 at 09:52 am
Hi Matt, do you plan to post when you're turning on/off the AIG
pivot system?
If I understand correctly you're using an equity curve indicator
to help you avoid "the chop" - like on days like this (so far),
thus allowing you to be much more nimble than those who would
simply leave the system on and incur consecutive days of
losses.
Posted by leekaufman on 12th of May 2009 at 10:29 am
Matt, given the code that you use, and therefore the backtesting
results that you highlight in the daily/weekend updates, did your
SRS 15 minute system take the 9:30am buy today?
I see whether or not to have taken the buy at the open today
as completely and only dependent upon the "code" one uses
(tradestation easylanguage in my case), not being discretionary. I
guess in my mind if the trade is discretionary, it's not really a
"system".
Some of the users have suggested that since this is an
"end-of-day" system, one would not take the trade at the open since
it is triggered by a EMA cross from the prior day.
I can of course code it either way, but I'd like to know whether
BPT views a cross on the last candle of the prior day as a concrete
signal to take a position on the open the next day.
This may seem a bit trivial, but with the usual volatility in
these ETFs in the last 30 minutes, and more often in the last few
minutes, these end of day crosses are acually not that rare.
Posted by leekaufman on 22nd of Apr 2009 at 12:27 pm
I've been testing/trading the EOD mechanical systems on
Tradestation for the past few months with no major
issues/problems.
Yesterday however I got a weird entry on QLD near the end of the
day which made me rethink my code and how I set up my end of day
exit.
I'm hoping there is someone out there who is also using TS for
these automated strategies who is open to chatting about this
offline. If so please private message me.
Thanks in advance for your help!
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ES Monthly Support
Posted by leekaufman on 5th of Feb 2010 at 02:14 pm
ES may have found some support at S1 on the monthly pivot.
Bob, you're talking about the
Did anyone notice the low of day for the ES was the high of the 12:06 volume spike from yesterday?
Posted by leekaufman on 14th of Jan 2010 at 02:20 pm
Bob, you're talking about the 90,000 - 100,000 ES contracts traded just after noon yesterday, right? That's a big trade!
Can you share any thoughts about how one might interpret that trade, either in how it might influence the rest of trading yesterday, or might impact today's session?
Hi Bob, I've been watching
Here is a series of charts for the EC. Each tick (labeled points) is worth $12.50. The last trade is up over 70 now.
Posted by leekaufman on 8th of Jan 2010 at 01:03 pm
Hi Bob, I've been watching this week (the EC). Really nice trending movement. Lovely entries and exits. Absolutely perfect for your style of trading.
One of the things I'd especially like your feedback on is on which futures markets tend to trend more than others.
Hi Matt, I'm not trading
Mechanical Systems Returns Including Commissions and Slippage
Posted by leekaufman on 5th of Jan 2010 at 02:29 am
Hi Matt, I'm not trading it, though I have it set up on one of my workspaces.
I'm using the standard Tradestation Pivot Reverse (long and short) strategy on a 3 minute chart using the input strength value you recommend.
Even if I take out the commission and the slippage I only get 7.9% and 12.1% returns for November and December.
I'm not sure what you're doing to get something better, but I'm curious.
By the way, I very much like the idea of the systems and have made really good money trading them, but I've turned them off in the last few months as volitility has receeded and returns have flattened.
PS I'd love to know what your strategy does that mine doesn't.
Mechanical Systems Returns Including Commissions and Slippage
Posted by leekaufman on 5th of Jan 2010 at 01:30 am
I think it's only fair, especially for those new to the site, to post realistic returns for the systems, returns that account for commissions and slippage.
When I say "realistic" what I mean is that these are the returns you will likely experience if you actually traded the systems for the past few months.
For example, here are returns for AIG, BIDU and SRS Swing #2 for the past two months, that include Interactive Brokers commissions ($.005 per share) and a nominal, but realistic slippage per share:
Slippage:
AIG: $.01 per share because it's pivot driven and pivots are often taken out with momemtum (and remember these are market orders)
BIDU: $.10 per share because the spread is often at least $.10 per share (and the orders are market orders)
SRS Swing #2: $.005 per share (maybe a little too much slippage estimated here, but probably not at all out of the ballpark)
November December
AIG: -5.33% -5.73%
BIDU: 12.44% 0.89%
SRS Swing 2: -1.88% -14.90%
(Calculated on Tradestation)
BIDU System
Posted by leekaufman on 13th of Nov 2009 at 11:39 am
I just started running the BIDU mechanical system a few days ago (not posted in Premium Content section - private message Matt for more details), and I'm trying to make sure it's all working as it should.
So if there is anyone else trading this, can you confirm that the system reversed and went long this morning at about 10:27:53 at around $429.
Thanks! - Lee
SRS Swing #2 - Equity Curve
Posted by leekaufman on 12th of Nov 2009 at 10:40 am
Matt, Steve, Community,
Wondering if/when you all deem the SRS #2 Swing system (non scale out system) to be under performing to the point of turning it off.
It's down over 14% so far this month and the trendline on the equity curve looks close to being breached.
- Lee
Direxion Leveraged ETFs - No Changes
Posted by leekaufman on 5th of Oct 2009 at 12:21 pm
For all you folks that trade Direxions leveraged ETFs, this change, outlined below in a newsbrief, will NOT have any affect on leveraged ETF (e.g. FAZ, FAS). I also confirmed this with a Direxcion representative.
NEW YORK (Dow Jones)--After months of criticism, some mutual funds that magnify investors' bets on the direction of the stock market are being scaled back.
On Wednesday, Direxion Funds said its so-called "leveraged" mutual funds will double investors' bets on the direction of the stock market on a monthly - rather than a daily - basis.
The change will apply only to Direxion's conventional mutual funds and not to its exchange-traded funds that, along with those from Bethesda, Md.-based ProShares ETFs, have provoked the most controversy.
Leveraged mutual funds and ETFs, which have collected billions of dollars in the past few years, use complex investments like swaps and futures contracts to give investors a more convenient alternative to moves like trading stocks on margin or short selling.
For example, on a day when the stock market rises 1%, a triple-leveraged long fund might rise 3%, while a leveraged short fund would fall 3%.
While such tools appeal to a wide range of investors, many use them to make bets that last longer than a single day. In that case, results can be disappointing, especially in volatile markets when compounding daily returns tend to work against fund investors.
For instance, while the Russell 2000 was up about 2.6% over the first six months of the year, the effect of daily compounding meant the Direxion Daily Small Cap 3X Bull ETF was not up 7.8%, but down about 21% during that span.
Funds that aim for monthly rather than daily returns could still produce similar discrepancies, but the longer time frame would give investors more time to react.
Andy O'Rourke, head of marketing at Direxion, says the funds' new goal may be a "better fit" for investment managers using leveraged mutual funds to hedge other bets or get exposure to a certain slice of the market over the medium term. Day traders may continue to favor the ETFs.
-By Ian Salisbury, Dow Jones Newswires; 212-416-2241; ian.salisbury@dowjones.com
Slippage
Slippage
Posted by leekaufman on 30th of Sep 2009 at 09:54 am
I've been having the same problem lately with trades not going through quickly. I think it has something to do with Tradestation holding the trade.
Under the Tradestation Trademanager window, check out the the "strategy orders" tab. There is a column called "order held". I think there may be something in the Easylanguage code or the way a certain strategy is constructed that prevents it from being sent immediately.
I've reviewed the tradebullet log and its communication with Interactive Brokers and that all seems to be working perfectly, and quickly (milliseconds).
I'd love to resolve this and would appreciate any thoughts/ideas you all have.
AIG Pivot
Posted by leekaufman on 25th of Sep 2009 at 09:52 am
Hi Matt, do you plan to post when you're turning on/off the AIG pivot system?
If I understand correctly you're using an equity curve indicator to help you avoid "the chop" - like on days like this (so far), thus allowing you to be much more nimble than those who would simply leave the system on and incur consecutive days of losses.
- Lee
SRS Mechanical System
Posted by leekaufman on 12th of May 2009 at 10:29 am
Matt, given the code that you use, and therefore the backtesting results that you highlight in the daily/weekend updates, did your SRS 15 minute system take the 9:30am buy today?
I see whether or not to have taken the buy at the open today as completely and only dependent upon the "code" one uses (tradestation easylanguage in my case), not being discretionary. I guess in my mind if the trade is discretionary, it's not really a "system".
Some of the users have suggested that since this is an "end-of-day" system, one would not take the trade at the open since it is triggered by a EMA cross from the prior day.
I can of course code it either way, but I'd like to know whether BPT views a cross on the last candle of the prior day as a concrete signal to take a position on the open the next day.
This may seem a bit trivial, but with the usual volatility in these ETFs in the last 30 minutes, and more often in the last few minutes, these end of day crosses are acually not that rare.
Best, Lee
Tradestation for EOD Mechanical Systems
Posted by leekaufman on 22nd of Apr 2009 at 12:27 pm
I've been testing/trading the EOD mechanical systems on Tradestation for the past few months with no major issues/problems.
Yesterday however I got a weird entry on QLD near the end of the day which made me rethink my code and how I set up my end of day exit.
I'm hoping there is someone out there who is also using TS for these automated strategies who is open to chatting about this offline. If so please private message me.
Thanks in advance for your help!