If you're using stops then it's much easier: just figure out how
much you will lose if your stop gets hit. If you only want to lose
$1000 max, then you can just divide $1000 by $50 to get your ES
stop points value. $1000 / $50 =
For futures you look at the nominal value of the contracts you
trade. For ES it is $50 x Index point value, or as of Friday's
close, $68,175 per contract. In other words, in your example trade
above, your 9 contracts was the equivalent of about a $600K
position in SPY depending upon where the index was when you
entered.
Since the system doesn't use stops, you have to look at the
maximum losing trade to determine how much you are willing to risk.
Or, use the mid-trade maximum drawdown to determine how much heat
you could stand before bailing on the trade. In either case, the
first thing that you need to do is to determine for yourself what
the maximum loss to your account that you are willing to take on
any one trade.
ES example:
Let's say you have a $100K account and are willing to lose no
more than 3% ($3,000) on any one trade. If the system's historical
maximum losing trade was 3.36%, you would divide your $3,000 by
0.0336 (3.36%). The result is $89,286. That means that you could
comfortably trade only one ES contract (again, worth $68,175 right
now). When your account gets to $178.6K you could add another
contract. Or, you could add more contracts if your risk tolerance
is higher.
This tax will kill us small traders with a $50 per round trip
tax for each $10,000 transaction. The big guys will either expand
their use of dark pools or pass the tax along to their customers as
fees.
The link below has a boilerplate letter that you can edit and
either e-mail or send hard copy to your congressman and
senators.
Sorry, I noticed that I had the wrong color font on the
cumulative points column when I first submitted
the images--and then managed to double-post the
corrected image. D'oh!
I finally got some time this
weekend to look at using $NYSI 5,3 stochastic crossovers to time
entries and exits on the S&P 500 weekly. Over the past two
years, these crossovers appeared to give fantastic signals, and
even when considering how you would actually have to execute
trades, the results are pretty good (65% winning trades and a 22.2%
CAGR). The bad news is that the equity curve over those two years
would have made it tough to keep on the system in that you would
have been negative for the first nine months. More of a problem is
that the same methodology backtested further breaks down pretty
badly, with lots of spurious buy and sell signals during the
extended 2006 rally.
The method I tested was to buy /
sell at the closing price of the S&P 500 on any Friday where
the $NYSI 5,3 stochastic crossed up / down. I worked my way week by
week through the weekly $NYSI chart taking a screen shot for every
signal, noting the closing S&P 500 price. I acted on every
reversal crossover—including the nasty whipsaw in late Nov 2008 /
early Dec 2008.
The shots below are 1) Matt’s
signal chart 2) my revised signal chart 3) the list of trades 4)
the equity curve and 5) a picture of the first signal on 10-19-2007
that also shows the spurious signals given during the long 2006
rally.
While I’d be awfully happy with a
compound annual growth rate of 22.2%, I don’t think you’d get those
kind of numbers if you look back further into time (I plan to try
this eventually).
Between the bloodsuckers and the SEC doing the banksters
bidding, it will eventually become prohibitively difficult
for small investors to use short and leveraged
instruments. I'm beginning to see that this is a long-only market
and that as sheep we're supposed to shut up and accept an annual
shearing to enable those $750,000/person quarterly bonuses
at GS.
They're pushin' too hard, pushin' too hard, on me.
After reading "The Creature From Jekyll Island," read "
Web of Debt" by Ellen Hodgson Brown. Learn the
simple truth about how money is created by the Fed in service of
its banker owners...and how we could cut them out of the middle and
retake control of our destiny.
Since 1913, we have been--and are being--scammed. It is
outrageous that Congress is blocking the bill to audit the Fed. The
pretext is that "we cannot allow the monetary system to become
politicized." This level of Big Lie is so "audacious" as to boggle
the mind. The bankers that (literally) own the Fed buy political
influence precisely to shunt trillions of dollars into their
coffers--impoverishing the American taxpayer in boom and bust
cycles.
"Since JP Morgan just announced its intentions to raise capital
yesterday, it is highly unlikely that we will see a strong,
sustained downward trend in US markets commence for at least
another couple of weeks if not a couple more months. However, other
important “triggers” in the international world outside of the US
will determine if we see this sustained downward trend in a couple
of weeks versus a couple more months."
The community is delayed by three days for non registered users.
The other way of looking at it...
SPY System - substituting SSO for SPY
Posted by pdquig on 30th of Apr 2011 at 10:19 pm
If you're using stops then it's much easier: just figure out how much you will lose if your stop gets hit. If you only want to lose $1000 max, then you can just divide $1000 by $50 to get your ES stop points value. $1000 / $50 =
20 ES points for one contract
10 ES points for two contracts
4 ES points for five contracts, etc.
Calculating Risk Using Futures
SPY System - substituting SSO for SPY
Posted by pdquig on 30th of Apr 2011 at 08:05 pm
For futures you look at the nominal value of the contracts you trade. For ES it is $50 x Index point value, or as of Friday's close, $68,175 per contract. In other words, in your example trade above, your 9 contracts was the equivalent of about a $600K position in SPY depending upon where the index was when you entered.
Since the system doesn't use stops, you have to look at the maximum losing trade to determine how much you are willing to risk. Or, use the mid-trade maximum drawdown to determine how much heat you could stand before bailing on the trade. In either case, the first thing that you need to do is to determine for yourself what the maximum loss to your account that you are willing to take on any one trade.
ES example:
Let's say you have a $100K account and are willing to lose no more than 3% ($3,000) on any one trade. If the system's historical maximum losing trade was 3.36%, you would divide your $3,000 by 0.0336 (3.36%). The result is $89,286. That means that you could comfortably trade only one ES contract (again, worth $68,175 right now). When your account gets to $178.6K you could add another contract. Or, you could add more contracts if your risk tolerance is higher.
Make sense?
Max bars back
TS-Max Bars Back
Posted by pdquig on 2nd of Feb 2010 at 04:08 pm
The max bars back setting that's at issue for a strategy is found in
format strategies>general (I'm going from memory...it's the first tab on the left and then the entry box is on the bottom left)
New Bull Market
Martin Armstrong....
Posted by pdquig on 15th of Dec 2009 at 01:08 pm
Sure, as long as the consuming can all be done by China, Brazil, India et al. We're still a little under water back in the USSA.
Write to Congress in opposition to the Trader Tax
Posted by pdquig on 27th of Nov 2009 at 03:27 pm
This tax will kill us small traders with a $50 per round trip tax for each $10,000 transaction. The big guys will either expand their use of dark pools or pass the tax along to their customers as fees.
The link below has a boilerplate letter that you can edit and either e-mail or send hard copy to your congressman and senators.
http://www.rallycongress.com/no2tradertax/1536/tell-congres-to-block-trader-tax/
Our livelihood is at stake here, folks. Send this info to all your trading friends.
This congress is intent on killing small business either through ideology or their ignorance of the unintended consequences of their actions.
$NYSI charts
Posted by pdquig on 14th of Sep 2009 at 11:55 am
Sorry, I noticed that I had the wrong color font on the cumulative points column when I first submitted the images--and then managed to double-post the corrected image. D'oh!
$NYSI
Posted by pdquig on 14th of Sep 2009 at 11:35 am
I finally got some time this weekend to look at using $NYSI 5,3 stochastic crossovers to time entries and exits on the S&P 500 weekly. Over the past two years, these crossovers appeared to give fantastic signals, and even when considering how you would actually have to execute trades, the results are pretty good (65% winning trades and a 22.2% CAGR). The bad news is that the equity curve over those two years would have made it tough to keep on the system in that you would have been negative for the first nine months. More of a problem is that the same methodology backtested further breaks down pretty badly, with lots of spurious buy and sell signals during the extended 2006 rally.
The method I tested was to buy / sell at the closing price of the S&P 500 on any Friday where the $NYSI 5,3 stochastic crossed up / down. I worked my way week by week through the weekly $NYSI chart taking a screen shot for every signal, noting the closing S&P 500 price. I acted on every reversal crossover—including the nasty whipsaw in late Nov 2008 / early Dec 2008.
The shots below are 1) Matt’s signal chart 2) my revised signal chart 3) the list of trades 4) the equity curve and 5) a picture of the first signal on 10-19-2007 that also shows the spurious signals given during the long 2006 rally.
While I’d be awfully happy with a compound annual growth rate of 22.2%, I don’t think you’d get those kind of numbers if you look back further into time (I plan to try this eventually).
-pd
Gold Net Short chart
Posted by pdquig on 3rd of Sep 2009 at 12:27 pm
Matt,
If you get a chance, could you please include your big picture $Gold chart that is annotated with the net short positions?
Thanks,
-pd
Just sent Howard Smith Law a flaming e-mail
Class Action Lawsuit Against ProShares SRS
Posted by pdquig on 1st of Sep 2009 at 09:29 am
Between the bloodsuckers and the SEC doing the banksters bidding, it will eventually become prohibitively difficult for small investors to use short and leveraged instruments. I'm beginning to see that this is a long-only market and that as sheep we're supposed to shut up and accept an annual shearing to enable those $750,000/person quarterly bonuses at GS.
They're pushin' too hard, pushin' too hard, on me.
Why the 12 EMA?
spx mthly 12 EMA
Posted by pdquig on 28th of Jul 2009 at 04:57 pm
I've almost uniformly seen the monthly 20 EMA used in the past, and it has quite a way to go.
SPX Weekly 13/34 Cross
Dynamic Stockhart Links
Posted by pdquig on 28th of Jul 2009 at 10:57 am
The week's not over yet, but this has been significant in the past ten years...
Web of Debt--another good read
Posted by pdquig on 10th of Jul 2009 at 11:52 am
After reading "The Creature From Jekyll Island," read " Web of Debt" by Ellen Hodgson Brown. Learn the simple truth about how money is created by the Fed in service of its banker owners...and how we could cut them out of the middle and retake control of our destiny.
Since 1913, we have been--and are being--scammed. It is outrageous that Congress is blocking the bill to audit the Fed. The pretext is that "we cannot allow the monetary system to become politicized." This level of Big Lie is so "audacious" as to boggle the mind. The bankers that (literally) own the Fed buy political influence precisely to shunt trillions of dollars into their coffers--impoverishing the American taxpayer in boom and bust cycles.
50/200 SMA vs. EMA
End of Bear- GOLDEN CROSS
Posted by pdquig on 23rd of Jun 2009 at 02:46 pm
Surprise: the more closely watched 50/200 daily SMA crossover method did not fare as well as the 50/200 daily EMA cross. It also underperformed the 20 month EMA method. It did a bit better than the 13/34 weekly EMA method. 12 out of 25 trades were losers (max 3 consecutive). There were two whipsaws after the May 2003 long signal that the EMA method avoided, although it gave a sell nearly 100 S&P points higher than the EMA method in Dec 2007. Fun with numbers.
Monthly 20 EMA
End of Bear- GOLDEN CROSS
Posted by pdquig on 23rd of Jun 2009 at 11:50 am
One final datapoint--the monthly 20 EMA crossover signals over the same period. 16 out of 26 losers, more whipsaws and up to 5 consecutive losing trades. This is offset, however, by really riding some long trends. Overall, it still a slightly lower ROI than the daily 50/200 EMA crossover system.
PA: I've done a bit of playing with rate of change of EMA differences in the past. Also played with combinations of 20/50/200 EMAs with the 20/50 pair driving shorter term, more responsive signals. All this does is to drive more spurious signals and is lower ROI than the 50/200 signals. I'm still looking for a low trade volume mechanical system for 401ks that doesn't leave as much money on the table at peaks and troughs. But then, who isn't ?
Weekly 13/34 EMA Cross
End of Bear- GOLDEN CROSS
Posted by pdquig on 23rd of Jun 2009 at 10:54 am
I haven't done the monthly 20 EMA recently, but here are the stats on the weekly 13/34. It's not as good as the daily 50/200 EMA.
Golden Cross
End of Bear- GOLDEN CROSS
Posted by pdquig on 23rd of Jun 2009 at 10:33 am
I know that Golden Crosses are normally calculated using SMA, but there have been 18 50/200 EMA Golden Crosses since 9/1/1981. Nine of them have been losers (the biggest loser was 11.25% in 1988). Overall, using Golden/Death crosses as signals (going long on the Golden Cross and shorting the Death Cross) your return from 1981 to present would be a smidgen over an annualized 10%. Not too shabby for less than one transaction per year.
Unemployment Numbers Analysis
Posted by pdquig on 5th of Jun 2009 at 09:33 am
Continuing claims are dropping due to people exhausting their benefits in new record numbers. This will be glossed over in the MSM.
http://seekingalpha.com/article/141470-unemployment-data-exhaustion-rate-will-soon-lead-to-false-green-shoot-chatter
No correction until JP Morgan secondary offering
Posted by pdquig on 4th of Jun 2009 at 04:25 pm
"Since JP Morgan just announced its intentions to raise capital yesterday, it is highly unlikely that we will see a strong, sustained downward trend in US markets commence for at least another couple of weeks if not a couple more months. However, other important “triggers” in the international world outside of the US will determine if we see this sustained downward trend in a couple of weeks versus a couple more months."
http://www.theundergroundinvestor.com/2009/06/telltale-signs-a-significant-us-market-correction-wont-happen-in-the-immediate-future/
Nessie?
SPX 5 min.png 5 min SPX - possible back test of ...
Posted by pdquig on 3rd of Jun 2009 at 04:57 pm
Housing Market
Posted by pdquig on 1st of Jun 2009 at 03:35 pm
More housing pain to come...that cannot be good for the financials.
http://moremortgagemeltdown.com/download/pdf/T2_Partners_presentation_on_the_mortgage_crisis.pdf