It looks like you have an extra hour or so of trading that
affects your EMAs, so your signals will be slightly off. I
don't know for sure about whether to trade at the open
tomorrow. My formula _will_ trade based on the crossover on
today's last candle, since it treats it as the previous bar.
The "official" answer would depend on how Matt's backtesting
implemented it. I may revise my formula to take the trade if
the price is above the EMA, and don't trade if below since a
whipsaw is likely then.
My SD executed these trades, but at the next bar in each case,
which I think is correct. Are your formulas correct? If
you post them or send them to me, I will take a look at them (not
that I'm an expert, but I have worked through them.) Also,
have you updated SD to 3.2? I was on 3.1 until today and just
upgraded, so I'm hoping that there isn't a problem with 3.2!
Bob in South Jersey
PS My SD did buy the SSO at 10:00 which matches yours.
TD Ameritrade charts don't show a cross on QLD today. Why
do you think that there should be? My StrategyDesk sold QLD
at 3:45 on Friday and bought QID, which then sold at EOD.
Since this is a Simple, not Exponential, MA, I would expect the
performance to be very similar, except that the triggers might
occur 3 minutes earlier than the 6 minute system (which could
help), and therefore there might be a few more whipsaws (which
could hurt). JMHO.
I'm at work so I don't have SD available, but I believe that
that checkbox is only available during backtesting. Checking
the box actually makes the backtesting act more like real-time
running live. However, the backtest data is only at 1-minute
intervals, whereas running live is continuous. So for
example, the backtesting will show a trade at 9:46:00 if there was
a cross during the first 15-minute interval, whereas running live
will execute the trade within seconds of 9:45. This usually
doesn't make much difference in the price.
Although these formulas will work when backtesting, I believe
that they will give you false triggers during the bar when running
live. You should have the delays set to 1 and 2 for running
live. Please see my earlier posts (search the blog).
Here is a PM that I sent out to others on Jan 8. Hope it
is helpful to you.
________________
I'm answering several of your requests with this email. Here is
an example of the formulas that I am using (this is an Exit formula
for URE, based on the SRS SMAs crossing.)
(MovingAverage[MA,Close,8,0,6,1,SRS] >
MovingAverage[MA,Close,71,0,6,1,SRS] AND
MovingAverage[MA,Close,8,0,6,2,SRS] <=
MovingAverage[MA,Close,71,0,6,2,SRS]) OR
(Bar[Hour,1]*100+Bar[Minute,1]>=1559)
For Entry formulas, omit the "OR ... 59" (which exits the trade
at 3:59 pm). For formulas that use EMAs instead of SMAs, here
is an Entry formula example for buying SSO:
ExpMovingAverage[EMA,Close,16,0,15,1,SSO] >
ExpMovingAverage[EMA,Close,34,0,15,1,SSO] AND
ExpMovingAverage[EMA,Close,16,0,15,2,SSO] <=
ExpMovingAverage[EMA,Close,34,0,15,2,SSO]
Note that I have included the symbol SSO for clarity, although
it's not required if you are trading the same symbol. For the
corresponding SDS formula, just replace the ">" by "<" and
the "<=" by ">=", and similarly for the other inverse trade
formula pairs.
Note that when backtesting, the trades will not quite be
correct.
I did have a problem with early entries when trading live that
didn't show up in backtesting (search the blog for my post of Dec.
19.) (If you check the "Detect Intrabar signals" box with a 1
minute parameter when backtesting, you will get closer to real-time
performance.)
The delays of "1" and "2" force the trade to occur at the start
of the first interval after the crossover, which matches Matt's
rules. Having the equal sign in the second line prevents a
"kiss" of the EMAs from causing a trigger while still detecting a
"kiss" that then follows through. When backtesting, make sure
to check the "Detect ..." box to prevent the results from being 1
interval late, or temporarily decrease the delays in the formulas
by 1. << This needs work.
Hope this is enough to get you going. It took a while to
get the correct syntax figured out.
It looks like your trading hours are set wrong also. Your
chart shows an extra candle starting at 4:00 (with very low volume)
that will throw off the EMAs. I assume Fidelity labels their
candles with the Starting time of the interval, as opposed to some
charts that show the Ending time of the interval.
I agree - my system didn't get any trigger yesterday for
SSO/SDS. But it looks like a cross might have occured near
the last bar of the previous day on Matt's chart, so maybe he took
that trade at the start of yesterday?
Proshares paid out on about half of their ETFs, mostly
Ultra-longs, yesterday, but nothing yet announced for the rest
(mostly Ultra-shorts). The info is on their website:
http://www.proshares.com/funds/distributions
If I remember correctly, they don't pre-announce in order to
avoid people "playing" the distributions.
In response to a question about pop-ups in Strategy Desk, there
are 2 settings that need to be changed in order to enable automatic
trading, as follows:
1. In Strategy Desk, go to "Edit>Preferences".
2. Click on the "Alert" tab and un-check the box next to "Pop-up
Alert".
3. Click on the "Trading" tab, click on the "Settings" button,
and click on the "No Order Confirmation" button. Then click
"OK" and "OK" to close the windows.
That should do it. I have been running Strategy Desk
somewhat regularly for several months now, without any real
problems, on a 6-yr old HP laptop. I'm using the formulas
that were on the blog on 3/28, and mine are the same as those shown
(with ",1" and ",2" when trading live, as was noted).
If you do a search for "SRS swing trade" from "Matt", you will
find the parameters posted on Feb. 10:
9/39 EMA on a 15 min chart of SRS for market hrs. The
recent chart posted by Matt probably uses these, although the chart
heading is partially obscured, but the text labeling is wrong (I
suspect a copy/paste error.)
Matt, does your monthly performance include selling at the
profit limit or holding beyond that until the crossover?
I just happened to tune in Fox Business News on TV, and they
just had a trader (Ben Willis of EDM Institutional Brokerage) on
the NYSE floor saying that he expects a massive technical bear
market rally to start any day, even tomorrow. He said it
could be "the largest rally anybody will ever see in our
generation" and could have a 1000 point up day in the Dow in the
next 15 days or so, but "doesn't mean the end is near".
The community is delayed by three days for non registered users.
Based on this channel, would
5 min TICK with SPX.pngmorphed into a clean channel
Posted by twins on 13th of May 2009 at 03:57 pm
Based on this channel, would you think it would be reasonable to hold SDS overnight and sell it only if it breaks out of the channel on the upside?
Bob
SRS Crossover
SRS 15 min
Posted by twins on 11th of May 2009 at 04:47 pm
Philr,
It looks like you have an extra hour or so of trading that affects your EMAs, so your signals will be slightly off. I don't know for sure about whether to trade at the open tomorrow. My formula _will_ trade based on the crossover on today's last candle, since it treats it as the previous bar. The "official" answer would depend on how Matt's backtesting implemented it. I may revise my formula to take the trade if the price is above the EMA, and don't trade if below since a whipsaw is likely then.
Bob in NJ
Strategy Desk
Stratedgy Desk Failure
Posted by twins on 10th of May 2009 at 05:40 pm
My SD executed these trades, but at the next bar in each case, which I think is correct. Are your formulas correct? If you post them or send them to me, I will take a look at them (not that I'm an expert, but I have worked through them.) Also, have you updated SD to 3.2? I was on 3.1 until today and just upgraded, so I'm hoping that there isn't a problem with 3.2!
Bob in South Jersey
PS My SD did buy the SSO at 10:00 which matches yours.
Did you mean "move lower
Objective short, Matt?
Posted by twins on 5th of May 2009 at 03:18 pm
Did you mean "move lower on a pullback"?
TD Ameritrade charts don't show
QLD on Friday
Posted by twins on 4th of May 2009 at 01:30 pm
TD Ameritrade charts don't show a cross on QLD today. Why do you think that there should be? My StrategyDesk sold QLD at 3:45 on Friday and bought QID, which then sold at EOD.
Since this is a Simple,
16/142 3 min system
Posted by twins on 20th of Apr 2009 at 11:10 am
Since this is a Simple, not Exponential, MA, I would expect the performance to be very similar, except that the triggers might occur 3 minutes earlier than the 6 minute system (which could help), and therefore there might be a few more whipsaws (which could hurt). JMHO.
Bob
Title: SD Backtesting I'm at work
strategy desk EOD
Posted by twins on 15th of Apr 2009 at 12:25 pm
I'm at work so I don't have SD available, but I believe that that checkbox is only available during backtesting. Checking the box actually makes the backtesting act more like real-time running live. However, the backtest data is only at 1-minute intervals, whereas running live is continuous. So for example, the backtesting will show a trade at 9:46:00 if there was a cross during the first 15-minute interval, whereas running live will execute the trade within seconds of 9:45. This usually doesn't make much difference in the price.
Bob
Although these formulas will work
strategy desk EOD
Posted by twins on 15th of Apr 2009 at 11:52 am
Although these formulas will work when backtesting, I believe that they will give you false triggers during the bar when running live. You should have the delays set to 1 and 2 for running live. Please see my earlier posts (search the blog).
Title: StrategyDesk formulas Here is a
strategy desk EOD
Posted by twins on 15th of Apr 2009 at 11:24 am
Here is a PM that I sent out to others on Jan 8. Hope it is helpful to you.
________________
I'm answering several of your requests with this email. Here is an example of the formulas that I am using (this is an Exit formula for URE, based on the SRS SMAs crossing.)
(MovingAverage[MA,Close,8,0,6,1,SRS] > MovingAverage[MA,Close,71,0,6,1,SRS] AND MovingAverage[MA,Close,8,0,6,2,SRS] <= MovingAverage[MA,Close,71,0,6,2,SRS]) OR (Bar[Hour,1]*100+Bar[Minute,1]>=1559)
For Entry formulas, omit the "OR ... 59" (which exits the trade at 3:59 pm). For formulas that use EMAs instead of SMAs, here is an Entry formula example for buying SSO:
ExpMovingAverage[EMA,Close,16,0,15,1,SSO] > ExpMovingAverage[EMA,Close,34,0,15,1,SSO] AND ExpMovingAverage[EMA,Close,16,0,15,2,SSO] <= ExpMovingAverage[EMA,Close,34,0,15,2,SSO]
Note that I have included the symbol SSO for clarity, although it's not required if you are trading the same symbol. For the corresponding SDS formula, just replace the ">" by "<" and the "<=" by ">=", and similarly for the other inverse trade formula pairs.
Note that when backtesting, the trades will not quite be correct.
I did have a problem with early entries when trading live that didn't show up in backtesting (search the blog for my post of Dec. 19.) (If you check the "Detect Intrabar signals" box with a 1 minute parameter when backtesting, you will get closer to real-time performance.)
The delays of "1" and "2" force the trade to occur at the start of the first interval after the crossover, which matches Matt's rules. Having the equal sign in the second line prevents a "kiss" of the EMAs from causing a trigger while still detecting a "kiss" that then follows through. When backtesting, make sure to check the "Detect ..." box to prevent the results from being 1 interval late, or temporarily decrease the delays in the formulas by 1. << This needs work.
Hope this is enough to get you going. It took a while to get the correct syntax figured out.
It looks like your trading
SRS 15min 9/39 System
Posted by twins on 13th of Apr 2009 at 12:50 pm
It looks like your trading hours are set wrong also. Your chart shows an extra candle starting at 4:00 (with very low volume) that will throw off the EMAs. I assume Fidelity labels their candles with the Starting time of the interval, as opposed to some charts that show the Ending time of the interval.
Bob
I agree - my system
EOD mechanical system results
Posted by twins on 8th of Apr 2009 at 09:53 am
I agree - my system didn't get any trigger yesterday for SSO/SDS. But it looks like a cross might have occured near the last bar of the previous day on Matt's chart, so maybe he took that trade at the start of yesterday?
It should be a 6
SRS crossing?
Posted by twins on 1st of Apr 2009 at 12:59 pm
It should be a 6 minute interval, so maybe that's the problem?
Proshares paid out on about
ultras
Posted by twins on 31st of Mar 2009 at 04:39 pm
Proshares paid out on about half of their ETFs, mostly Ultra-longs, yesterday, but nothing yet announced for the rest (mostly Ultra-shorts). The info is on their website:
http://www.proshares.com/funds/distributions
If I remember correctly, they don't pre-announce in order to avoid people "playing" the distributions.
Strategy Desk
QCOM just raised estimates
Posted by twins on 30th of Mar 2009 at 10:14 pm
In response to a question about pop-ups in Strategy Desk, there are 2 settings that need to be changed in order to enable automatic trading, as follows:
1. In Strategy Desk, go to "Edit>Preferences".
2. Click on the "Alert" tab and un-check the box next to "Pop-up Alert".
3. Click on the "Trading" tab, click on the "Settings" button, and click on the "No Order Confirmation" button. Then click "OK" and "OK" to close the windows.
That should do it. I have been running Strategy Desk somewhat regularly for several months now, without any real problems, on a 6-yr old HP laptop. I'm using the formulas that were on the blog on 3/28, and mine are the same as those shown (with ",1" and ",2" when trading live, as was noted).
Hope this helps someone.
Bob in Southern NJ
My Strategy Desk triggered at
sso
Posted by twins on 17th of Mar 2009 at 11:33 am
My Strategy Desk triggered at 11:15 and bought SDS at 89.77.
If you do a search
systems
Posted by twins on 17th of Mar 2009 at 08:17 am
If you do a search for "SRS swing trade" from "Matt", you will find the parameters posted on Feb. 10: 9/39 EMA on a 15 min chart of SRS for market hrs. The recent chart posted by Matt probably uses these, although the chart heading is partially obscured, but the text labeling is wrong (I suspect a copy/paste error.)
Matt, does your monthly performance include selling at the profit limit or holding beyond that until the crossover?
I'm not a tax person,
mechanical systems
Posted by twins on 10th of Mar 2009 at 03:24 pm
I'm not a tax person, but I believe that ETFs are treated the same as stocks, so losses/gains, wash sales, short-term/long-term are the same. JMO
www.foxbusiness.com
Bear Mkt Rally
Posted by twins on 5th of Mar 2009 at 05:14 pm
www.foxbusiness.com
Bear Mkt Rally
Posted by twins on 5th of Mar 2009 at 04:44 pm
I just happened to tune in Fox Business News on TV, and they just had a trader (Ben Willis of EDM Institutional Brokerage) on the NYSE floor saying that he expects a massive technical bear market rally to start any day, even tomorrow. He said it could be "the largest rally anybody will ever see in our generation" and could have a 1000 point up day in the Dow in the next 15 days or so, but "doesn't mean the end is near".
Maybe he's talking about the B wave?
Bob in NJ
With that overwhelming ratio, I
SP500 5m wedge
Posted by twins on 17th of Feb 2009 at 02:36 pm
With that overwhelming ratio, I wonder why everything has seemed so stable today. Did all the selling occur in the first 5 minutes?