I'm looking at ways to improve the GDX swing system, currently
this last trade short from July 1st is working well, however the
previous two trades were up 10% at one point and gave those gains
back to only close at -0.7% and -0.4% gain. It would be nice
to avoiding giving up 10% gains like that, therefore here's a
snapshot of an Excel file with a various scenarios plotted.
1. Sell the whole position after a 10% gain
2. Sell 1/2 the position after a 10% gain, the the system take
the rest out
3. Sell 1/2 at a 10% gain and the remainder at a 20% gain
4. Sell the whole position after a 20% gain
I also want to look at time in a trade and see if stops can be
moved up from the 6% stop loss etc.
On the surface #2 and #3 seem like good choices, but even for
scenario #1, it's crazy how the system always had a 10% gain, so
you always made 10%, which is isn't bad considering that's about
once every 1.5 months on average!
At the bottom you can see that I totaled up the the cumulative
gain, therefore any one of those other scenarios where
you take some off the table is higher than the standard or current
system as is.
Thank you for taking the time to look at these tweaks.
These look like nice improvements over the current system. A
9.5% average winning trade for such a low maintenance system is
fantastic! This is a great option for us non-day trader
types.
Out of curiosity, have you thought about something similar
for the BPENER? This may be nice since you have the levered
energy ETFs to pick from.
The BPENER does not trade as smoothly, I might be able to figure
something out, but it won't be as simple as it closing above/below
8 MA, it's a lot whippier
Posted by airstream on 28th of Jul 2010 at 01:53 pm
Looks like option one is a no brainer . Enter the trade at the
signal sell at 10 % then wait for the next
signal. Naw can't be that easy
Great chart Matt Ten percent gain from the
present 7.5 percent is a huge improvement . In looking at the
column Sell at 10 percent gain is that correct that there were all
10 % gains except 8/20/2009 That is
incredible
Posted by airstream on 28th of Jul 2010 at 01:32 pm
I like the fact that it trades less frequently so I don't
run into the 3 day issue in cash accounts also I like the fact
that I can position part of my portfolio in a less volatile
system that seems to require less daily
monitoring . Ditch mentioned the DZZ as a way to play the
pullbacks and as it is a leveraged ETN I can adjust my position
size accordingly . I would not use the system only in my
IRA's but prefer to keep my margin account for short duration
opportunities
yes but that won't work for the GDX swing system, they gold and
GDX doesn't always move together closely enough.
otherwise think about it, the GDX system even non-leveraged is
pretty good, heck every trade has been up 10%, so if you sold out
the entire position at 10% every time, that's a nice gain!
The system does a trade about once every 1 1/2 months, so 10%
every 1.5 months is really damn good considering it's
such a low maintenance system that doesn't have to be
watched all day
Actually, gdx and gld are approximately .75 correlated.
Not perfect, but I think that the system would word pretty
well going long gdx and using dgz to go short.
GDX swing system improvements/tweaks
Posted by matt on 28th of Jul 2010 at 12:26 pm
I'm looking at ways to improve the GDX swing system, currently this last trade short from July 1st is working well, however the previous two trades were up 10% at one point and gave those gains back to only close at -0.7% and -0.4% gain. It would be nice to avoiding giving up 10% gains like that, therefore here's a snapshot of an Excel file with a various scenarios plotted.
1. Sell the whole position after a 10% gain
2. Sell 1/2 the position after a 10% gain, the the system take the rest out
3. Sell 1/2 at a 10% gain and the remainder at a 20% gain
4. Sell the whole position after a 20% gain
I also want to look at time in a trade and see if stops can be moved up from the 6% stop loss etc.
On the surface #2 and #3 seem like good choices, but even for scenario #1, it's crazy how the system always had a 10% gain, so you always made 10%, which is isn't bad considering that's about once every 1.5 months on average!
At the bottom you can see that I totaled up the the cumulative gain, therefore any one of those other scenarios where you take some off the table is higher than the standard or current system as is.
Looks Great! Thank you!
Posted by oops1e on 28th of Jul 2010 at 02:37 pm
Thank you for taking the time to look at these tweaks. These look like nice improvements over the current system. A 9.5% average winning trade for such a low maintenance system is fantastic! This is a great option for us non-day trader types.
Out of curiosity, have you thought about something similar for the BPENER? This may be nice since you have the levered energy ETFs to pick from.
The BPENER does not trade
Posted by matt on 28th of Jul 2010 at 02:54 pm
The BPENER does not trade as smoothly, I might be able to figure something out, but it won't be as simple as it closing above/below 8 MA, it's a lot whippier
Got ya. Like Lionel Richie,
Posted by oops1e on 28th of Jul 2010 at 03:43 pm
Got ya. Like Lionel Richie, I prefer smooth operators.
I believe that was Sade...
Posted by dylan398 on 28th of Jul 2010 at 04:27 pm
I believe that was Sade...
gdx swing system
Posted by hazbin1 on 28th of Jul 2010 at 01:25 pm
Matt, how about trailing stop of ~1.5% after 10% gain?
GDX SYSTEM
Posted by airstream on 28th of Jul 2010 at 01:53 pm
Looks like option one is a no brainer . Enter the trade at the signal sell at 10 % then wait for the next signal. Naw can't be that easy Great chart Matt Ten percent gain from the present 7.5 percent is a huge improvement . In looking at the column Sell at 10 percent gain is that correct that there were all 10 % gains except 8/20/2009 That is incredible
Inverse fund
Posted by airstream on 28th of Jul 2010 at 01:08 pm
Matt for those of us useing this system in an IRA account and can't short GDX are you useing an inverse etf or fund and which one ? Thanks
there is no inverse ETF,
Posted by matt on 28th of Jul 2010 at 01:12 pm
there is no inverse ETF, you can do the long only, but that works fine too and the stats are really good for the long only.
or, you can do a mutual fund, there might be an inverse gold stock fund.
but question is, why only do it in an IRA, do it in your trading account too
GDX System
Posted by airstream on 28th of Jul 2010 at 01:32 pm
I like the fact that it trades less frequently so I don't run into the 3 day issue in cash accounts also I like the fact that I can position part of my portfolio in a less volatile system that seems to require less daily monitoring . Ditch mentioned the DZZ as a way to play the pullbacks and as it is a leveraged ETN I can adjust my position size accordingly . I would not use the system only in my IRA's but prefer to keep my margin account for short duration opportunities
DZZ is inverse gold
Posted by ditch on 28th of Jul 2010 at 01:19 pm
DZZ is inverse gold
yes but that won't work
Posted by matt on 28th of Jul 2010 at 01:23 pm
yes but that won't work for the GDX swing system, they gold and GDX doesn't always move together closely enough.
otherwise think about it, the GDX system even non-leveraged is pretty good, heck every trade has been up 10%, so if you sold out the entire position at 10% every time, that's a nice gain!
The system does a trade about once every 1 1/2 months, so 10% every 1.5 months is really damn good considering it's such a low maintenance system that doesn't have to be watched all day
Actually, gdx and gld are
Posted by algyros on 28th of Jul 2010 at 06:21 pm
Actually, gdx and gld are approximately .75 correlated. Not perfect, but I think that the system would word pretty well going long gdx and using dgz to go short.
nice work matt!
Posted by rank10 on 28th of Jul 2010 at 12:43 pm
nice work matt!
yeah wish I could do
Posted by matt on 28th of Jul 2010 at 12:45 pm
yeah wish I could do it automatically in TS or MC, much faster and easier since you can back test, sucks having to do this manually in Excel lol