As promised, here's the Excel file with all the raw data!
I have included all the GDX intra day data: open, high, low,
close for each trading day. I segregated each trade and added
number of days to the trade, as well as noted the high point % for
the system trades.
After looking at the statistics in more detail, I added a new
scale out rule as well as a new system rule. I noticed that
the system routinely achieves a 15% gain, therefore I added a 15%
gain column to the Tweak section i.e. sell the position after a 15%
again; this gives the highest results.
However there appears to be a time element to the system as well
i.e. after you are in a trade for a long time, you can move your
stops up. Currently the system uses a 6% initial stop,
however I added a new rule where you can move your stops up to a
0.5% again after you are in a trade for 20 trading days (not
counting weekends). This new rule, which I designate as rule
# 6 cuts out the last two losing trades.
For those of you who are bored and need a project, here is the
raw data for you to look at and analyze. I would study the
time element to each trade, I think that some kind of ime based
stop can be employed. If you find it or anything else, please
let me know of course
Here's a link to the Excel File, just click on it and you can
download it to your computer
Matt, gotta love this system - thanks for data - on vaca, no
time to play with data, if someone playing with numbers, please
look for max/min/avg drawdown and timeframe. today's p/b gave me a
+~2.4% advantage over the system if this long proves
profitable.
I do have one question: when you "officially" send out buy
and sell signals for the system, will they be based on the old set
of parameters, or on one of the newer, tweaked, set?
IDK yet. I mean, the buy/sell signals are the same
basically i.e. the system works in the same way, the only thing
that's different is the profit targets and an added time stop after
20 days, which you guys should just set in your account ahead of
time i.e. if you like the 15% profit target rule, then immediate
after you enter a trade just set a profit target of 15% via a GTC
sell stop and just leave it on etc. I could send out emails
saying that a profit target of 15% has been hit etc and I will
probably do that, but you guys should also place your GTC orders
right after you enter a trade so that they will just automatically
execute in the future instead of waiting on an email from
me.
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GDX System Excel File and new Updates & Improvments
Posted by matt on 11th of Aug 2010 at 01:48 am
As promised, here's the Excel file with all the raw data! I have included all the GDX intra day data: open, high, low, close for each trading day. I segregated each trade and added number of days to the trade, as well as noted the high point % for the system trades.
After looking at the statistics in more detail, I added a new scale out rule as well as a new system rule. I noticed that the system routinely achieves a 15% gain, therefore I added a 15% gain column to the Tweak section i.e. sell the position after a 15% again; this gives the highest results.
However there appears to be a time element to the system as well i.e. after you are in a trade for a long time, you can move your stops up. Currently the system uses a 6% initial stop, however I added a new rule where you can move your stops up to a 0.5% again after you are in a trade for 20 trading days (not counting weekends). This new rule, which I designate as rule # 6 cuts out the last two losing trades.
For those of you who are bored and need a project, here is the raw data for you to look at and analyze. I would study the time element to each trade, I think that some kind of ime based stop can be employed. If you find it or anything else, please let me know of course
Here's a link to the Excel File, just click on it and you can download it to your computer
EXCEL File GDX System - raw data
Also, here's a Quick Video how I have the Excel File laid out so that you understand it when looking at it.
VIDEO on Excel File
I've also attached a picture of the new stats for those of you who don't want to look at the Excel file.
Matt, gotta love this system
Posted by hazbin1 on 11th of Aug 2010 at 04:29 pm
Matt, gotta love this system - thanks for data - on vaca, no time to play with data, if someone playing with numbers, please look for max/min/avg drawdown and timeframe. today's p/b gave me a +~2.4% advantage over the system if this long proves profitable.
Thanks for the continued hard
Posted by algyros on 11th of Aug 2010 at 11:47 am
Thanks for the continued hard work, Matt.
I do have one question: when you "officially" send out buy and sell signals for the system, will they be based on the old set of parameters, or on one of the newer, tweaked, set?
We need to know what
Posted by jones on 11th of Aug 2010 at 02:19 pm
We need to know what is going on in the market today. whats next ?
cheers
IDK yet. I mean, the
Posted by matt on 11th of Aug 2010 at 11:53 am
IDK yet. I mean, the buy/sell signals are the same basically i.e. the system works in the same way, the only thing that's different is the profit targets and an added time stop after 20 days, which you guys should just set in your account ahead of time i.e. if you like the 15% profit target rule, then immediate after you enter a trade just set a profit target of 15% via a GTC sell stop and just leave it on etc. I could send out emails saying that a profit target of 15% has been hit etc and I will probably do that, but you guys should also place your GTC orders right after you enter a trade so that they will just automatically execute in the future instead of waiting on an email from me.