The Multi Entry version of the SPY swing system will scale into
a 3rd entry using 20% of its capital for a total position size of
80% at the close if SPY closes
at or below a price of
$128.75
Posted by jlevinthal on 1st of Aug 2011 at 08:57 pm
Can you tell us if there is a very large statistical difference
if we buy the SPY on the next day opening following a SPY System
buy signal. It would make buying a long or selling a short a lot
easier with less end of day pressure
I'm not matt so I can't tell you anything specific about the
statistics, but YES there is a significant statistical difference
if you buy the next morning rather than at the close. That's
the reason for buying at the close and selling at the open --
because its statistically significant.
Meanwhile, what's the problem with buying after-hours?
There's no time pressure there. I have bought at least half
the signals after hours and overall its worked in my favor so
far. Certainly it makes more sense than waiting till the next
morning.
The problem is if you choose to trade options and you're
unavailable around 3:00. I understand Matt's point about this
being a SPY system, but I would like to know how much profit is
sacrificed if you buy MOO the morning following a signal.
It's not a huge deal, but there has to be a better way of doing
this. I was at my computer, on my IB TWS, and, at market close, SPY
was below $128.75 by several pennies. Again, it's not a
major issue, but it is annoying.
Yes the system has some nail bitters at times with the price at
the end of day pennies away from the trigger point; these are
things that I was not aware would be an issue when I built the
system. I guess the fact that this happens tells us that the
system is in sync with the market movement.
However the system was built to trade the SPY, not for
restrictive 401K plans where you can only buy 15 min before the
market close, or options with time decay etc (though the options
can be entered after the market close for 15 min as well). Simply
trading SPY in a normal trading account is not a problem with after
hrs, or SSO etc.
I'm sorry if some of you are struggling with the end of day nail
bitters, but it is called the SPY system for a reason, when you
deviate from that and trade other things, you take on the extra
nuances that can occur. It is what it is.
Matt, I can only speak for myself, but I hear you. Now, in my
401k I can trade aftrer hours. Maybe you need to go to your
emplyers (some of you) and ask them to do a "brokereage link" such
as I have with Fidelity. Fidelity allows after hours trading in my
deferred accounts (401k, etc.). Of course, I also can trade in my
personal account, too. Maybe a trader just trades the spy in
the personal account and if there's no after hours option in the
deferred account (401k, etc.) then just do the best you can making
the best judgement you can..or just don't trade in it.
I also decided to take a risk and deviate today. I bought the
spy when it was considerably lower today. That was my decision. It
could work out favorably or unfavorably for me due to a variety of
reasons (the system could still do a third and fourth trade and I
would not have enough money per my allocation, etc. or it could
shoot up from here and then I'd be happy). One could have also
decided, for example, to go ahead and by the spy even thought it
was .03 from a buy. Again the same risk applies that I described
above. I probably shouldn't be broadcasting it, but as
humans, we have free choice to do what we want.
I guess the point is that with a mechanical system, it is what
it is. If it averages anywhere close to 35% a year in the future I
will be happy. If I deviate, I assume my own risk and I'm not
trading the "spy system." I'll assume the risks and not
complain or brag if I either underperform the spy system or
outperform it over time.
no skiesblue, that's after hrs data, the close on TS is 128.78,
CNBC 128.78, Stockcharts 128.78, and Thinkorswim 128.78, so no
trade.
now the good thing about not having an entry today is that if
the market sells off again, then the system should scale in at
better prices then it would have gotten today
Here's the trade stats on multi entries. There have been many
detailed posts on this in the past, do a blog search, I took a
previous post from June 11th and updated the data.
Multi Entry System 3rd Long entry
Posted by matt on 1st of Aug 2011 at 10:18 am
The Multi Entry version of the SPY swing system will scale into a 3rd entry using 20% of its capital for a total position size of 80% at the close if SPY closes at or below a price of $128.75
Buying the SPY System on next day opening
Posted by jlevinthal on 1st of Aug 2011 at 08:57 pm
Can you tell us if there is a very large statistical difference if we buy the SPY on the next day opening following a SPY System buy signal. It would make buying a long or selling a short a lot easier with less end of day pressure
stats
Posted by riollano on 2nd of Aug 2011 at 08:10 am
go to: spy swing system, FAQ, entries/exits for the stats
they are significant...
Thanks, but those statistics are
Posted by algyros on 2nd of Aug 2011 at 08:38 am
Thanks, but those statistics are for just buying and selling the SPY, they're not for the SPY system.
buying on the open
Posted by Michael on 2nd of Aug 2011 at 07:53 am
I'm not matt so I can't tell you anything specific about the statistics, but YES there is a significant statistical difference if you buy the next morning rather than at the close. That's the reason for buying at the close and selling at the open -- because its statistically significant.
Meanwhile, what's the problem with buying after-hours? There's no time pressure there. I have bought at least half the signals after hours and overall its worked in my favor so far. Certainly it makes more sense than waiting till the next morning.
The problem is if you
Posted by algyros on 2nd of Aug 2011 at 08:10 am
The problem is if you choose to trade options and you're unavailable around 3:00. I understand Matt's point about this being a SPY system, but I would like to know how much profit is sacrificed if you buy MOO the morning following a signal.
I see. Matt should be
Posted by Michael on 2nd of Aug 2011 at 08:13 am
I see. Matt should be able to give you an idea, I know he tested it that way.
What's MOO got to do with it?
Market on open. I was
Posted by algyros on 2nd of Aug 2011 at 08:34 am
Market on open. I was trying to sound like I know what I'm talking about.
LOL.
Posted by Michael on 2nd of Aug 2011 at 08:41 am
LOL.
Excellent question.
Posted by algyros on 1st of Aug 2011 at 09:30 pm
Excellent question.
It's not a huge deal,
Posted by algyros on 1st of Aug 2011 at 05:42 pm
It's not a huge deal, but there has to be a better way of doing this. I was at my computer, on my IB TWS, and, at market close, SPY was below $128.75 by several pennies. Again, it's not a major issue, but it is annoying.
Yes the system has some
Posted by matt on 1st of Aug 2011 at 07:15 pm
Yes the system has some nail bitters at times with the price at the end of day pennies away from the trigger point; these are things that I was not aware would be an issue when I built the system. I guess the fact that this happens tells us that the system is in sync with the market movement.
However the system was built to trade the SPY, not for restrictive 401K plans where you can only buy 15 min before the market close, or options with time decay etc (though the options can be entered after the market close for 15 min as well). Simply trading SPY in a normal trading account is not a problem with after hrs, or SSO etc.
I'm sorry if some of you are struggling with the end of day nail bitters, but it is called the SPY system for a reason, when you deviate from that and trade other things, you take on the extra nuances that can occur. It is what it is.
Yep...
Posted by burkmere on 1st of Aug 2011 at 07:48 pm
Matt, I can only speak for myself, but I hear you. Now, in my 401k I can trade aftrer hours. Maybe you need to go to your emplyers (some of you) and ask them to do a "brokereage link" such as I have with Fidelity. Fidelity allows after hours trading in my deferred accounts (401k, etc.). Of course, I also can trade in my personal account, too. Maybe a trader just trades the spy in the personal account and if there's no after hours option in the deferred account (401k, etc.) then just do the best you can making the best judgement you can..or just don't trade in it.
I also decided to take a risk and deviate today. I bought the spy when it was considerably lower today. That was my decision. It could work out favorably or unfavorably for me due to a variety of reasons (the system could still do a third and fourth trade and I would not have enough money per my allocation, etc. or it could shoot up from here and then I'd be happy). One could have also decided, for example, to go ahead and by the spy even thought it was .03 from a buy. Again the same risk applies that I described above. I probably shouldn't be broadcasting it, but as humans, we have free choice to do what we want.
I guess the point is that with a mechanical system, it is what it is. If it averages anywhere close to 35% a year in the future I will be happy. If I deviate, I assume my own risk and I'm not trading the "spy system." I'll assume the risks and not complain or brag if I either underperform the spy system or outperform it over time.
Then wait until the after hours....
Posted by burkmere on 1st of Aug 2011 at 06:35 pm
And see where the official close was. What's the big deal...?
I had a meeting at
Posted by algyros on 1st of Aug 2011 at 06:39 pm
I had a meeting at three (CST), so I could only wait until the close. And I'm buying options, which only trade for fifteen minutes after close.
Again, it's not a huge problem, but it does add another layer of uncertainty to the system, at lease if one is trading options.
another nail bitter as the
Posted by matt on 1st of Aug 2011 at 03:59 pm
another nail bitter as the price is right around the breakpoint price of 128.75 near the close
No trade, missed by pennies,
Posted by matt on 1st of Aug 2011 at 04:04 pm
No trade, missed by pennies, the SPY closed at 128.78, the trigger price was 128.75
spy
Posted by skiesblue on 1st of Aug 2011 at 04:07 pm
Closed at 128.69
no skiesblue, that's after hrs
Posted by matt on 1st of Aug 2011 at 04:14 pm
no skiesblue, that's after hrs data, the close on TS is 128.78, CNBC 128.78, Stockcharts 128.78, and Thinkorswim 128.78, so no trade.
now the good thing about not having an entry today is that if the market sells off again, then the system should scale in at better prices then it would have gotten today
Mines posting 128.79, miss by
Posted by oreo on 1st of Aug 2011 at 04:01 pm
Mines posting 128.79, miss by .04?
how do you it matt :) really enter those contests for calling the close
Posted by gram on 1st of Aug 2011 at 04:00 pm
ha, yeah you guys should
Posted by matt on 1st of Aug 2011 at 04:07 pm
ha, yeah you guys should play that game at CNBC, just let us know if you win!
Multi Entry System 3rd Long entry
Posted by Robert50 on 1st of Aug 2011 at 11:04 am
Another chance to excel!
Trade stats Here's the trade stats on
Posted by matt on 1st of Aug 2011 at 11:47 am
Trade stats
Here's the trade stats on multi entries. There have been many detailed posts on this in the past, do a blog search, I took a previous post from June 11th and updated the data.
TRADE ENTRY : %WINNERS (# Winners/# Losers/# Breakeven)
Trade Entry #1: 90.0% (236/26/0)
Trade Entry #2: 91.9% (86/7/2)
Trade Entry #3: 89.7% (29/3/1)
Trade Entry #4: 100% (11/0/0)
So generally it's better NOT to get a 3rd entry as you can see, the trades work out more often if you have only 2 entries.
The 4th entry has always been a winner up until now.
I think we can live with an 89.7% chance Matt....lol.....
Posted by marketguy on 1st of Aug 2011 at 12:12 pm