I think the key here is we have too small a sample size of
trades so far to extrapolate how well it "is" doing. However,
so far, it seems to be doing fine. A lot of the results to date
(since April 11th first buy) will depend on how well the current
trade does.
Using the single entry system, according to my calculations, the
SPY System is up 4.68% not counting the current trade. (Of course
the current trade is in progress so we won't k now the results of
the current trade until it is closed).
Back on April 11th the SPY was at 132.46. As I speak it is
at 124.36 and the current trade is down 4.5% in real time so far
using the single entry as an example.
So....using this real time example, the SPY system is up less
than a percent since April 11th (again this is using real time..the
trade hasn't closed yet) ..it is up .18%....but the market is down
6.1%, so the SPY System is still outperforming the market in real
time 6.28% (approximately) since the first SPY System buy on April
11th.
True, it's not in the positive very much in real time,
but:
1. This current trade isn't over.
2. It's still outperforming the market by 6.28% since April
11th.
3. We have only had a few trades..too small a sample size
to make any meaningful conclusions, imo.
Of course, the multi-entry trade totals would be outperforming
the market even more. I'm just too lazy to calculate and then one
would have to assume a certain percentage allocation to each entry,
etc. ...anyway...the point is the percentage of outperformance
would be greater than the single entry system...
You are right. And it is too early. Secondly, I
intend to buy more than usual on the 4th signal (maybe today) since
it has always been 100% correct. If you don't stick with the
system, despite how bad the drawdown is, you might as well trade on
your own since it would no longer be a true mechanical
system. I have noticed that on longs the system enters early
some 60% of the time and sometimes leaves late. But that is
OK based on the historical results. When every body gets
nervous that is usually a good sign that sentiment has hit a
bottom. Now it could be that the 4th signal will be a loser
too, but it would be the first time ever, so the odds are so much
in our favor it would not be wise to ignore it.
1.3% as I recall.....so even if it "is" a loser, it has a good
chance of not being a big one.
Personally, I'm gonna give the SPY System some time...I'd say 20
trades is a pretty good amount of time. If it's underperforming the
market by then, I'll start to wonder...since the backtested results
would have been far, far superior to any underperformance
experienced after the 20 trades, etc.
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SPY System Results vs. the Market to date:
Posted by burkmere on 3rd of Aug 2011 at 12:38 pm
All,
I think the key here is we have too small a sample size of trades so far to extrapolate how well it "is" doing. However, so far, it seems to be doing fine. A lot of the results to date (since April 11th first buy) will depend on how well the current trade does.
Using the single entry system, according to my calculations, the SPY System is up 4.68% not counting the current trade. (Of course the current trade is in progress so we won't k now the results of the current trade until it is closed).
Back on April 11th the SPY was at 132.46. As I speak it is at 124.36 and the current trade is down 4.5% in real time so far using the single entry as an example.
So....using this real time example, the SPY system is up less than a percent since April 11th (again this is using real time..the trade hasn't closed yet) ..it is up .18%....but the market is down 6.1%, so the SPY System is still outperforming the market in real time 6.28% (approximately) since the first SPY System buy on April 11th.
True, it's not in the positive very much in real time, but:
1. This current trade isn't over.
2. It's still outperforming the market by 6.28% since April 11th.
3. We have only had a few trades..too small a sample size to make any meaningful conclusions, imo.
Of course, the multi-entry trade totals would be outperforming the market even more. I'm just too lazy to calculate and then one would have to assume a certain percentage allocation to each entry, etc. ...anyway...the point is the percentage of outperformance would be greater than the single entry system...
SPY System Results vs. the Market to date:
Posted by Robert50 on 3rd of Aug 2011 at 01:08 pm
You are right. And it is too early. Secondly, I intend to buy more than usual on the 4th signal (maybe today) since it has always been 100% correct. If you don't stick with the system, despite how bad the drawdown is, you might as well trade on your own since it would no longer be a true mechanical system. I have noticed that on longs the system enters early some 60% of the time and sometimes leaves late. But that is OK based on the historical results. When every body gets nervous that is usually a good sign that sentiment has hit a bottom. Now it could be that the 4th signal will be a loser too, but it would be the first time ever, so the odds are so much in our favor it would not be wise to ignore it.
Biggest loss using multi-entry system is...
Posted by burkmere on 3rd of Aug 2011 at 01:17 pm
1.3% as I recall.....so even if it "is" a loser, it has a good chance of not being a big one.
Personally, I'm gonna give the SPY System some time...I'd say 20 trades is a pretty good amount of time. If it's underperforming the market by then, I'll start to wonder...since the backtested results would have been far, far superior to any underperformance experienced after the 20 trades, etc.