Yes, those are my thoughts. Robustness is hard to measure,
but one measure is to use different insruments.
My one major fear is the tinkering approach to the system.
The same sort of thing was done with the GDX system,
resulting in a plethora of rules. I think that the new,
simplified GDX system should be kept unchanged so that we can see
how it works. The same holds for the SPY system. If the
system undergoes constant tinkering, then it will always remain in
backtest/optimization limbo and we'll never know how good it is.
The system needs to be finalized and then left to trade.
That's why I think that adding options as hedges is a good
idea. As Vida says, it will increase the cost basis, but it
ultimately help the system by providing counter-trade insurance
without having to be stopped out. But, my point is that
adding hedges won't require code tinkering, so we can still use
April as the point from which to judge the system.
Posted by dkirk68947 on 10th of Aug 2011 at 03:13 pm
my loss is greater than that but I still have hopes market turns
soon and we can ride it back up to recover some or
all of our
losses. Had I not depended so much on the record of the spy
system and the black box method I would never had allowed this kind
of a loss.
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Yes, those are my thoughts.
Thoughts on the SPY System
Posted by algyros on 10th of Aug 2011 at 09:50 am
Yes, those are my thoughts. Robustness is hard to measure, but one measure is to use different insruments.
My one major fear is the tinkering approach to the system. The same sort of thing was done with the GDX system, resulting in a plethora of rules. I think that the new, simplified GDX system should be kept unchanged so that we can see how it works. The same holds for the SPY system. If the system undergoes constant tinkering, then it will always remain in backtest/optimization limbo and we'll never know how good it is. The system needs to be finalized and then left to trade. That's why I think that adding options as hedges is a good idea. As Vida says, it will increase the cost basis, but it ultimately help the system by providing counter-trade insurance without having to be stopped out. But, my point is that adding hedges won't require code tinkering, so we can still use April as the point from which to judge the system.
i sold yesterday at the close
Posted by qwich34 on 10th of Aug 2011 at 10:42 am
i remember the last fed metting.I took a big loss around 10000.
loss on spy
Posted by dkirk68947 on 10th of Aug 2011 at 03:13 pm
my loss is greater than that but I still have hopes market turns soon and we can ride it back up to recover some or all of our losses. Had I not depended so much on the record of the spy system and the black box method I would never had allowed this kind of a loss.