I got this
email this morning, I have not really had time to check it.
though I will say that 30 min MACD histogram works better
with a confirmation and really it's not meant as a stand alone
system, more as something to follow.
Hi Matt:
The new 30 minute MACD 25,170,25 setting has had a lot of
success since I first read about it in the nightly newsletter.
Unfortunately 30 minute charts on Stockcharts don't go back very
far. I calculated the performance of the new signal on a daily
basis using the 200% Rydex RUT Long/Short AM/PM funds. Since
6-15-11 the simple zero line crossover trade has made
94.81%.
Perhaps Trade Station charts can go back further to test
the 30 minute MACD Histogram signal over a longer period of
time.
I also looked at using a new zero line crossover as just a
one day overnight trade. Two trades since 6-15 were entered at the
AM price and sold at the next day's PM price. All of the other
trades were entered and closed at the 4:00 closing NAV. The RUT
performed the best (NDX, SPX) with a return of +33.21% since 6-15.
There have been 9 one day trades. All but one (-.53%) have made
money. It would be very interesting to know if this one day hold
pattern is valid over a much longer period of time.
Logically one would expect that a crossover of the MACD
zero line is likely to last at least one trading day the vast
majority of time. If this one day pattern holds up over a much
longer period of time you might be able to add it as an option to
the SPY system as a one day counter-trend signal when you have an
active position - or a one day trade when the SPY signal is in
cash. During the most recent Cash position for the SPY system, this
signal would have added 8.41% to performance in just two trading
days. As always, your own insights would be appreciated.
A confirming bar on the MACD Hist. or another up (down) candle
matching the trend could be an idea. Also you could take the
high (low) of the bar that causes the cross and look at a breach of
that level. Anyone else have any thoughts?
Posted by angelo851 on 1st of Sep 2011 at 04:05 pm
Now the MACD Hist crossed the -0- line today with two
confirming bars on the 30 min 25, 170,25 MACD Hist. chart. So I am
more confident in the SPY system short!
It also probably works better when the market is volatile and
makes bigger moves like in the past month. Less volatile
conditions, and probably much more whipsaws.
I plugged this
"30 minute MACD 25,170,25"concept into NinjaTrader
this morning, just to see what would happen. I used the MACD
histogram as described here, taking trades upon a crossover of the
zero line with one confirming bar.
It's pretty straightforward: when trading SPY, taking both long
and short positions accordingly, the profit factor was 1.38 with
cumulative profit of 22.3% (frictionless) for the period beginning
6/1/2010 and ending today, 9/2/2011.
I compared the results to a daily chart of SPY over the same
time period. Comparing trades dates with the daily charts, I could
see that the signal worked well in periods of high volatility
(i.e., choppy markets). The signal resulted in whipsaws whenever it
encountered a strongly trending market.
Yep, that signal turned out very nice with the gap down so far.
I should give an example of high volatility working better for
certain signals. I have a system that's been trading live for two
years now. It's a very simple system that uses simple signals. It's
up 200% non-compounded over those two years. But it had a 47% gain
just on last month alone when volatility exploded.
email to me from a member
Posted by matt on 31st of Aug 2011 at 05:07 pm
I got this email this morning, I have not really had time to check it. though I will say that 30 min MACD histogram works better with a confirmation and really it's not meant as a stand alone system, more as something to follow.
Modified MACD
Posted by perthx on 7th of Sep 2011 at 02:29 pm
has crossed to a buy today...hmmm.....
Matt, what would be a
Posted by angelo851 on 31st of Aug 2011 at 08:15 pm
Matt, what would be a good confirmation for the MACD Histogram?
A confirming bar on the
Posted by tom on 1st of Sep 2011 at 09:28 am
A confirming bar on the MACD Hist. or another up (down) candle matching the trend could be an idea. Also you could take the high (low) of the bar that causes the cross and look at a breach of that level. Anyone else have any thoughts?
Now the MACD Hist crossed
Posted by angelo851 on 1st of Sep 2011 at 04:05 pm
Now the MACD Hist crossed the -0- line today with two confirming bars on the 30 min 25, 170,25 MACD Hist. chart. So I am more confident in the SPY system short!
Very interesting!
Posted by frtaylor on 31st of Aug 2011 at 07:26 pm
Very interesting!
It also probably works better
Posted by cw12 on 31st of Aug 2011 at 06:49 pm
It also probably works better when the market is volatile and makes bigger moves like in the past month. Less volatile conditions, and probably much more whipsaws.
Volatility is a must
Posted by dickdos2 on 2nd of Sep 2011 at 01:02 pm
I plugged this "30 minute MACD 25,170,25"concept into NinjaTrader this morning, just to see what would happen. I used the MACD histogram as described here, taking trades upon a crossover of the zero line with one confirming bar.
It's pretty straightforward: when trading SPY, taking both long and short positions accordingly, the profit factor was 1.38 with cumulative profit of 22.3% (frictionless) for the period beginning 6/1/2010 and ending today, 9/2/2011.
I compared the results to a daily chart of SPY over the same time period. Comparing trades dates with the daily charts, I could see that the signal worked well in periods of high volatility (i.e., choppy markets). The signal resulted in whipsaws whenever it encountered a strongly trending market.
not sure if I have
Posted by willc on 1st of Sep 2011 at 07:15 pm
not sure if I have the settings correct in Thinkorswim but this turned negative for SPX a few bars before the close.
Yep, that signal turned out
Posted by cw12 on 2nd of Sep 2011 at 08:55 am
Yep, that signal turned out very nice with the gap down so far. I should give an example of high volatility working better for certain signals. I have a system that's been trading live for two years now. It's a very simple system that uses simple signals. It's up 200% non-compounded over those two years. But it had a 47% gain just on last month alone when volatility exploded.
cw12 would you mind sharing
Posted by angelo851 on 2nd of Sep 2011 at 10:39 am
cw12 would you mind sharing that simple system of yours with the rest of us?