here's an updated profit zoomed in profit curve (starts in 2003
and not 1994 so we can see more clearly). The last winning
trade helped some, but we need one more winning trade to cleanly
break the down trendline. Again I'm not saying that this
method is the best or the most scientific way to analyze profit
curves, it's just something that I do and it's also similar to TA
how we draw trendlines on stocks and indexes, anyway we'll see.
Note; this graph only shows completed trades and thus this
current trade (which is up for now) does not reflect the profit
curve. I'll update this graph once this trade is
complete.
See the original post that this message is a reply to in order
to read more about my method of analysis of profit curves on
systems etc.
here's the updated profit curves now the the trade is closed
out, here's one of the system variations with trendlines drawn.
The first chart shows a downtrend line that slightly breaks
the profit curve, sort of like a bull flag perhaps. The
second chart is of the same curve, however I drew a different
trendline that has yet to break. We'll see how it goes from
here.
Also, I'm going to be making a modification to the system that
to my opinion makes a lot of sense. As we know the 'Sell In
May and Go Away' has been a pretty powerful stat going back 62
years. Therefore my thought is to put in a more stringent
parameter for buy signals between mid April - mid May or June.
The system would work in the same way, however it would not
be as aggressive in buying dips and would need a deeper pullback in
order to buy.
Here's an update to the SPY system profit curves: they
have now cleanly broken their downtrend lines. I also drew
horizontal lines and obviously we still have a way to go before we
break those, however the downtrend lines have been cleanly
broken.
Posted by falcon5678 on 18th of Jul 2012 at 12:34 pm
It's funny you mention that, Matt - I'm a real believer in
momentum in life. It's interesting how when you're
having a good month trading you tend to get luckier and things just
seem to 'go right'. And the opposite is true. I
don't know why it happens but it seems to be about more than just
strategies. Maybe we've been in one of those Twillight-zonish
markets that just doesn't gel with the system but at some point the
historical performance averages will start to take precedence over
the divine intervention that has dominated lately.
Posted by sschulman on 23rd of Jul 2012 at 02:33 pm
Yes, everything seems to be cycles. I completely missed that
recent (finally-profitable trade because not set up with a new
broker yet.
Only thing that saves me time and again is my sense of humour,
and counting my blessings. (Driving to work this morning in
air-conditioned car, listening to 60's rock&roll - how bad can
life be. :-))
This is first time in about a week that I've read the SPY system
messages - just didn't want to know what I was missing.
yep, trading seems to work like that. There are times when
I can't make a bad trade for days and weeks at a time, I can do no
wrong. And there are those times it's hard to make good
trades and my account either goes sideways or down. It seems
to go in cycles like this.
Here's an interesting concept to try: Tradestation allows you to
plot your trading record as a performance report with detailed
statistics, profit curves, etc. Plot your your performance
report and then do technical analysis on it! You will find
that patterns form like triangles, flags, and obvious trendlines.
Add a MACD indicator and you will even see divergences form,
both positive and negative.
For example if you see a topping pattern forming with negative
divergence, then cut your trading way back because you are probably
due for a down cycle.
You're quite right to observe trader psychology of
trend-following is less scary than revision-to-mean. In simple
terms, having a position begin slightly positive, with a potential
to grow further so, is less traumatic than than an initial (paper)
loss. Of course, both approaches are huge winners. Bravo!
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SPY system analysis of profit curves and thoughts
Posted by matt on 22nd of Jun 2012 at 04:06 am
here's a newsletter I put together this evening where I analyze the profit curves to the SPY system and a method of drawing trendlines etc
http://breakpointtrades.com/controls/preview.php?nl_id=1117
here's an updated profit zoomed
Posted by matt on 13th of Jul 2012 at 03:49 pm
here's an updated profit zoomed in profit curve (starts in 2003 and not 1994 so we can see more clearly). The last winning trade helped some, but we need one more winning trade to cleanly break the down trendline. Again I'm not saying that this method is the best or the most scientific way to analyze profit curves, it's just something that I do and it's also similar to TA how we draw trendlines on stocks and indexes, anyway we'll see.
Note; this graph only shows completed trades and thus this current trade (which is up for now) does not reflect the profit curve. I'll update this graph once this trade is complete.
See the original post that this message is a reply to in order to read more about my method of analysis of profit curves on systems etc.
http://breakpointtrades.com/blog/post/203178/
here's the updated profit curves
Posted by matt on 18th of Jul 2012 at 09:54 pm
here's the updated profit curves now the the trade is closed out, here's one of the system variations with trendlines drawn. The first chart shows a downtrend line that slightly breaks the profit curve, sort of like a bull flag perhaps. The second chart is of the same curve, however I drew a different trendline that has yet to break. We'll see how it goes from here.
Also, I'm going to be making a modification to the system that to my opinion makes a lot of sense. As we know the 'Sell In May and Go Away' has been a pretty powerful stat going back 62 years. Therefore my thought is to put in a more stringent parameter for buy signals between mid April - mid May or June. The system would work in the same way, however it would not be as aggressive in buying dips and would need a deeper pullback in order to buy.
Here's an update to the
Posted by matt on 6th of Aug 2012 at 04:07 pm
Here's an update to the SPY system profit curves: they have now cleanly broken their downtrend lines. I also drew horizontal lines and obviously we still have a way to go before we break those, however the downtrend lines have been cleanly broken.
It's funny you mention that,
Posted by falcon5678 on 18th of Jul 2012 at 12:34 pm
It's funny you mention that, Matt - I'm a real believer in momentum in life. It's interesting how when you're having a good month trading you tend to get luckier and things just seem to 'go right'. And the opposite is true. I don't know why it happens but it seems to be about more than just strategies. Maybe we've been in one of those Twillight-zonish markets that just doesn't gel with the system but at some point the historical performance averages will start to take precedence over the divine intervention that has dominated lately.
cycles and a little off topic
Posted by sschulman on 23rd of Jul 2012 at 02:33 pm
Yes, everything seems to be cycles. I completely missed that recent (finally-profitable trade because not set up with a new broker yet.
Only thing that saves me time and again is my sense of humour, and counting my blessings. (Driving to work this morning in air-conditioned car, listening to 60's rock&roll - how bad can life be. :-))
This is first time in about a week that I've read the SPY system messages - just didn't want to know what I was missing.
.....Susan
yep, trading seems to work
Posted by matt on 18th of Jul 2012 at 09:10 pm
yep, trading seems to work like that. There are times when I can't make a bad trade for days and weeks at a time, I can do no wrong. And there are those times it's hard to make good trades and my account either goes sideways or down. It seems to go in cycles like this.
Here's an interesting concept to try: Tradestation allows you to plot your trading record as a performance report with detailed statistics, profit curves, etc. Plot your your performance report and then do technical analysis on it! You will find that patterns form like triangles, flags, and obvious trendlines. Add a MACD indicator and you will even see divergences form, both positive and negative.
For example if you see a topping pattern forming with negative divergence, then cut your trading way back because you are probably due for a down cycle.
You're quite right to observe
Posted by cubby on 4th of Jul 2012 at 05:41 pm
You're quite right to observe trader psychology of trend-following is less scary than revision-to-mean. In simple terms, having a position begin slightly positive, with a potential to grow further so, is less traumatic than than an initial (paper) loss. Of course, both approaches are huge winners. Bravo!