When I have time I'd like to investigate the daily SPY reversion
to mean systems and see if I can add a seasonality component/trade
logic for the typical late April - June weakness. Perhaps
have it where the system can still take a long during that time
frame but it has to be on a deeper pullback, or have a tighter
stop?
The system does well over the long run, but I'm not 100% happy
with it as it can get stuck in some bad trades particulary around
the May time frame that I feel can be limited with some extra
logic. It all takes time too add and work on this stuff, and
add logic/filters that don't affect past good trades, so it's
easier said than done of course
FYI the 2nd exit for the SPY system at 2.5% gain would be
$157.99, it would exit another 20% of the shares leaving 60%
remaining.
Otherwise per the system, a close over the 8 day SMA would also
trigger an exit for the system. Currently the 8 day SMA is at
$156.39, however this MA should drop again tomorrow as the slope is
currently negative. Therefore a modest up day tomorrow could cause
the system to exit the trade entirely (vs scaling out again), which
would be fine by me
Hi....missed the scale out, have
Update on SPY system long trade from yesterday and video comments
Posted by hawkinslf on 22nd of Apr 2013 at 10:27 am
Hi....missed the scale out, have it set up to see if the SPY come back. have a 2% trailing stop. Are you doing something different with a stop?
no difference on a stop
Posted by matt on 22nd of Apr 2013 at 10:48 am
no difference on a stop at this point,
When I have time I'd like to investigate the daily SPY reversion to mean systems and see if I can add a seasonality component/trade logic for the typical late April - June weakness. Perhaps have it where the system can still take a long during that time frame but it has to be on a deeper pullback, or have a tighter stop?
The system does well over the long run, but I'm not 100% happy with it as it can get stuck in some bad trades particulary around the May time frame that I feel can be limited with some extra logic. It all takes time too add and work on this stuff, and add logic/filters that don't affect past good trades, so it's easier said than done of course
Thanks....I appreciate all you and
Posted by hawkinslf on 22nd of Apr 2013 at 12:40 pm
Thanks....I appreciate all you and Steve do.
FYI the 2nd exit for
Posted by matt on 22nd of Apr 2013 at 01:52 pm
FYI the 2nd exit for the SPY system at 2.5% gain would be $157.99, it would exit another 20% of the shares leaving 60% remaining.
Otherwise per the system, a close over the 8 day SMA would also trigger an exit for the system. Currently the 8 day SMA is at $156.39, however this MA should drop again tomorrow as the slope is currently negative. Therefore a modest up day tomorrow could cause the system to exit the trade entirely (vs scaling out again), which would be fine by me
Got the 1st scale out;
Posted by hawkinslf on 22nd of Apr 2013 at 02:38 pm
Got the 1st scale out; can set a sell stop on the 2nd scale out but not sure how to set a stop on the 8 day SMA. Thanks.
FYI if SPY closes above
Posted by matt on 22nd of Apr 2013 at 02:45 pm
FYI if SPY closes above a price of $156.46 today, the SPY system will exit this trade tomorrow on the open!
got it!
Posted by hawkinslf on 22nd of Apr 2013 at 02:47 pm
got it!