I had a question regarding the SPY Pro yearly gains - here's a
few snapshots of reports. The SPY pro as a single entry and
exit gained an average yearly gain of 32% over 19 years, This year
is still open and 2011 was the worst year of course (in fact all
reversion to mean systems suffered that year). The SPY Pro
scaleout version has a much higher winning % of 96% vs 90% for the
single entry/exit version but a lower total gain, which makes sense
because it doesn't always have a full position as it scales out too
early sometimes - made an average of 22% per year. This is
all non compounded, which means that the same $dollar amount was
invested in 1995 as was recently, i.e. $100K for each trade.
If you throw compounding into the mix, the returns of course do
what you would expect with the power of compounding. The
second chart shows 100% compounding and 50% compounding, which
means that 100% of the profits were re-invested in one version and
50% in another - to me the 50% version makes more sense.
again it's up to you to do what you want, I'm just posting this
because a member asked me some questions about yearly gains and
single entry vs multi entry etc.
Also from a time standpoint, the SPY pro system is only in the
market 46% of the time, which means it is in cash more than 50% of
the time.
The other systems are in the market less, for example the SPY
RSI 2 system is only in the market about 23% of the time, which
means it is in cash 77% of the time however even being in cash this
much it is still able to generate 13% average gains per year non
compounded, not bad.
Matt everything is clear but the only concern is that you have
10% loss protection for the system! In the past 19 years, Did any
signal/trade had a 10% loss on the system stats?
that stop loss on the SPY Pro and Ver 2 is 10.5% not 10%.
The Stop loss on the SPY RSI 2 system is 9% for the first 15
days, then drops down to 4%. The Stop loss on the DVY system
is only 4%
For the SPY pro, the largest draw down was 10.05% in Feb of 2009
when it took a long trade - given the extreme volatility of that
time when everyone thought that the financial system was going to
collapse, I don't consider that out of bounds.
LOL yes you need to sell me some of that good stuff that you are
smoking
anyway you are looking at it the wrong way, the system had a
draw down of 10.04% in Feb of 2009, however the reason that I set
the stop loss at 10.5% was so that trade would NOT stop out because
that trade turned out to be a monster 25% winning trade, does this
make sense? I set the stop loss just above the largest draw
down trade
please see the attached trade from Feb 2009, it should make
sense to you now why I have the stop loss at 10.5%
guys FYI regarding the SPY Pro system - if you wanted to take
the scale outs, the 1% profit target comes in at a price of
$164.96, so if you wanted to scale out of 20% of your shares there,
then I suggest that you simply place a GTC sell limit order for
that price in your account so that it would automatically execute
there.
The Scaleout version exits 20% of its position at a 1% gain,
another 20% at a 2.5% gain, another 20% at a 4.5% gain, and the
remaining 40% at the signal exit. Otherwise the non-scale out
version just exits everything at the signal exit vs scaling out.
The decision is up to you.
Remember the SPY Pro and SPY Ver 2 need a close at least above
the 8 day SMA to get an exit, that's still quite a ways away.
and honestly if anyone is very scared of the market, you can
sell everything now if you want to for a winning trade and go to
cash, again your decision
SPY pro system response to a question
Posted by matt on 27th of Aug 2013 at 02:58 pm
I had a question regarding the SPY Pro yearly gains - here's a few snapshots of reports. The SPY pro as a single entry and exit gained an average yearly gain of 32% over 19 years, This year is still open and 2011 was the worst year of course (in fact all reversion to mean systems suffered that year). The SPY Pro scaleout version has a much higher winning % of 96% vs 90% for the single entry/exit version but a lower total gain, which makes sense because it doesn't always have a full position as it scales out too early sometimes - made an average of 22% per year. This is all non compounded, which means that the same $dollar amount was invested in 1995 as was recently, i.e. $100K for each trade.
If you throw compounding into the mix, the returns of course do what you would expect with the power of compounding. The second chart shows 100% compounding and 50% compounding, which means that 100% of the profits were re-invested in one version and 50% in another - to me the 50% version makes more sense.
again it's up to you to do what you want, I'm just posting this because a member asked me some questions about yearly gains and single entry vs multi entry etc.
Also from a time standpoint, the SPY pro system is only in the market 46% of the time, which means it is in cash more than 50% of the time.
The other systems are in the market less, for example the SPY RSI 2 system is only in the market about 23% of the time, which means it is in cash 77% of the time however even being in cash this much it is still able to generate 13% average gains per year non compounded, not bad.
Matt everything is clear but
Posted by cuqui69 on 27th of Aug 2013 at 03:18 pm
Matt everything is clear but the only concern is that you have 10% loss protection for the system! In the past 19 years, Did any signal/trade had a 10% loss on the system stats?
that stop loss on the
Posted by matt on 27th of Aug 2013 at 03:36 pm
that stop loss on the SPY Pro and Ver 2 is 10.5% not 10%. The Stop loss on the SPY RSI 2 system is 9% for the first 15 days, then drops down to 4%. The Stop loss on the DVY system is only 4%
For the SPY pro, the largest draw down was 10.05% in Feb of 2009 when it took a long trade - given the extreme volatility of that time when everyone thought that the financial system was going to collapse, I don't consider that out of bounds.
Matt , unless I am
Posted by cuqui69 on 27th of Aug 2013 at 03:41 pm
Matt , unless I am smoking something funny! I looked back at the trade stats and I don't see the 10.5% back in Feb 2009!
LOL yes you need to
Posted by matt on 27th of Aug 2013 at 04:00 pm
LOL yes you need to sell me some of that good stuff that you are smoking
anyway you are looking at it the wrong way, the system had a draw down of 10.04% in Feb of 2009, however the reason that I set the stop loss at 10.5% was so that trade would NOT stop out because that trade turned out to be a monster 25% winning trade, does this make sense? I set the stop loss just above the largest draw down trade
please see the attached trade from Feb 2009, it should make sense to you now why I have the stop loss at 10.5%
guys FYI regarding the SPY
Posted by matt on 28th of Aug 2013 at 12:19 pm
guys FYI regarding the SPY Pro system - if you wanted to take the scale outs, the 1% profit target comes in at a price of $164.96, so if you wanted to scale out of 20% of your shares there, then I suggest that you simply place a GTC sell limit order for that price in your account so that it would automatically execute there.
The Scaleout version exits 20% of its position at a 1% gain, another 20% at a 2.5% gain, another 20% at a 4.5% gain, and the remaining 40% at the signal exit. Otherwise the non-scale out version just exits everything at the signal exit vs scaling out. The decision is up to you.
Remember the SPY Pro and SPY Ver 2 need a close at least above the 8 day SMA to get an exit, that's still quite a ways away.
and honestly if anyone is very scared of the market, you can sell everything now if you want to for a winning trade and go to cash, again your decision
CLICK HERE to view a Performance Report for SPY Pro Single Entry/Single exit strategy
CLICK HERE to view a Performance Report for SPY Pro scale out version
Je je je I have
Posted by cuqui69 on 27th of Aug 2013 at 04:05 pm
Je je je I have to quit that sht!
Thanks Matt Now is Clear!
I do the same thing
Posted by matt on 27th of Aug 2013 at 04:02 pm
I do the same thing with the SPY RSI 2 system and DVY system, the stop loss is set just above the maximum trade draw down.
Thanks Matt!
Posted by cuqui69 on 27th of Aug 2013 at 03:37 pm
Thanks Matt!