For those of you following the scaleout versions of the SPY pro
system:
1% scaleout is at a price of $188.65 and the 1.25% scaleout is
at a price of $189.11. I have not officially changed the
current 1% to 1.25% but probably will soon.
The 2.75% scaleout is at a price of $191.92.
Again should you wish to follow those simply set GTC orders so
that they automatically execute for you. Or you may choose
not to follow the scaleouts.
I also have a scale-in version of the system that I'm
considering where it would enter a second position at better
prices. I have not yet decided on this.
Here's two very detailed excel reports, right click to download
them, these show all the trades for the non-scaleout and
scalein.
Also I've attached in image showing an example of the scale-in
vs the non-scale-in (see the Feb trade). None of these
contain scaleouts
yep that's correct. However the scale-in has a lower draw
down. The largest draw down on the non scaleout single entry
is $10K on $100K, and on the scale-in it's only $6K. Of
course the system didn't take a loss on that trade, it was in Feb
2009 when the system went long and the trade was down initially and
went onto make over 20%.
Posted by heircraft on 8th of May 2014 at 07:38 pm
Does that mean that the total drawdown on the Scale-In system
could be higher as you could end up with two trades with a combined
drawdown of more than 10% ?
Newsletter
Subscribe to our email list for regular free market updates
as well as a chance to get coupons!
SPY Pro system comments
Posted by matt on 7th of May 2014 at 04:36 pm
For those of you following the scaleout versions of the SPY pro system:
1% scaleout is at a price of $188.65 and the 1.25% scaleout is at a price of $189.11. I have not officially changed the current 1% to 1.25% but probably will soon.
The 2.75% scaleout is at a price of $191.92.
Again should you wish to follow those simply set GTC orders so that they automatically execute for you. Or you may choose not to follow the scaleouts.
I also have a scale-in version of the system that I'm considering where it would enter a second position at better prices. I have not yet decided on this.
Here's two very detailed excel reports, right click to download them, these show all the trades for the non-scaleout and scalein.
Also I've attached in image showing an example of the scale-in vs the non-scale-in (see the Feb trade). None of these contain scaleouts
SPY system Excel File Non-scalout system (right click to download)
SPY system Excel File two Scale-in version (right click to download)
SPY
Posted by matt on 8th of May 2014 at 11:55 am
$189.11 is the 1.25% scaleout, price got within 6 cents as SPY hit a high of 189.05
SPY touched first scaleout price
Posted by steve on 8th of May 2014 at 09:57 am
SPY touched first scaleout price 188.65 (see Matt's sticky post above)
looks like the average annual
Posted by nabanco98 on 7th of May 2014 at 09:24 pm
looks like the average annual return for the non-scaleout version is 36.4% while the two scale-in is 29.5%.
Largest loosing trade is 3361 versus 2363 respectively.
yep that's correct. However the
Posted by matt on 7th of May 2014 at 09:31 pm
yep that's correct. However the scale-in has a lower draw down. The largest draw down on the non scaleout single entry is $10K on $100K, and on the scale-in it's only $6K. Of course the system didn't take a loss on that trade, it was in Feb 2009 when the system went long and the trade was down initially and went onto make over 20%.
Does that mean that the
Posted by heircraft on 8th of May 2014 at 07:38 pm
Does that mean that the total drawdown on the Scale-In system could be higher as you could end up with two trades with a combined drawdown of more than 10% ?