First off I've been having problems with TS all morning, crashed
a few times on me so far. Anyway as you know yesterday I said
that the 2 systems (SPY Ver 2 and SPY RSI 2) were looking for at
least a 2% move above the original entry price in order to enter a
second short position. Well apparently there's a bug in my
SPY RSI 2 code - it took a second entry that showed up last night,
but clearly price didn't close above 198.9. When I looked
back at past short trades, I saw it entering sometimes only 0.5%
above even though the settings in the code have it at 2% better.
So clearly there's an issue here. I have told he
programmer about it and he will fix this today, however I'm not
really sure what to do about it, all the past stats are with the
SPY Ver 2 not waiting for a 2% higher price for the short trades.
This appears to ONLY be a bug on the shorts and not the
longs, the % better for the second entry prices for the longs
appears to work exactly as it should, it's simply the shorts that
have the bug.
I've attached two charts, one shows the current SPY RSI 2 chart
that took a second entry while the second one shows a past example
of some short trades, clearly you can see it didn't wait > 2% on
one of these.
So I'll leave it up to you what to do. Until I get this
bug fixed I can't back test and tell you what percentage number is
best, if it's 1% or 2% or 0.75% etc. I won't be able to
answer that until later today.
here's the
performance reportof the RSI 2 system, clearly it's pretty good as is even with
the bug, bug again I can't tell you at this moment what % better
the second entry should be until I can test it later today.
PLEASE note for this performance report this is an MHTLM
file, it will only open in Internet Explorer, download it so that
you can open it. Ignore the warning that Chrome or other
browsers may give you regarding the file, it's save, no
virus.
This bug only exists on the SPY RSI 2 system, the SPY Ver 2
chart is correct it did not take a second entry as that system
needs a 2% better price
got the code fixed for the SPY RSI 2 system, here's the back
tested results for the % better scalein. About a 1% better has
higher net profit and PF of 9.8, while say a 2% bestter is slightly
higher profit factor of 9.94 but overall lower net profit of 225K.
After looking at past trades I'd be included to choose the
1%
I apologize that it took me a while to post this information
this morning, however TS kept crashing on me and I needed to get up
up and running so that I could get the chart examples for you.
There is no problem, Matt. SPY is to test its MA(50), and that
would be a good second entry for the SPY system. It would average
up and make up for an early first entry. Entering a limit sell
order should work.
If you could send an e-mail with your comments on the price or
suggested action, it would help many.
I took a second short entry near the close yesterday and closed
it on a pullback, as I still expect higher prices.
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SPY systems important note
Posted by matt on 6th of Oct 2015 at 10:39 am
First off I've been having problems with TS all morning, crashed a few times on me so far. Anyway as you know yesterday I said that the 2 systems (SPY Ver 2 and SPY RSI 2) were looking for at least a 2% move above the original entry price in order to enter a second short position. Well apparently there's a bug in my SPY RSI 2 code - it took a second entry that showed up last night, but clearly price didn't close above 198.9. When I looked back at past short trades, I saw it entering sometimes only 0.5% above even though the settings in the code have it at 2% better. So clearly there's an issue here. I have told he programmer about it and he will fix this today, however I'm not really sure what to do about it, all the past stats are with the SPY Ver 2 not waiting for a 2% higher price for the short trades. This appears to ONLY be a bug on the shorts and not the longs, the % better for the second entry prices for the longs appears to work exactly as it should, it's simply the shorts that have the bug.
I've attached two charts, one shows the current SPY RSI 2 chart that took a second entry while the second one shows a past example of some short trades, clearly you can see it didn't wait > 2% on one of these.
So I'll leave it up to you what to do. Until I get this bug fixed I can't back test and tell you what percentage number is best, if it's 1% or 2% or 0.75% etc. I won't be able to answer that until later today.
here's the performance report of the RSI 2 system, clearly it's pretty good as is even with the bug, bug again I can't tell you at this moment what % better the second entry should be until I can test it later today. PLEASE note for this performance report this is an MHTLM file, it will only open in Internet Explorer, download it so that you can open it. Ignore the warning that Chrome or other browsers may give you regarding the file, it's save, no virus.
This bug only exists on the SPY RSI 2 system, the SPY Ver 2 chart is correct it did not take a second entry as that system needs a 2% better price
got the code fixed for
Posted by matt on 6th of Oct 2015 at 02:41 pm
got the code fixed for the SPY RSI 2 system, here's the back tested results for the % better scalein. About a 1% better has higher net profit and PF of 9.8, while say a 2% bestter is slightly higher profit factor of 9.94 but overall lower net profit of 225K. After looking at past trades I'd be included to choose the 1%
I apologize that it took
Posted by matt on 6th of Oct 2015 at 10:42 am
I apologize that it took me a while to post this information this morning, however TS kept crashing on me and I needed to get up up and running so that I could get the chart examples for you.
There is no problem, Matt.
Posted by junkie on 6th of Oct 2015 at 11:13 am
There is no problem, Matt. SPY is to test its MA(50), and that would be a good second entry for the SPY system. It would average up and make up for an early first entry. Entering a limit sell order should work.
If you could send an e-mail with your comments on the price or suggested action, it would help many.
I took a second short entry near the close yesterday and closed it on a pullback, as I still expect higher prices.