looks like the Pullback long subsystem on the SPY Pro went long
today. So 2 of the 11 are long, there's 22 sub systems, 11
short and 11 long. I didn't post this because 1. I had to
leave right at the close, and 2 I have not decided yet on how or if
I will report all the sub systems. The system is in a long
already. The three images show the individual sub systems for
longs, shorts, and the stats image is for the Pullback long that
went today
anyway here's a write up on the system, also I gave a brief
description of the trade types, not enough so you can re-create
them but enough that you get a general feel for them, so that it's
not like black box
---
The SPY Pro system is not one system, it's actually a macro
system that is made up or diversified across 200 sub systems that
all work in concert with one another. Each sub system does
different things and are actually whole systems on their own that
can be run individually. My thought process with this was
that this gives the system a huge diversification, it's like
running 22 systems vs 1. Many systems out there are composed
of only one trade type, such as a Larry Connors RSI 2 system etc,
and so if that system gets out of sync with the market, you are out
of luck. Since my system is devised of 22 systems that all do
and look at different things in the market (some are reversion to
mean, some are trend following, some are breakout), the odds off
all of these systems getting out of sync with the market at once is
astronomically low in my opinion. That's how I've approached
this system, it's taken years and 1000's of hrs of code and
development, and of course I'm never done, I will continue to
further tweak and add new trade types and filters as I discover
them.
Here's a list of the general trade types to the SPY Pro
system. I've included a very brief general description of the
trade types, not enough for anyone to reproduce of course, but this
gives you a general idea of what they look at. Also note that
some of the trade types have 2 versions, such as 2 Exhaustion Short
systems for example.
-
Trend long - only buys pullbacks when prices
are above long term MA's along with up sloping MA's, exits when
certain indicators recycle
-
QE Long - A reversion to mean trade similar
to the Larry Conners RSI 2 reversion to mean strategy, however uses
a %R indicator instead. Price must be over the 200 day MA for
longs and below for shorts.
-
QE Short - Like the one above, but for shorts,
different filters etc
-
Pullback long trade - similar to the
Trend Long but slightly different settings
-
Very strong trend pullback Long - takes long
trades only when price is moving up strongly and the 20 day MA is
upsloping strong and RSI 3 oversold
-
Exhaustion Short #1 and #2 -
this trade take short trades when the market is
in a very strong uptrend, but statistically is very very stretched
such as over 22 days above the 8 day MA and %R over 90%, exits on a
quick pullback. I have 2 versions of this, 1 and 2
-
Exhaustion Long in bull market - opposite of the
Exhaustion Short above, occurs when price is too
stretched oversold, however price is still in a bull market. Bull
market is defined generally when price is above the 200 MA and it
is in a positive slope. I have two versions of this, 1 and
2
-
Exhaustion Long in bear market - similar to the
one above, but occurs in bear markets so price has to be stretched
MUCH further oversold
-
Hi, Mid, Low short - these
are three type of short trades that occur
primarily in bear markets when price gets overbought, I have
3 types of these
-
Bear Long - a
special type long trade that only occurs in
bear markets, very stringent conditions and rare but very
reliable. various filters built in here to allow it to exit
quickly if need to for a small bounce only, or hold the trade for 1
- 2 months if conditions look ripe for a strong move off the
lows
-
60 Stochastic Short off 80% -
uses the 60 Stochastic, takes shorts
when 60 Stochastic reversed just below 80%
-
34 Stochastic Short off 80% -
same as trade above but uses a 34 length
for Stochastic instead of 60 length
-
60 DVDS Stochastic trade -
similar trade to above, but uses a special
normalized Stochastic indicator from David Verrodi
-
RSI 14 long off 40% - occurs in bull markets
only, when 14 RSI V's off the 40% level
-
RSI 14 oversold trade - RSI is very
oversold long, various filters built in here to allow it to exit
quickly if need to for a small bounce, or hold the trade for 1 - 2
months if conditions look ripe for a strong move off the lows
-
Strap Long - a specialized Long
trade that occurs when a fast stochastic gets
oversold but price remains above a short term MA like the
20 - 30 MA
-
Strap Short - a
specialized Short trade that occurs when a
fast stochastic gets overbought but price remains below
a short term MA like the 20 - 30 MA
- that's a list of most of the individual small systems, that all
work individually, and together
looks like the SPY system will be holding today. However
that's the combined system. I will report when the individual
sub systems close out. Three sub systems are currently
long:
Posted by nabanco98 on 20th of Jun 2016 at 02:02 pm
For your own sanity I would report just first in, first
out. In other words, when one sub system is in, the entire
system is long.
You had enough issues with Pro, RSI, and Ver2.
However, knowing how many of the sub systems have triggered is
valuable information for someone to decide what % of the portfolio
they want to individually be invested
On the SPY Pro system, a 3rd subystem or module went long on
Friday out of the 11 longs. The system has 22 sub systems, 11
shorts and 11 longs. Sub systems long: Pullback Long, Trap
Long, QE
A few approaches I could take
1. Only report the combined system vs the sub systems, less
complicated this way
2. Report the modules, however on a % capital allocation it's
tricky, I could do a 2 entry system, so this means I would allow
two modules to be long or short, maybe do a 60% / 40%
split.
3. I could do a 40%, 30%, 30% capital allocation, that would
allow for one to split their money to do a total of 3 sub
systems.
generally for a public type website simple is best, the trader
in me likes more info though
anyway hopefully those descriptions give you a better idea so
that it's not like a total black box, tried to give you an example
of what's going on and my thought process in the whole
thing.
this modular thing is cool because I can always add new modules
over time, so as I discuss new trade types, for example our brief
description on that DeMark stuff, if I coded a deMark long and
short, I could just add it as a module etc. The modular
format allows me to continue to add new ideas and sub systems over
time
SPY Pro system - detailed information
Posted by matt on 15th of Jun 2016 at 08:50 pm
looks like the Pullback long subsystem on the SPY Pro went long today. So 2 of the 11 are long, there's 22 sub systems, 11 short and 11 long. I didn't post this because 1. I had to leave right at the close, and 2 I have not decided yet on how or if I will report all the sub systems. The system is in a long already. The three images show the individual sub systems for longs, shorts, and the stats image is for the Pullback long that went today
anyway here's a write up on the system, also I gave a brief description of the trade types, not enough so you can re-create them but enough that you get a general feel for them, so that it's not like black box
---
SPY system is going to
Posted by matt on 22nd of Jun 2016 at 05:08 pm
SPY system is going to exit tomorrow on the open. I guess it doen't want to hold in front of Brexit LOL
Matt, what about exits -
Posted by iz_bs on 23rd of Jun 2016 at 01:11 am
Matt, what about exits - does all subsystems use the same logic?
looks like the SPY system
Posted by matt on 20th of Jun 2016 at 10:03 am
looks like the SPY system will be holding today. However that's the combined system. I will report when the individual sub systems close out. Three sub systems are currently long:
1 - Pullback Long
2 - Trap Long
3 - QE Long
they should all close out on different days
For your own sanity I
Posted by nabanco98 on 20th of Jun 2016 at 02:02 pm
For your own sanity I would report just first in, first out. In other words, when one sub system is in, the entire system is long.
You had enough issues with Pro, RSI, and Ver2.
However, knowing how many of the sub systems have triggered is valuable information for someone to decide what % of the portfolio they want to individually be invested
thanks much Steve!
Posted by matt on 20th of Jun 2016 at 02:09 pm
thanks much Steve!
On the SPY Pro system,
Posted by matt on 19th of Jun 2016 at 06:17 pm
On the SPY Pro system, a 3rd subystem or module went long on Friday out of the 11 longs. The system has 22 sub systems, 11 shorts and 11 longs. Sub systems long: Pullback Long, Trap Long, QE
A few approaches I could take
1. Only report the combined system vs the sub systems, less complicated this way
2. Report the modules, however on a % capital allocation it's tricky, I could do a 2 entry system, so this means I would allow two modules to be long or short, maybe do a 60% / 40% split.
3. I could do a 40%, 30%, 30% capital allocation, that would allow for one to split their money to do a total of 3 sub systems.
generally for a public type website simple is best, the trader in me likes more info though
Just amazing what you've put
Posted by frtaylor on 16th of Jun 2016 at 03:53 pm
Just amazing what you've put together here!
thx man, been a long
Posted by matt on 16th of Jun 2016 at 04:05 pm
thx man, been a long road.
anyway hopefully those descriptions give you a better idea so that it's not like a total black box, tried to give you an example of what's going on and my thought process in the whole thing.
this modular thing is cool because I can always add new modules over time, so as I discuss new trade types, for example our brief description on that DeMark stuff, if I coded a deMark long and short, I could just add it as a module etc. The modular format allows me to continue to add new ideas and sub systems over time
Getting past the black box
Posted by frtaylor on 16th of Jun 2016 at 05:22 pm
Getting past the black box thing is very helpful for me.
Thanks for the detail, Matt.
Posted by a_l_ on 15th of Jun 2016 at 09:13 pm
Thanks for the detail, Matt.