As you know the SPY Pro and ES systems use 22 individual sub
systems, 11 longs and 11 shorts. The systems however are
mostly reversion to mean in nature, meaning they look to buy
pullbacks in uptrends, and short rallies in bear market conditions.
However many of the sub systems have trending logic to them to
attempt to hold trades for 2 - 3 months at times when the
conditions are met.
However I recently, maybe a month ago, developed a beta breakout
sub system, this system doesn't buy pullbacks in uptrends, instead
it buys breakout conditions where price is higher, breakout out
above resistance. I made this sub system in an attempt to
catch low volatility periods in the market where there is very
little pullback (not enough for the reversion to mean sub systems
to catch a long) like we say from Jan - early March rally in the
SPX.
anyway here's an example of that breakout trade on the new AAPL
strategy. This AAPL strategy uses the other reversion to mean
sub systems (not all of them) however it also uses the new breakout
sub system, which you can see on the most recent trade:
The current trade went long on 2/1/17 via the breakout trade, and
those exits you see are profit targets. So it still has a
piece; it went long 770 shares at $117.64 on 2/1/17, then sold
385 shares on 3/15/17 at $140.46, and another 193 shares on 3/18/17
at a price of $143.80 193. It still has 192 shares left out
of the original 770 shares from 2/1/17.
anyway I"m just giving you an
example of this breakout Trade. I still have yet to
fully apply it to the SPY system and ES system, with the hedge fund
I'm so busy these days
Example of breakout sub system
Posted by matt on 6th of Apr 2017 at 11:33 am
As you know the SPY Pro and ES systems use 22 individual sub systems, 11 longs and 11 shorts. The systems however are mostly reversion to mean in nature, meaning they look to buy pullbacks in uptrends, and short rallies in bear market conditions. However many of the sub systems have trending logic to them to attempt to hold trades for 2 - 3 months at times when the conditions are met.
However I recently, maybe a month ago, developed a beta breakout sub system, this system doesn't buy pullbacks in uptrends, instead it buys breakout conditions where price is higher, breakout out above resistance. I made this sub system in an attempt to catch low volatility periods in the market where there is very little pullback (not enough for the reversion to mean sub systems to catch a long) like we say from Jan - early March rally in the SPX.
anyway here's an example of that breakout trade on the new AAPL strategy. This AAPL strategy uses the other reversion to mean sub systems (not all of them) however it also uses the new breakout sub system, which you can see on the most recent trade:
The current trade went long on 2/1/17 via the breakout trade, and those exits you see are profit targets. So it still has a piece; it went long 770 shares at $117.64 on 2/1/17, then sold 385 shares on 3/15/17 at $140.46, and another 193 shares on 3/18/17 at a price of $143.80 193. It still has 192 shares left out of the original 770 shares from 2/1/17.
anyway I"m just giving you an example of this breakout Trade. I still have yet to fully apply it to the SPY system and ES system, with the hedge fund I'm so busy these days
nice Matt!
Posted by Michael on 6th of Apr 2017 at 04:11 pm
nice Matt!
Dude...please roll it out. Its
Posted by goap1207 on 6th of Apr 2017 at 01:57 pm
Dude...please roll it out. Its time. This is awesome! Great work Matt.
we'll call you Robo Matt,
Posted by morton7 on 6th of Apr 2017 at 01:13 pm
we'll call you Robo Matt, lol
Nice!
Posted by Denis on 6th of Apr 2017 at 12:42 pm
Good going Matt! Looks like a terrific addition to the systems. Should be easier on the psyche too.
Cheers, Denis.
Nice work!
Posted by morton7 on 6th of Apr 2017 at 12:34 pm
Nice work!
looks great
Posted by law6 on 7th of Apr 2017 at 04:21 pm