daily exhaustion stats on SPX, I ran a quick backtest on
60 years of daily SPX chart, via my Exhaustion short condition.
The best results for a daily exhaustion condition
were:
SPX needed to close greater than 47 consecutive days above its
20 day EMA, along with a % R indicator over 90%, Over 60
years you had 13 examples of this, max draw down of 3%, 92%
winning.
Interestingly notice that it would have caught the top in Jan,
as that was clearly a parabola move. It would have also
caught a short in Nov. Not surprisingly, over 60 years there was
never two exhaustion conditions so close together, most are
separated by years. But again that makes sense with how the
market had that historic move last year and into Jan.
Thanks for taking the time to do this backtest, Matt. The
other interesting thing about it is that if this had been
integrated with the Main Spy system, it appears that it would have
effectively "blocked" the "first" long trade entry on 1/30 and
possibly the 2nd entry in SSO on 2/2?... Effectively keeping the
system out of this downturn? Of course, it "is what it is"
for where the system is now. I know there's plenty of other
things to focus on right now, but not sure if you might be
considering to integrate this as a new sub-system into the SPY
system or possibly changing the existing exhaustion short subsystem
with these parameters? Thanks again!
yep it would have blocked that early long entry - I hate even
showing it because makes you think, GOD wish I had had that in the
system already, and I also don't want to make members emotional
about that stuff.
Well can't go back in time, always have to look forward, if
after further investigation it looks worth adding to the system I
will do that, can only improve for the future, can't change the
past
read the post again man - I just ran the backtest!
other answer is that the daily SPY and ES systems use a fast
length typically for the exhaustion short like an 8 SMA. Not
sure why I never tested a longer length like the 20 but I didn't,
it is what it is. What prompted me to test was that Intra day
someone sent me some statistics in an email about # consecutive
days above a 20 MA and so I ran my own test using the 20 day MA to
see what I get with my code.
daily exhaustion stats on SPX,
Posted by matt on 9th of Feb 2018 at 02:40 pm
daily exhaustion stats on SPX, I ran a quick backtest on 60 years of daily SPX chart, via my Exhaustion short condition. The best results for a daily exhaustion condition were:
SPX needed to close greater than 47 consecutive days above its 20 day EMA, along with a % R indicator over 90%, Over 60 years you had 13 examples of this, max draw down of 3%, 92% winning.
Interestingly notice that it would have caught the top in Jan, as that was clearly a parabola move. It would have also caught a short in Nov. Not surprisingly, over 60 years there was never two exhaustion conditions so close together, most are separated by years. But again that makes sense with how the market had that historic move last year and into Jan.
I added a chart, a list of trades, and stats.
Thanks for taking the time
Posted by desanyn on 9th of Feb 2018 at 03:26 pm
Thanks for taking the time to do this backtest, Matt. The other interesting thing about it is that if this had been integrated with the Main Spy system, it appears that it would have effectively "blocked" the "first" long trade entry on 1/30 and possibly the 2nd entry in SSO on 2/2?... Effectively keeping the system out of this downturn? Of course, it "is what it is" for where the system is now. I know there's plenty of other things to focus on right now, but not sure if you might be considering to integrate this as a new sub-system into the SPY system or possibly changing the existing exhaustion short subsystem with these parameters? Thanks again!
yep it would have blocked
Posted by matt on 9th of Feb 2018 at 03:28 pm
yep it would have blocked that early long entry - I hate even showing it because makes you think, GOD wish I had had that in the system already, and I also don't want to make members emotional about that stuff.
Well can't go back in time, always have to look forward, if after further investigation it looks worth adding to the system I will do that, can only improve for the future, can't change the past
If the Exhaustion short was
Posted by pebs on 9th of Feb 2018 at 02:49 pm
If the Exhaustion short was part of the SPY system, how come it didn't signal a short trade in Nov or Jan? Or maybe I'm not understanding this?
read the post again man
Posted by matt on 9th of Feb 2018 at 02:56 pm
read the post again man - I just ran the backtest!
other answer is that the daily SPY and ES systems use a fast length typically for the exhaustion short like an 8 SMA. Not sure why I never tested a longer length like the 20 but I didn't, it is what it is. What prompted me to test was that Intra day someone sent me some statistics in an email about # consecutive days above a 20 MA and so I ran my own test using the 20 day MA to see what I get with my code.
clear now?
the same exhaustion 20 MA
Posted by cuqui69 on 9th of Feb 2018 at 03:00 pm
the same exhaustion 20 MA trade applies for longs?
no, have not tested that.
Posted by matt on 9th of Feb 2018 at 03:03 pm
no, have not tested that.