As you know after the opening comments on the newsletter the
first thing I discussed was the SPY system and how the sub system
QE Long went long on the old version of the system, as it uses a
less stringent setting for the %R indicator. For the high
probability version I made the length much longer, which results in
a lot less trades but higher probability trades. Anyway as I
discussed my hunch was that we could use the less stringent setting
from the old system at times when when the 60 Stochastic is firmly
above 80%. To test this, last night I was able to code a version
and have it ONLY take trades when the 60 Stochastic was above 80%,
and using the less stringent %R setting the stats are very
good.
The first image shows two charts for the sub system QE Long, the
top chart is the one currently being used for the SPY High
Probability systems, and the one below is the one from the original
SPY system using the looser or easier to trigger signals, as you
can see it catches more trades as you would expect.
The 2nd image shows the statistics of the former setting but
only allowing trades to occur when the 60 Stochastic is above 80%,
as you can see VERY strong stats with a profit factor of about 50,
95% winning trades, and only about a 3.5% max draw down. Using this
condition the system would have went long on Friday.
The 3rd image shows the same settings for ES, same thing went
long on Friday.
too bad the futures are up otherwise I'd probably send this as a
trade alert to go long this morning, however should futures fall or
price even close slightly down today I may send this out as an
official trade today. Also I will be using this new filter
going forward on the high probability system only for times when
the 60 length Stochastic is above 80%, in all other times when that
is not the case we will be using the more stringent high
probability setting.
Also this particular trade type tends to only a quick trade,
lasting about 6 days on average. So it doesn't catch monster month
long trades.
anyway I told you guys I would follow up on this so that's what
I'm doing here. Remember I make improvements to the systems
over time as I discover new things.
when the market pulled back earlier I wish I had sent out the
SPY system trade as we had a good chance to enter when the SPX was
basically flat, however I was out. SPX is still up only 5
follow up on SPY system trade discussion from newsletter
Posted by matt on 22nd of Jul 2019 at 09:12 am
As you know after the opening comments on the newsletter the first thing I discussed was the SPY system and how the sub system QE Long went long on the old version of the system, as it uses a less stringent setting for the %R indicator. For the high probability version I made the length much longer, which results in a lot less trades but higher probability trades. Anyway as I discussed my hunch was that we could use the less stringent setting from the old system at times when when the 60 Stochastic is firmly above 80%. To test this, last night I was able to code a version and have it ONLY take trades when the 60 Stochastic was above 80%, and using the less stringent %R setting the stats are very good.
The first image shows two charts for the sub system QE Long, the top chart is the one currently being used for the SPY High Probability systems, and the one below is the one from the original SPY system using the looser or easier to trigger signals, as you can see it catches more trades as you would expect.
The 2nd image shows the statistics of the former setting but only allowing trades to occur when the 60 Stochastic is above 80%, as you can see VERY strong stats with a profit factor of about 50, 95% winning trades, and only about a 3.5% max draw down. Using this condition the system would have went long on Friday.
The 3rd image shows the same settings for ES, same thing went long on Friday.
too bad the futures are up otherwise I'd probably send this as a trade alert to go long this morning, however should futures fall or price even close slightly down today I may send this out as an official trade today. Also I will be using this new filter going forward on the high probability system only for times when the 60 length Stochastic is above 80%, in all other times when that is not the case we will be using the more stringent high probability setting.
Also this particular trade type tends to only a quick trade, lasting about 6 days on average. So it doesn't catch monster month long trades.
anyway I told you guys I would follow up on this so that's what I'm doing here. Remember I make improvements to the systems over time as I discover new things.
when the market pulled back
Posted by matt on 22nd of Jul 2019 at 12:15 pm
when the market pulled back earlier I wish I had sent out the SPY system trade as we had a good chance to enter when the SPX was basically flat, however I was out. SPX is still up only 5
Matt, in the email you
Posted by peterwelsh on 22nd of Jul 2019 at 01:20 pm
Matt, in the email you mentioned strike prices in the 284 range, did you mean 294 or do you buy that far in the money?