The exhaustion trade may trigger today on the SPY system, not of
course if the market closes down, will need to close up for it to
trigger. The name should be self explanatory, it's a condition
where the market has exhausted itself and due for a quick pullback
statistically. I've attached an image showing the statistics,
has occurred 17 times since 1995, 100% winners up to now anyway. I
have two variations of it, Exhaustion 1 and 2. Exhaustion 2
triggered in Jan 27th 2018, which that was clearly an
obviously parabolic blow off exhaustion type condition. I don't see
this condition like that and indeed most of the trades for this sub
system are not like that, many simply produce small pullbacks say
below a 5 or 9 EMA then price goes right back up.
Also YES the ES Breakout system is still long. Therefore when
trading both the SPY and ES systems this is an example of an
overlap, where you have a profitable long trade and then a short
trade occurring while the Long trade is still open.
anyway I'll let you know later in the day if the condition is
still valid near the close
Here's a couple images, one thing I noticed today's entry
doesn't exceed today's candle high. I noticed that same of
the past ones took a little draw down if they were not a new highs
above the recent candles. Anyway I'll test that now and add
a condtion and see if that makes any difference to the stats,
otherwise obviously we are in a trade even if that turns out better
and the condition filtered this one out.
otherwise there's two exhaustion type conditions, one has to
have at least 26 or greater consecutive days above the 9 SMA along
with other overbought readings like RSI, %R, etc. The other needs
more than 46 consecutive days above the 15 MA. Jan 2018
triggered the 46 bar version, today's version was the 26 bar
version.
also guys as far as options, for the combined ES and SPY systems
I will be using smaller delta options like 60 or 70 vs the 90 I
have been using since May. However technically since we are not
using the SPY and ES systems yet I'm using the original option
settings
follow up on my comments yesteraday about adding a filter to the
exhaustion system where price had to be at new highs. The
exhaustion short yesterday did not take out out Tuesday's highs for
example. Anyway the results of that added filter - first off you
reduce the number of trades as some are filtered out. However I
noticed it reduces draw down by quite a bit, as much as half on
some past trades.
With the filter on the system would not have shorted yesterday
but would be shorting today instead :( Yeah I know.
anyway going forward for future trades I will be using that
filter. But obviously we are in the current trade as is.
that said yesterday I did say that I thought the market would go
higher first before pulling back because of the 15 and 60 min
charts, and we see that today.
Matt - Great work on all of this. By using smaller delta
options of 60/70, does that mean you're looking to ramp up the
leverage to about 20x vs the 90 deltas that act like 10x
leverage?
Agree, thanks for your hard work on this Matt! Definitely
understand this is a first entry and may not be perfect; may need a
couple more. This uptrend is hard to kill!
The exhaustion condition is no longer there as the market pulled
off the morning highs and SPY is now down. However should the
market recover and close up by the end of day the condition could
come back, anyway just an early heads up
SPY system possible exhaustion short trade
Posted by matt on 14th of Nov 2019 at 10:42 am
The exhaustion trade may trigger today on the SPY system, not of course if the market closes down, will need to close up for it to trigger. The name should be self explanatory, it's a condition where the market has exhausted itself and due for a quick pullback statistically. I've attached an image showing the statistics, has occurred 17 times since 1995, 100% winners up to now anyway. I have two variations of it, Exhaustion 1 and 2. Exhaustion 2 triggered in Jan 27th 2018, which that was clearly an obviously parabolic blow off exhaustion type condition. I don't see this condition like that and indeed most of the trades for this sub system are not like that, many simply produce small pullbacks say below a 5 or 9 EMA then price goes right back up.
Also YES the ES Breakout system is still long. Therefore when trading both the SPY and ES systems this is an example of an overlap, where you have a profitable long trade and then a short trade occurring while the Long trade is still open.
anyway I'll let you know later in the day if the condition is still valid near the close
Here's a couple images, one
Posted by matt on 14th of Nov 2019 at 04:14 pm
Here's a couple images, one thing I noticed today's entry doesn't exceed today's candle high. I noticed that same of the past ones took a little draw down if they were not a new highs above the recent candles. Anyway I'll test that now and add a condtion and see if that makes any difference to the stats, otherwise obviously we are in a trade even if that turns out better and the condition filtered this one out.
otherwise there's two exhaustion type conditions, one has to have at least 26 or greater consecutive days above the 9 SMA along with other overbought readings like RSI, %R, etc. The other needs more than 46 consecutive days above the 15 MA. Jan 2018 triggered the 46 bar version, today's version was the 26 bar version.
also guys as far as options, for the combined ES and SPY systems I will be using smaller delta options like 60 or 70 vs the 90 I have been using since May. However technically since we are not using the SPY and ES systems yet I'm using the original option settings
follow up on my comments
Posted by matt on 15th of Nov 2019 at 12:13 pm
follow up on my comments yesteraday about adding a filter to the exhaustion system where price had to be at new highs. The exhaustion short yesterday did not take out out Tuesday's highs for example. Anyway the results of that added filter - first off you reduce the number of trades as some are filtered out. However I noticed it reduces draw down by quite a bit, as much as half on some past trades.
With the filter on the system would not have shorted yesterday but would be shorting today instead :( Yeah I know.
anyway going forward for future trades I will be using that filter. But obviously we are in the current trade as is.
that said yesterday I did say that I thought the market would go higher first before pulling back because of the 15 and 60 min charts, and we see that today.
Great work as always on
Posted by ssaffer on 15th of Nov 2019 at 03:08 pm
Great work as always on the filter.
SPY exhaust system trade was
Posted by rogerv on 15th of Nov 2019 at 03:33 pm
SPY exhaust system trade was taken yesterday
Yep I stated as much
Posted by matt on 15th of Nov 2019 at 03:42 pm
Yep I stated as much in the post. going forward of course we will use that new filter setting.
also side note there could be a second entry, however it's too close to call until the close
Matt - Great work on
Posted by shecar on 15th of Nov 2019 at 11:34 am
Matt - Great work on all of this. By using smaller delta options of 60/70, does that mean you're looking to ramp up the leverage to about 20x vs the 90 deltas that act like 10x leverage?
Matt, thanks for this input.
Posted by mundy on 14th of Nov 2019 at 09:04 pm
Matt, thanks for this input. Could you send us the page on the summary stats showing what the draw-downs have been.
Agree, thanks for your hard
Posted by cozz101 on 14th of Nov 2019 at 04:22 pm
Agree, thanks for your hard work on this Matt! Definitely understand this is a first entry and may not be perfect; may need a couple more. This uptrend is hard to kill!
agree, thanks for your hard
Posted by retirefire on 14th of Nov 2019 at 04:30 pm
agree, thanks for your hard work and commitment
Just curious if we are
Posted by cozz101 on 14th of Nov 2019 at 03:23 pm
Just curious if we are getting back into trigger territory on this?
yes but I have to
Posted by matt on 14th of Nov 2019 at 03:43 pm
yes but I have to focus, have a lot to do if there is one, can't be replying here until after I get stuff out
No prob, will stay tuned,
Posted by cozz101 on 14th of Nov 2019 at 03:44 pm
No prob, will stay tuned, thx
Will you send out an
Posted by steverobin on 14th of Nov 2019 at 11:43 am
Will you send out an email today this triggers?
I mean, the last sentence
Posted by matt on 14th of Nov 2019 at 12:11 pm
I mean, the last sentence on that post is "anyway I'll let you know later in the day if the condition is still valid near the close"
so yeah
otherwise unless the market rallies back today it will not be shorting obviously
The exhaustion condition is no
Posted by matt on 14th of Nov 2019 at 10:43 am
The exhaustion condition is no longer there as the market pulled off the morning highs and SPY is now down. However should the market recover and close up by the end of day the condition could come back, anyway just an early heads up
thx matt
Posted by morton7 on 14th of Nov 2019 at 10:43 am
thx matt