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!
Here's a couple images, one
SPY system possible exhaustion short trade
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