FYI the Exhaustion Short #1. There's officially two exhaustion
shorts for the SPY system. By the way this one triggered last
in late Nov as you know and in early Dec
stats: since 1995 the condition has occurred 11 times, profit
factor of 61, max historical draw down about 1%
so obviously because the market sold off from the intra day
highs that SPY Exhaustion short won't trigger at the close. However
the daily overall condition is still being met, it starts to
trigger when SPY has closed for more than 26 consecutive days above
its 8 day SMA. That is still the case today, however I have
other filters that have to be met besides that such as an
overbought %R indicator etc which is why it didn't trigger today.
The point is, this condition could still very well trigger in
the coming days as long as the SPX remains above its 8 day SMA and
if it has another push attempt as the SPY is still meeting that
>26 constitutive days over the SMA
I have SPY closing below its 8day SMA on Dec 30. ---321.08
close vs an ma of 321.32. Prices/calculation from
Tradestation. Are you using a HLC MA or perhaps I'm off
somehow?
the short was triggering again over the last 15 min on that
bounce, appears price needs to be above about 327.85, it went away
again as price fell below it again
Possible SPY system Short Exhaustion
Posted by matt on 14th of Jan 2020 at 01:33 pm
FYI the Exhaustion Short #1. There's officially two exhaustion shorts for the SPY system. By the way this one triggered last in late Nov as you know and in early Dec
stats: since 1995 the condition has occurred 11 times, profit factor of 61, max historical draw down about 1%
so obviously because the market
Posted by matt on 14th of Jan 2020 at 03:54 pm
so obviously because the market sold off from the intra day highs that SPY Exhaustion short won't trigger at the close. However the daily overall condition is still being met, it starts to trigger when SPY has closed for more than 26 consecutive days above its 8 day SMA. That is still the case today, however I have other filters that have to be met besides that such as an overbought %R indicator etc which is why it didn't trigger today. The point is, this condition could still very well trigger in the coming days as long as the SPX remains above its 8 day SMA and if it has another push attempt as the SPY is still meeting that >26 constitutive days over the SMA
I have SPY closing below
Posted by pep8261 on 14th of Jan 2020 at 04:08 pm
I have SPY closing below its 8day SMA on Dec 30. ---321.08 close vs an ma of 321.32. Prices/calculation from Tradestation. Are you using a HLC MA or perhaps I'm off somehow?
it's actually the 9 SMA
Posted by matt on 14th of Jan 2020 at 04:16 pm
it's actually the 9 SMA not the 8, sorry, price did not close below it earlier in the month
got it! thanks Matt.
Posted by pep8261 on 14th of Jan 2020 at 04:27 pm
got it! thanks Matt.
and as I type that
Posted by matt on 14th of Jan 2020 at 04:02 pm
and as I type that ES futures have came WAY back. in fact wouldn't be surprised to see them go positive
LOL too bad that intra
Posted by matt on 14th of Jan 2020 at 02:08 pm
LOL too bad that intra day short signal on the exhaustion would have been a great day trade entering mid day.
there's probably hundreds of SPY system signals that show up intra day only to go away and would have been good trades, which I've mentioned before
the short was triggering again
Posted by matt on 14th of Jan 2020 at 02:52 pm
the short was triggering again over the last 15 min on that bounce, appears price needs to be above about 327.85, it went away again as price fell below it again
Have or can you set
Posted by retirefire on 14th of Jan 2020 at 02:49 pm
Have or can you set those trades on auto fire, computerized trading?
with the market pull the
Posted by matt on 14th of Jan 2020 at 01:40 pm
with the market pull the condition is not being met now. price would have to rally back off the lows to trigger it again