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

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