I ignored the cross signal buy on SSO because of the gap up on
government intervention. Instincts and other chart views told
me to short the 200 point up open, but because of the cross I
questioned that and didn't take the trade. I think the
bearish scenario is most likely to play out, failure of the market
to hold a rally on this kind of extreme intervention is not a
particularly good omen. So I'm keeping an eye on the big
picture, possible wave 5 down yet ahead. Appreciate any
updated thoughts you have on that going forward.
Yes you can filter out big morning gap ups, I have not back
tested the system with the gaps filtered out. Just eye
balling the system, the gaps seem to be about 50:50 i.e. about 50%
produce gains and 50% produce losses, but again I have not done the
stats so I can't say exactly i.e. it could be 60:40 etc, that's
just what I observed.
So you can either decide NOT to trade on a big gap up or down or
you can just take every signal, your choice. Even if you
decide to trade the gaps, the system should work out over time
because that's how the the statistics are that I showed (takes all
the siganls regardless of the gaps). You have to do each
signal like a robot in order for the statistics to play out.
If today was your fist time with the system and you are
down....well that's life, the system produces losses from time to
time, it's that simple and that's the way fate works, your first
time could be the whipsaw, but you can't complain about it, you
have to do each signal like a robot, that consistently for the
stats to work out i.e. you can't do one trade from a system and
say...'ah it doesn't work'...come one use some logic, losses are a
normal part of any system, you have to do each signal for weeks
before you can make that conclusion. Again the only trick is
the gaps, I think you can choose to either not trade the gaps and
ignore those signals (but then the statics that I showed will not
apply because they take every signal) or you can just take every
signal.
Ok enough on this, I'm done with this for today, I'm going back
to posting regular market analysis info.
Posted by mwelch22 on 10th of Nov 2008 at 02:11 pm
Very well said, I have taken big losses today but that it part
of the deal. I am running the strategies on Ninja and had a
sell signal on SRS (9,39 EMA) cross right at the market open.
It appeared that the crossover took place Friday on the last 15 min
bar and triggered at the open this morning. Did this happen
to anyone else?
I read it as: the crossover took place last 15 min Friday but
all trades are exited end of day, thus the trade was effectively
anulled. There was no trade today till the crossover to the
upside for going long SRS.
Maybe we're getting a little nutty here but I guess it's good
for us to understand. I don't think you could exit the SRS trade at
the end of the day Friday because you were not in it. The cross on
the last bar means you go in at the open of the next bar which in
this case was the Monday open. Then it's a whole nother issue
whether you want to modify the system and wait because of the
gap.
Bkout 3, that's what i meant by the trade being anulled: you
wouldn't take any trade on a crossover on the last 15min since you
have to exit MOC. On the other hand, as I understand it, the next
day there would be no trade till the next crossover since the last
signal had occured the day before.
Posted by glennsexton on 10th of Nov 2008 at 02:37 pm
I think if you're using the mechanical system you need to take
every trade. suppose it was a gap down and wave 5 took us down
another 500pts. you just don't know. today it didn't work
that's all
The way I play the system is that I only take a cross that
happens during the trading day. So a cross that happened the
previous day but I didn't take for whatever reason (eg it wasn't
confirmed until the bar closed) is ignored.
I also tend to ignore crosses that happen in the first 20-30
minutes of trading until the 20-30 minutes is up. With program
trading you can achieve this by setting the trading day to begin at
10.00 am. This ignores any price action before this, and in
particular stops you chasing a gap up/down which reverses.
If we *knew* that the systems would continue to perform as well
as they have in the past then it would make sense to follow
mechanically -- and maybe they will. I'm not clear on how long the
systems have been trading in "real time" i.e. since all parameters
such as EMA values and rules have been fixed in place. Otherwise
there is the danger of curve fitting where the mas are chosen to
maximize historical performance but *may* not mean much going
forward. Matt, Ravun forgive me if this issue was covered and I
missed (or forgot) it. So it might make more sense for some of us
to combine the ma signals with technical analysis -- let them be
another tool in the box.
Would like to mention for those trading the 7/21 ema cross
system on the 5 min chart the recent whipsaw could have been
avoided by referring to the MACDBB (standard numbers in Ninja
Trader): they never crossed above zero. This was something that
Matt mentioned. Put it to good use today.
S&P 500 15 min chart.png looks
Posted by matt on 10th of Nov 2008 at 11:53 am
looks like that could be it for wave 2 or B bounce
I ignored the cross signal
Posted by homer on 10th of Nov 2008 at 12:00 pm
I ignored the cross signal buy on SSO because of the gap up on government intervention. Instincts and other chart views told me to short the 200 point up open, but because of the cross I questioned that and didn't take the trade. I think the bearish scenario is most likely to play out, failure of the market to hold a rally on this kind of extreme intervention is not a particularly good omen. So I'm keeping an eye on the big picture, possible wave 5 down yet ahead. Appreciate any updated thoughts you have on that going forward.
System comments
Posted by matt on 10th of Nov 2008 at 12:11 pm
Yes you can filter out big morning gap ups, I have not back tested the system with the gaps filtered out. Just eye balling the system, the gaps seem to be about 50:50 i.e. about 50% produce gains and 50% produce losses, but again I have not done the stats so I can't say exactly i.e. it could be 60:40 etc, that's just what I observed.
So you can either decide NOT to trade on a big gap up or down or you can just take every signal, your choice. Even if you decide to trade the gaps, the system should work out over time because that's how the the statistics are that I showed (takes all the siganls regardless of the gaps). You have to do each signal like a robot in order for the statistics to play out. If today was your fist time with the system and you are down....well that's life, the system produces losses from time to time, it's that simple and that's the way fate works, your first time could be the whipsaw, but you can't complain about it, you have to do each signal like a robot, that consistently for the stats to work out i.e. you can't do one trade from a system and say...'ah it doesn't work'...come one use some logic, losses are a normal part of any system, you have to do each signal for weeks before you can make that conclusion. Again the only trick is the gaps, I think you can choose to either not trade the gaps and ignore those signals (but then the statics that I showed will not apply because they take every signal) or you can just take every signal.
Ok enough on this, I'm done with this for today, I'm going back to posting regular market analysis info.
Very well said, I have
Posted by mwelch22 on 10th of Nov 2008 at 02:11 pm
Very well said, I have taken big losses today but that it part of the deal. I am running the strategies on Ninja and had a sell signal on SRS (9,39 EMA) cross right at the market open. It appeared that the crossover took place Friday on the last 15 min bar and triggered at the open this morning. Did this happen to anyone else?
I think your signal was
Posted by bkout3 on 10th of Nov 2008 at 02:33 pm
I think your signal was correct per the system but might have chosen not to take it based on the gap
I read it as: the
Posted by Vida on 10th of Nov 2008 at 02:41 pm
I read it as: the crossover took place last 15 min Friday but all trades are exited end of day, thus the trade was effectively anulled. There was no trade today till the crossover to the upside for going long SRS.
Maybe we're getting a little
Posted by bkout3 on 10th of Nov 2008 at 02:59 pm
Maybe we're getting a little nutty here but I guess it's good for us to understand. I don't think you could exit the SRS trade at the end of the day Friday because you were not in it. The cross on the last bar means you go in at the open of the next bar which in this case was the Monday open. Then it's a whole nother issue whether you want to modify the system and wait because of the gap.
Title: nuances Bkout 3, that's what
Posted by Vida on 10th of Nov 2008 at 03:09 pm
Bkout 3, that's what i meant by the trade being anulled: you wouldn't take any trade on a crossover on the last 15min since you have to exit MOC. On the other hand, as I understand it, the next day there would be no trade till the next crossover since the last signal had occured the day before.
gap signal
Posted by glennsexton on 10th of Nov 2008 at 02:37 pm
I think if you're using the mechanical system you need to take every trade. suppose it was a gap down and wave 5 took us down another 500pts. you just don't know. today it didn't work that's all
The way I play the
Posted by unsane on 10th of Nov 2008 at 07:23 pm
The way I play the system is that I only take a cross that happens during the trading day. So a cross that happened the previous day but I didn't take for whatever reason (eg it wasn't confirmed until the bar closed) is ignored.
I also tend to ignore crosses that happen in the first 20-30 minutes of trading until the 20-30 minutes is up. With program trading you can achieve this by setting the trading day to begin at 10.00 am. This ignores any price action before this, and in particular stops you chasing a gap up/down which reverses.
Title: systems If we *knew* that
Posted by bkout3 on 10th of Nov 2008 at 02:47 pm
If we *knew* that the systems would continue to perform as well as they have in the past then it would make sense to follow mechanically -- and maybe they will. I'm not clear on how long the systems have been trading in "real time" i.e. since all parameters such as EMA values and rules have been fixed in place. Otherwise there is the danger of curve fitting where the mas are chosen to maximize historical performance but *may* not mean much going forward. Matt, Ravun forgive me if this issue was covered and I missed (or forgot) it. So it might make more sense for some of us to combine the ma signals with technical analysis -- let them be another tool in the box.
MACDBB
Posted by Vida on 10th of Nov 2008 at 02:55 pm
Would like to mention for those trading the 7/21 ema cross system on the 5 min chart the recent whipsaw could have been avoided by referring to the MACDBB (standard numbers in Ninja Trader): they never crossed above zero. This was something that Matt mentioned. Put it to good use today.
Ypu don't choose trades with
Posted by godoffinance on 10th of Nov 2008 at 12:06 pm
Ypu don't choose trades with mechaniscal systems- you take all trades...remmeber!