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.
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Very well said, I have
S&P 500 15 min chart.png looks like that could be it ...
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.