On Friday I alluded that I has some big plans in the works for the systems, here's a brief discussion of it.

    This year as you know I started sharing trade signals for ES along with the SPY signals. I use the same 21 systems across both instruments in order to catch the most trade opportunities. And if you look at the trades for SPY and ES - there's been 43 trades between the 2 instruments that I've called out

    In the past I've discussed adding more ETF's to this mix, like a basket, however a big problem with has been execution i.e. would I be able to reliably track trade signals for 5 or 10 ETFs and get them out before or at the close?  As you know the SPY and ES systems give trade signals for the closing bar. That's always been a bit of a struggle for me to communicate these trade signals quickly enough for you guys to act on them - especially the options, which are limited to 15 min after the close. The issues come from a variety of reasons: 1. at times the trades are so close to the edge of triggering or not triggering that I have to wait until the close to confirm them. 2. As you know, Tradestation is prone to locking up and there have been times when my TS was locked up until well after the close, and having more charts and workspaces open makes it more prone to locking up.

    What I've always wanted to do was have a basket of ETF's and place these 20 sub systems on those ETF's and send trade signals for those; so instead of  just SPY and ES, we'd have a basket of say SPY, ES, QQQ, IWM, and a handful of other ETF's. What has stopped me from doing this is that I don't think Tradestation can handle me having all these workspaces with all those systems on a dozen ETF's without having issues such as lockups etc. Plus, even with just SPY, whenever there's a trade signal, I'm scrambling trying to get that out and communicated in time for you guys. 

    HOWEVER, over the weekend I added a very simple thing to the strategies that would make this easy as pie. To all the systems I added a flag for next bar open - basically when the systems would trigger - I would get the trigger alert on my side - BUT the system would execute on the next day's open instead of the close that day!  This solves everything because I can have 10 or 15 ETF systems and instead of having them trigger their trades at the close - the trades would be for the next day's open, but I would get the signal that day. I could simply leave the workspaces closed during the day for these other systems - then open them after the cash market is closed, see if any of the systems are triggered for the next day - then email those out. You would have the trade signal that afternoon/evening, and would simply enter the trade the next morning on the open. This solves the frantic chicken with head cutoff trying to scramble to get signals and trades out. 

    You may ask what effect the next day's open has on the current SPY and ES systems? In most cases the statics fall a bit, but not dramatically. For example, on the CCI, the last SPY system that trigger - the PF falls from 70 to 40 - but if you know anything about systems, the difference from a PF of 70 - 40 is trivial. Also that's without backtesting, simply having our currently SPY systems trigger the following day without changing any of the other settings. 

    Anyway, I would probably just leave the SPY and ES systems as their our now, since the stats are optimized for entering at the close 

    However for the ETF basket that I would build - I would optimize all of these strategies for those ETF's with the next day's bar entries and exits.  

    So there you go. I'm going to start this process of building these new systems out. It will take some time as you know. That said, since we are in a bear market, I could focus more finishing the systems that trigger in bear markets and leave the bull systems until last. 

    tonight I started some tests on the QQQ, running tests on the Bear Long currently (which is a bitch to run backtests for - testing can take 20 and 30 hrs for a few tests alone

    Thank you for this posting

    Posted by mundy on 16th of May 2022 at 06:56 pm

    Thank you for this posting Matt. As you know I live in New Zealand and love the EOD signal. I am pleased to hear you will be posting the signals for SPY/ES as before. Often you indicate to us that a signal is pending and I base my trades thereon and don't wait for confirmation.  I was and still am  interested to see the development of the ETF's as well but will have to miss on them if opening signals are used. It is the middle of the night here then.

    From my experience, when I

    Posted by mastermind on 16th of May 2022 at 12:17 pm

    From my experience, when I have targeted a stock to buy, it is usually better to buy in the 3rd half hour of the day than at the open. There is usually a pullback from the opening when too many buy orders are crowding in. I target 7:45 PST nominally, but watch to see if there is an upturn happening before that.

    Matt, that sounds awesome. Your

    Posted by tradeit007 on 16th of May 2022 at 10:44 am

    Matt, that sounds awesome. Your hard work is greatly appreciated!

    thanks guys - hopefully you

    Posted by matt on 16th of May 2022 at 10:51 am

    thanks guys - hopefully you understood my discussion, by making all the new systems next bar / day open - totally solves the logistics issues i.e. us scrambling to get that signal out at the close or shortly after the close and you guys also scrambling to get your orders in as well, and things like Tradestation locking up. Even though I would have the new ETF systems as next day open trades - the actual trade signal would show up on the previous day's closing bar. So in the afternoon or early evening after the cash market is closed if any systems are triggering -I can leisurely send out the trade notifications, and you guys have all night to see the notification and make plans for entering the next morning - totally solves the time scramble.

    the ONLY caveats here is that I would probably not send option trades out for these new ETF systems because I don't know where prices are going to open the next morning (gap up, gap down, flat).  I can make some suggestions of course what I generally target - which is options 1 - 2 months out with a delta of 0.6, 0.6, 0.4/0.5 on 1st, 2nd, 3rd entries. Even if I don't send option trades out, you guys can do on your own, and having the systems on 5 - 10 more ETF's more than makes up for that

    I understood the discussion.  Thanks!

    Posted by skitexas67 on 16th of May 2022 at 11:28 am

    I understood the discussion.  Thanks!  I messed up thinking that I replied to this thread and sent a separate email through the system.  That email has more detail.  

    Very cool. Are you able

    Posted by jonesy85 on 16th of May 2022 at 12:41 pm

    Very cool. Are you able to start doing as well with some of the kiss stuff?  This combo you discussed of 50% kiss and 50% reversion to mean systems seems like a winner!!

    BPT really is the perfect

    Posted by crossharry on 16th of May 2022 at 10:50 am

    BPT really is the perfect team, the holy trinity - Matt on Mechanical Systems, Steve for Big Picture / Strategy, Kobie for Day Trading...  

    That's great work! ...  lots

    Posted by mla127 on 16th of May 2022 at 09:45 am

    That's great work! ...  lots of value added being a member here and you guys just keep on adding to it ...  thx for everything!

    fantastic work Matt, looking forward

    Posted by morton7 on 16th of May 2022 at 08:38 am

    fantastic work Matt, looking forward to more profitable trades! thanks for all of your hard work!

    Very, very cool

    Posted by timebandit on 16th of May 2022 at 08:06 am

    Very, very cool

    Exciting news!  I am not

    Posted by steverobin on 16th of May 2022 at 07:56 am

    Exciting news!  I am not a day trader(most days) and enjoy participating in the systems trades because of their reliability and profitability.  

    Matt, you are truly hardworking

    Posted by kattap on 16th of May 2022 at 01:02 am

    Matt, you are truly hardworking and awesome! Thanks for doing this!


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