SPY systems - what I'm planning

    Posted by matt on 15th of Jan 2023 at 06:20 pm

    As you know I've been playing around with these next bar open strategies for other ETF's. However, I've decided to go ahead and convert all the SPY systems over to next bar open first! This will make it much easier on all of us: for me because I don't have to worry about notifying you as quickly as possible - I can check the systems well after the market and if one or more of the systems  is triggering, that trade will be executed on the next morning's open - The trade alert will be send out in the late afternoon and you can have all night to see it and act upon it the next morning. 

    For some of the systems I won't have to run any tests. For example I just converted the QE 3.2 long over and the next bar open strategy actually has better stats than the close bar strategy. Other's will be worse and I'll want to try and tweak them to make the equal or better or only just slightly worse

    Next bar open strategies for ETF's like SPY, QQQ, TLT are easy. But where it's not really going to change is the ES systems - remember on ES, the next bar occurs that same day; i.e. the current days bar closes at 5 pm EST, and the next day's bar opens at 6 pm EST that same day - thus the trades won't be for the next morning. It just is what it is

    I have converted two of

    Posted by matt on 16th of Jan 2023 at 12:00 pm

    I have converted two of the SPY sub systems to next bar open: QE 3.2 and Bear long. The Bear Long stats improved substantially as I tweaked some settings and ran tests. 

    a long way to go still. I can probably complete the longs this week, then the shorts

    the 1st entries will be easy - go long or go short the next morning on the open. Where it becomes somewhat trickier is the 2nd or 3rd entries. There are some cases where buying the next morning if a large gap occurred, you would be taking a 2nd or 3rd entry at higher prices than the previous entry - which isn't what I want. So, for the 2nd and 3rd entries, I'll be giving you guys buy limit orders for longs and sell limit orders for shorts - basically you either get filled or you don't. In most cases you will, but in some cases you will not if a large gap occurs

    Hi Matt, can you plspost

    Posted by imelhoe on 16th of Jan 2023 at 07:54 pm

    Hi Matt, can you plspost where I can find the explanations for QE 3.2  and Bear Long  :  are those supposed to be long entries or short entries.  Sorry, my head can't keep up with these abbreviated systems.. I'm sure you've posted it someplace before.  Thanks if anyone can help by posting in blog.

    bear long has been described

    Posted by matt on 16th of Jan 2023 at 08:03 pm

    bear long has been described 100 times before.  

    5.   Bear Long- a special type long trade that mostly occurs in bear market conditions, very  stringent conditions and rare but very reliable. various filters built  in here to allow it to exit quickly if need to for a small bounce only,  or hold the trade for 1 - 2 months if conditions look ripe for a strong  move off the lows

    QE 3.2 is a long that occurs only when price is deeply oversold and below the 200 day MA - cannot occur above the 200 day MA. I don't any need to go into exact details and settings that are proprietary.  One doesn't have to understand exactly what the systems are doing to trade them. 

    what matters more is having a plan in place for oneself that fits their personal risk tolerance and goals, and that includes for the systems 

    Thanks Matt

    Posted by imelhoe on 16th of Jan 2023 at 08:07 pm

    Thanks Matt

    PS. A solution to many

    Posted by junkie on 16th of Jan 2023 at 05:12 am

    PS. A solution to many systems at the close is automated notification via a text message depending on a subscribed subsystem and automated execution of orders. Tradestation is likely not a proper platform for that kind of systems. FWIW.

    Hey Matt, I totally understand

    Posted by focus175 on 15th of Jan 2023 at 06:45 pm

    Hey Matt, I totally understand the need to change things so it's more manageable.  

    Unfortunately I trade the systems via options and am unable to trade the open, so I'll have to figure out a new strategy with the changes. 

    Will you still be giving us a heads up during the day before market closes that trades may occur?

    I second this request. Option

    Posted by junkie on 16th of Jan 2023 at 04:33 am

    I second this request. Option prices change quickly right after the open as market orders from the previous day are filled. The next day entry will cause to lose the edge presently available and to lead unpredictable gain versus loss results. This will severely affect those with small accounts and those who separate risky and conservative strategies through separate accounts.

    Your next day entry will compel me to enter a trade on futures and then switch to options after the open with unpredictable results. Gaps are a big issue in this market with worsening liquidity. In my view, gaps more often occur in the opposite direction to the prior day's trend.

    Edit: the next bar system will lead to different results by different traders and will vary depending on a broker. Entry at the open is essentially a market order with all consequences listed for market orders!

    I mean - I'll end

    Posted by matt on 16th of Jan 2023 at 12:11 pm

    I mean - I'll end up letting you guys know on the trading community - hey this system is meeting conditions for a trigger tomorrow - so you can try and enter that same day if you would like

    but again, you have to understand the VAST majority of emails and bitching and complaining is the alert of the systems at or a few min after the close. Even though after hrs trading until 8 pm or even options until 4:15 make it not a big deal - it's the biggest frustration I get from folks. maybe 1 person out of 20 wants them end of day vs having the whole night and entering the next morning - and it's 10 times easier on me - what's easier to fit with the masses and market I have to go with vs the few hard core guys

    also guys on options - you can give it a few min in the morning for options to settle down a bit and to see what price action is doing, don't enter right on open, wait a min or a few min for them to calm down, just common sense. 

    I'm also no longer providing option trades so that's stuff on your own anyway

    the goal is the make a basket of perhaps 10 ETF's, not just SPY, but SPY, QQQ, IWM, TLT, GLDM, EEM, XLP, XLE etc.  Logistically it's just easier to have those systems next day open so that I don't have to worry about TS crashing and locking up by having all those systems open during the day taking up system resources, trying to get something typed out as quickly as possible and and prone to making a typo because I'm in such a hurry - best for me to be able to open the basket of ETF's maybe 15 min after the close - and if systems are going to trigger for the next day, let everyone know with an alert that they have all night to see.

    again my plan is to open them shortly after the market close, and post that these systems or system is taking a trade for the next day's open - folks who have no trouble entering in after hrs can take the trades that day - or do what I may do myself, take a 1/2 position that same day in after hrs, and the other 1/2 the next morning - thus splitting the difference, averaging the 2 out

    Even though I cannot be

    Posted by mundy on 16th of Jan 2023 at 03:55 pm

    Even though I cannot be awake at open time for the market I will continue to take my positions at the End of day with both futures and options. I will be glad if you could keep the EOD advice to is all and make it official on Next Day Open

    I like the new process.

    Posted by bpozdoll1717 on 16th of Jan 2023 at 03:34 pm

    I like the new process.  Easier for those of us with day jobs as well.  And hopefully the results are similar.  

    Great! Thank you!

    Posted by morton7 on 15th of Jan 2023 at 06:28 pm

    Great! Thank you!


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