Here's what I've come up with as the Entry Alert formula for
buying SSO:
ExpMovingAverage[EMA,Close,16,0,15,0,SSO] >
ExpMovingAverage[EMA,Close,34,0,15,0,SSO] AND
ExpMovingAverage[EMA,Close,16,0,15,1,SSO] <=
ExpMovingAverage[EMA,Close,34,0,15,1,SSO]
and here's the Exit Alert formula for selling SSO:
(ExpMovingAverage[EMA,Close,16,0,15,0,SSO]
< ExpMovingAverage[EMA,Close,34,0,15,0,SSO]
AND ExpMovingAverage[EMA,Close,16,0,15,1,SSO]
>= ExpMovingAverage[EMA,Close,34,0,15,1,SSO]) OR
(Bar[Hour,1]*100+Bar[Minute,1]>=1559)
For the SDS strategy formulas, just replace each inequality
symbol by the reverse one. Hopefully this makes sense to
you. If anyone sees anything that they disagree with, please
let us know!
How did you get the trade to wait until the end of the
interval? I just realized that my formulas worked in
backtesting, but in actual use they trigger during the
interval. This just happened to me, where SRS crossed over at
10:46 and triggered a buy of URE, but then the EMAs had uncrossed
by the end of the interval, and still haven't crossed. I
think that the "delays" in the BARs may have to be increased from 0
and 1 to 1 and 2. (But then the backtesting will be off by
one interval.)
So far I'm running things manually. I wouldn't use Ameritrade
anyway for trades -- I use IB because of the commish so for the
eventual auto trading I have to figure out Ninja which is taking a
while. Let's go to pm so we don't clutter the blog
Posted by jglozmani on 18th of Dec 2008 at 11:28 pm
I have just tested your formulas with SD backtesting. With 1
minute interval there were too many and not very efficient trades.
With 15 minutes it does not work at all.
The equality symbols do not need to be changed for different
stock symbols, but they do need to be changed for the separate
short-side strategy the needs to be implemented and run in Strategy
Desk Alert Manager to emulate "THE MECHANICAL SYSTEM"
LS, sorry - I'm just catching up with this. I actually do
buy SDS rather than short SSO (my 401k account doesn't allow
shorting), but either way, you need the formula for the triggers to
detect the opposite crossings of SSO, which is what the reversing
of the inequality symbols accomplishes.
As an aside, I have done a small amount of backtesting of adding
other conditions to the Entry formula to try to minimize whipsaws,
such as a threshold on the Stochastic value or Momentum. I
have been able to improve the Win % from about 55% to about 61%,
but the overall gain always decreases somewhat. Has anyone
else played with this?
Bob, I could not make that system work reliably to trigger
alerts. Your formulas are a bit different -- you used the override
symbol at the end -- and I have just programmed those formulas to
test them for a week or so. Regarding your improvements to the
formulas, I would focus on gap ups and downs to maximize the gains
first. I don't think tweaking the conditions would improve much,
IMO.
BackTesting will answer that, we'd all like to hear that works
out.
The two things I can't understand is what is the corrolation
between the fast and the slow numbers? 7/21 16/34 9/39 8/71
are numbers we've seen on this site. Where do they come from,
do they come to Matt in a dream?, are they significant numbers, or
do they come from brute force backtesting.
The other thing I can't fathom is when they do not work,
why? Whipsawing leads to devastation but what other factors
lead to a loss. After yesterday's big swing in SSO and SRS,
it was apparent that the market would had to have taken a big sick
dive for the EMAs to cross today, I am glad it did not.
If the Bull scenario plays out to plan, we may not see a
cross until the phi mate dates, (what the heck are those
anyway?)
Posted by dodgerdog on 18th of Dec 2008 at 08:39 am
They come from brute force backtesting but these numbers can be
tweaked over time as analysis warrants. The key here is that
it provides a simple discipline for investors.
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Does anyone have the SSO
Posted by fuzzduzz on 17th of Dec 2008 at 09:47 pm
Does anyone have the SSO 16X34ema system set up on strategy desk. If so would appreciate the formula...Thanks...
Strategy Desk formulas
Posted by twins on 17th of Dec 2008 at 10:42 pm
Here's what I've come up with as the Entry Alert formula for buying SSO:
ExpMovingAverage[EMA,Close,16,0,15,0,SSO] > ExpMovingAverage[EMA,Close,34,0,15,0,SSO] AND ExpMovingAverage[EMA,Close,16,0,15,1,SSO] <= ExpMovingAverage[EMA,Close,34,0,15,1,SSO]
and here's the Exit Alert formula for selling SSO:
(ExpMovingAverage[EMA,Close,16,0,15,0,SSO] < ExpMovingAverage[EMA,Close,34,0,15,0,SSO] AND ExpMovingAverage[EMA,Close,16,0,15,1,SSO] >= ExpMovingAverage[EMA,Close,34,0,15,1,SSO]) OR (Bar[Hour,1]*100+Bar[Minute,1]>=1559)
For the SDS strategy formulas, just replace each inequality symbol by the reverse one. Hopefully this makes sense to you. If anyone sees anything that they disagree with, please let us know!
Bob in NJ
SSO formulas Strategy Desk
Posted by bkout3 on 18th of Dec 2008 at 11:49 am
I have my systems set to execute on the close of the crossing bar. My rules are the same but to prevent an entry on the last bar of the day I added:
(Bar[Hour,15]=15 AND Bar[Minute,15]=45)=0 AND {then the entry rule}
FYI if you're new to SD any formula that is true or false will generate a 1 if true or a 0 if false. This can be used to create "If, then.." rules.
How did you get the
Posted by twins on 19th of Dec 2008 at 11:14 am
How did you get the trade to wait until the end of the interval? I just realized that my formulas worked in backtesting, but in actual use they trigger during the interval. This just happened to me, where SRS crossed over at 10:46 and triggered a buy of URE, but then the EMAs had uncrossed by the end of the interval, and still haven't crossed. I think that the "delays" in the BARs may have to be increased from 0 and 1 to 1 and 2. (But then the backtesting will be off by one interval.)
Bob in NJ
Title: SSO Strategy Desk So far
Posted by bkout3 on 19th of Dec 2008 at 11:35 am
So far I'm running things manually. I wouldn't use Ameritrade anyway for trades -- I use IB because of the commish so for the eventual auto trading I have to figure out Ninja which is taking a while. Let's go to pm so we don't clutter the blog
Guys, Please keep posting on
Posted by junkmaylbox on 19th of Dec 2008 at 11:36 am
Guys, Please keep posting on the forum. I am interested in the same possibility. Thanks!
likewise... AMTD, IB and Ninja - to be automated...
Posted by pki on 19th of Dec 2008 at 11:42 am
What is your interval?
Posted by jglozmani on 18th of Dec 2008 at 11:28 pm
I have just tested your formulas with SD backtesting. With 1 minute interval there were too many and not very efficient trades. With 15 minutes it does not work at all.
Why replace the inequality symbols?
Posted by lsherrer on 17th of Dec 2008 at 11:27 pm
Why replace the inequality symbols? Wouldn't the formula be the same for an inverse fund like SDS?
The equality symbols do not
Posted by fearandloathing on 17th of Dec 2008 at 11:39 pm
The equality symbols do not need to be changed for different stock symbols, but they do need to be changed for the separate short-side strategy the needs to be implemented and run in Strategy Desk Alert Manager to emulate "THE MECHANICAL SYSTEM"
OK... I got ya. But
Posted by lsherrer on 17th of Dec 2008 at 11:45 pm
OK... I got ya. But why not just buy SDS rather than shorting SSO?
Strategy Desk SSO
Posted by twins on 18th of Dec 2008 at 11:19 am
LS, sorry - I'm just catching up with this. I actually do buy SDS rather than short SSO (my 401k account doesn't allow shorting), but either way, you need the formula for the triggers to detect the opposite crossings of SSO, which is what the reversing of the inequality symbols accomplishes.
As an aside, I have done a small amount of backtesting of adding other conditions to the Entry formula to try to minimize whipsaws, such as a threshold on the Stochastic value or Momentum. I have been able to improve the Win % from about 55% to about 61%, but the overall gain always decreases somewhat. Has anyone else played with this?
Bob in NJ
SSO mechanical system on TD Ameritrade
Posted by junkmaylbox on 18th of Dec 2008 at 11:58 am
Bob, I could not make that system work reliably to trigger alerts. Your formulas are a bit different -- you used the override symbol at the end -- and I have just programmed those formulas to test them for a week or so. Regarding your improvements to the formulas, I would focus on gap ups and downs to maximize the gains first. I don't think tweaking the conditions would improve much, IMO.
Thanks for your update. -Roy
BackTesting will answer that, we'd
Posted by fearandloathing on 18th of Dec 2008 at 12:16 am
BackTesting will answer that, we'd all like to hear that works out.
The two things I can't understand is what is the corrolation between the fast and the slow numbers? 7/21 16/34 9/39 8/71 are numbers we've seen on this site. Where do they come from, do they come to Matt in a dream?, are they significant numbers, or do they come from brute force backtesting.
The other thing I can't fathom is when they do not work, why? Whipsawing leads to devastation but what other factors lead to a loss. After yesterday's big swing in SSO and SRS, it was apparent that the market would had to have taken a big sick dive for the EMAs to cross today, I am glad it did not. If the Bull scenario plays out to plan, we may not see a cross until the phi mate dates, (what the heck are those anyway?)
They come from brute force
Posted by dodgerdog on 18th of Dec 2008 at 08:39 am
They come from brute force backtesting but these numbers can be tweaked over time as analysis warrants. The key here is that it provides a simple discipline for investors.