shows the the ETF's I'm testing for the basket that would be in
addition to SPY. Again, I will not be keeping all of these, I
have to see how they test, I will pick the best ones. Also FEZ the
Euro Stoxx 50 and EFA (another world market ETF) are similar and
maybe even EEM so I'll likely pick only one of them. On the Bull
Long Bear strategy the ETA tested superior over FEZ for
example.
We'll have SPY, QQQ, IWM, but for DIA I'm not sure, if it is too
similar to the others I may take that out too, again just have to
see how how the trades looks
remember these will all be next bar systems, meaning I will give
you the trade signals sometime after the market close or late
afternoon - and the trades would be executed the next day on the
open. Obviously you would elect to take partial positions in
after hrs market if you wished, but otherwise the trade stats are
built and picked by the statistics when taking the trade on the
next days open.
Additional: Currently for SPY and ES they have up to 3 entries
per system. I could do that, but also, except for SPY, QQQ, IWM,
DIA (which have leveraged ETF's to use as 2nd and 3rd entries, many
of these other ETF's do not. So I have to decide if I'm going to
use up to 3 entries or not. I could do only 1 entry for example and
keep it really simple, or I could do 2 entries only or 3.
The way I build all the strategies is in parts. I first optimize
and pick them with ONLY 1 entry, I pick the best ones that are 1
entry only - then I add the additional entries after. I never test
new systems with multiple entries as the initial testing because
that skews the results. I backtest first only with single entry as
I want the single entry to be the best that it can.
my progress so far: I'm about done with the Bear Long Bull sub
system for these ETF's. The Bear Long Bull is a new sub system, it
uses the same indicators as the bear long, but price has to be
above a long term MA, NOT below it like for the bear long. Next
I'll test the bear long for all these ETF's. The bear long
and bear long bull strategies take the longest to backtest -
such as 5 - 8 hrs per test! The reason is because one of the
functions I use (DVO) is extremely taxing on Tradestation for some
reason - it's a real bugger. It's a very complicated function for
Tradestation to run and makes these strategies 10 times lower to
load and backtest. Once I'm through with these, the other sub
systems should be faster. But, it's a massive job as you may know,
I don't have a time line here. If I stay diligent and get something
done every day, maybe I can have most of them done in a
month.
This looks great Matt. how many of the ETF's have E-Macro
contracts associated with them. It would be great if you could
contine letting us know about potential trades before and after the
market has closed. This will allow those of us in the Antipodes to
prepare option trades before the end of our day.
ETF Basket update: list of ETF's I'm testing for the basket and general overall comments on progress thus far
Posted by matt on 8th of Mar 2023 at 12:13 pm
shows the the ETF's I'm testing for the basket that would be in addition to SPY. Again, I will not be keeping all of these, I have to see how they test, I will pick the best ones. Also FEZ the Euro Stoxx 50 and EFA (another world market ETF) are similar and maybe even EEM so I'll likely pick only one of them. On the Bull Long Bear strategy the ETA tested superior over FEZ for example.
We'll have SPY, QQQ, IWM, but for DIA I'm not sure, if it is too similar to the others I may take that out too, again just have to see how how the trades looks
remember these will all be next bar systems, meaning I will give you the trade signals sometime after the market close or late afternoon - and the trades would be executed the next day on the open. Obviously you would elect to take partial positions in after hrs market if you wished, but otherwise the trade stats are built and picked by the statistics when taking the trade on the next days open.
Additional: Currently for SPY and ES they have up to 3 entries per system. I could do that, but also, except for SPY, QQQ, IWM, DIA (which have leveraged ETF's to use as 2nd and 3rd entries, many of these other ETF's do not. So I have to decide if I'm going to use up to 3 entries or not. I could do only 1 entry for example and keep it really simple, or I could do 2 entries only or 3.
The way I build all the strategies is in parts. I first optimize and pick them with ONLY 1 entry, I pick the best ones that are 1 entry only - then I add the additional entries after. I never test new systems with multiple entries as the initial testing because that skews the results. I backtest first only with single entry as I want the single entry to be the best that it can.
my progress so far: I'm about done with the Bear Long Bull sub system for these ETF's. The Bear Long Bull is a new sub system, it uses the same indicators as the bear long, but price has to be above a long term MA, NOT below it like for the bear long. Next I'll test the bear long for all these ETF's. The bear long and bear long bull strategies take the longest to backtest - such as 5 - 8 hrs per test! The reason is because one of the functions I use (DVO) is extremely taxing on Tradestation for some reason - it's a real bugger. It's a very complicated function for Tradestation to run and makes these strategies 10 times lower to load and backtest. Once I'm through with these, the other sub systems should be faster. But, it's a massive job as you may know, I don't have a time line here. If I stay diligent and get something done every day, maybe I can have most of them done in a month.
This should be a huge
Posted by rmoore100 on 8th of Mar 2023 at 06:23 pm
This should be a huge help to all of us in formulating trades. Thanks for taking all the time to work this up !!!!!!
This looks great Matt. how
Posted by mundy on 8th of Mar 2023 at 04:12 pm
This looks great Matt. how many of the ETF's have E-Macro contracts associated with them. It would be great if you could contine letting us know about potential trades before and after the market has closed. This will allow those of us in the Antipodes to prepare option trades before the end of our day.
I'm not seeing any triggers
Posted by matt on 8th of Mar 2023 at 03:32 pm
I'm not seeing any triggers on the current SPY and ES reversion to mean systems.
doesn't mean that some of those new ones I've made for the basket of ETF's are not triggering, which I could check after the market
Okay, thanks will look for
Posted by cozz101 on 8th of Mar 2023 at 03:39 pm
Okay, thanks will look for any new trades then.
This undertaking may be all
Posted by steverobin on 8th of Mar 2023 at 01:37 pm
This undertaking may be all most of us need who do not trade for a living.