FYI regarding the bear long open trades on SPY and ES. SPY is
looking to close out today, while ES bear long will continue to
hold
again a live example of how the signals average each other out.
I'm always asked why run the systems on SPY and ES as they are 99%
correlated? because you still get different trades, and one will
catch better trades than the other or vice versa, a system may not
trigger on one instrument but trigger on the other
in this case - maybe the SPY Exit is better than the ES exit, or
if this ends up being a better trade bottom and the ES holds, maybe
it ends up being the better trade, by taking both signals you get
that averaging and diversification effect. If you only took the SPY
trade and the market continues to rally maybe you get annoyed that
the system closed out, but if you took the ES signal you still have
a position. And if the market dumps again, you are happy that you
sold the SPY portion today at the close to lock in some gains
by the way the morning exit signal for the bear long is no
longer showing with the pullback off the highs. Had one taken
some off earlier when market was up was a nice place to trim. These
are daily systems so they are not able to adjust to intra day moves
like that
the ghost exit signal late morning on the Bear Long was a good
exit LOL.
again we call them 'ghost signals' because they are what the
systems are saying intra day, and the signals show up, and then
disappear like a ghost just like today. Since these are daily
systems I have no way to backtests and see those intra day ghost
signals from the past, we can only see them in real time. Almost
always they give a nice signal
Reversion to mean systems update
Posted by matt on 14th of Mar 2023 at 10:23 am
FYI regarding the bear long open trades on SPY and ES. SPY is looking to close out today, while ES bear long will continue to hold
again a live example of how the signals average each other out. I'm always asked why run the systems on SPY and ES as they are 99% correlated? because you still get different trades, and one will catch better trades than the other or vice versa, a system may not trigger on one instrument but trigger on the other
in this case - maybe the SPY Exit is better than the ES exit, or if this ends up being a better trade bottom and the ES holds, maybe it ends up being the better trade, by taking both signals you get that averaging and diversification effect. If you only took the SPY trade and the market continues to rally maybe you get annoyed that the system closed out, but if you took the ES signal you still have a position. And if the market dumps again, you are happy that you sold the SPY portion today at the close to lock in some gains
by the way the morning
Posted by matt on 14th of Mar 2023 at 02:53 pm
by the way the morning exit signal for the bear long is no longer showing with the pullback off the highs. Had one taken some off earlier when market was up was a nice place to trim. These are daily systems so they are not able to adjust to intra day moves like that
the ghost exit signal late
Posted by matt on 14th of Mar 2023 at 03:13 pm
the ghost exit signal late morning on the Bear Long was a good exit LOL.
again we call them 'ghost signals' because they are what the systems are saying intra day, and the signals show up, and then disappear like a ghost just like today. Since these are daily systems I have no way to backtests and see those intra day ghost signals from the past, we can only see them in real time. Almost always they give a nice signal
I bought SPY options at
Posted by steverobin on 14th of Mar 2023 at 03:29 pm
I bought SPY options at yesterday's close and sold mid morning for a little over a 10% gain. In this trading environment I will take it!