as I said last night, many times the market has the opposite
move the day following the FOMC as the market had overnight to
digest the news. We were quite oversold yesterday as well.
nice that the ES system exited yesterday instead of holding
Posted by crossharry on 23rd of Mar 2023 at 10:40 am
Matt, looking at the past trades on that sub-system and the many
other system screengrabs you have posted in the past, it appears to
me that rather than going into cash you could simply reverse into a
trade in the opposite direction (perhaps scaling in) and make
money. Have you ever backtested that for any of the
sub-systems?
No I have not. if you have time you can take a spreadsheet and
manually compile data
Otherwise realize the reversion to mean systems are simply
trying to catch reversion to mean situations. you have an overall
uptrend and you get a pullback and one or more of the systems buy
that pullback and sell the rally. If the market is overall trending
up, it doesn't really make sense to now short - the systems were
trying to buy a pullback in an uptrend, so they were looking for
longs.
in the last short from Hi Mid Lo on ES, going long would have
worked obviously, but again it's one of those things that you have
to consider what the market is doing overall, it's not one simple
formula. For the Hi Mid Lo short, the market was overbought and the
system was looking for a pullback, which it got. If the market
decides to trend up for a while then going long would have worked,
but the rally fails where do you sell etc - there's a lot of
variables there to consider. What is clear is what the systems do,
not trying to do the reverse of them after they close out
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As I said last night
Posted by matt on 23rd of Mar 2023 at 10:04 am
as I said last night, many times the market has the opposite move the day following the FOMC as the market had overnight to digest the news. We were quite oversold yesterday as well.
nice that the ES system exited yesterday instead of holding
Matt, looking at the past
Posted by crossharry on 23rd of Mar 2023 at 10:40 am
Matt, looking at the past trades on that sub-system and the many other system screengrabs you have posted in the past, it appears to me that rather than going into cash you could simply reverse into a trade in the opposite direction (perhaps scaling in) and make money. Have you ever backtested that for any of the sub-systems?
No I have not. if
Posted by matt on 23rd of Mar 2023 at 10:49 am
No I have not. if you have time you can take a spreadsheet and manually compile data
Otherwise realize the reversion to mean systems are simply trying to catch reversion to mean situations. you have an overall uptrend and you get a pullback and one or more of the systems buy that pullback and sell the rally. If the market is overall trending up, it doesn't really make sense to now short - the systems were trying to buy a pullback in an uptrend, so they were looking for longs.
in the last short from Hi Mid Lo on ES, going long would have worked obviously, but again it's one of those things that you have to consider what the market is doing overall, it's not one simple formula. For the Hi Mid Lo short, the market was overbought and the system was looking for a pullback, which it got. If the market decides to trend up for a while then going long would have worked, but the rally fails where do you sell etc - there's a lot of variables there to consider. What is clear is what the systems do, not trying to do the reverse of them after they close out