first image shows the stats from the Tier Alpha source. I
wanted to verify these so we wrote a strategy that goes long Jan
1st 2021 and hold the entire time, and one that stays out of OPEX
week by exiting the Friday close before OPEX and going back long
Monday morning after OPEX
as you can see from the results; the buy and hold 100 shares
would be up 3988 while the same strategy where you stayed out
during OPEX week that 100 shares turned into 14,600 with a profit
factor of 2.4
Thank you for this posting Matt. So now I am sure you have
already looked at a number of indicators/moving averages to add to
the basic concept with the view of cutting out the more bearish
trades (no trades if below 50ema?, etc.etc). I am quite excited
about this one. You should be able to get that profit factor up
quite a bit and trading futures with the system could give good
returns!
1) Can you explain Gross loss in the second strategy? (it
appears that your sales prior to opex week in resulting in a
realized loss). Given the gross loss, it appears that it's better
to buy on Monday after opex to increase gross profit (rather than
selling on Friday before opex).
2) Does the strategy work in 2022 (in a down year)?
Remember there's only a gross loss because every month you are
exiting the position and buying back after OPEX, and in doing so
the strategy will compute that as a new entry - thus the next exit
could be at a loss. For the buy and hold you only have 1 entry and
I added the exit manually today just to so the final
total.
the stats start from Jan 1st 2020 so they include 2021
for 2021 the buy and hold lost -19%, while staying out of OPEX
lost -3.7% - so while it lost it was FAR better
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I confirmed the OPEX stats from that graph!
Posted by matt on 17th of May 2023 at 06:41 pm
first image shows the stats from the Tier Alpha source. I wanted to verify these so we wrote a strategy that goes long Jan 1st 2021 and hold the entire time, and one that stays out of OPEX week by exiting the Friday close before OPEX and going back long Monday morning after OPEX
as you can see from the results; the buy and hold 100 shares would be up 3988 while the same strategy where you stayed out during OPEX week that 100 shares turned into 14,600 with a profit factor of 2.4
For posts like this I
Posted by Trendie on 20th of May 2023 at 02:30 pm
For posts like this I wish you had a "Like" button.
Thank you for this posting
Posted by mundy on 17th of May 2023 at 09:12 pm
Thank you for this posting Matt. So now I am sure you have already looked at a number of indicators/moving averages to add to the basic concept with the view of cutting out the more bearish trades (no trades if below 50ema?, etc.etc). I am quite excited about this one. You should be able to get that profit factor up quite a bit and trading futures with the system could give good returns!
That's awesome Matt. I have
Posted by coolhat on 17th of May 2023 at 06:53 pm
That's awesome Matt. I have two questions:
1) Can you explain Gross loss in the second strategy? (it appears that your sales prior to opex week in resulting in a realized loss). Given the gross loss, it appears that it's better to buy on Monday after opex to increase gross profit (rather than selling on Friday before opex).
2) Does the strategy work in 2022 (in a down year)?
Remember there's only a gross
Posted by matt on 17th of May 2023 at 07:02 pm
Remember there's only a gross loss because every month you are exiting the position and buying back after OPEX, and in doing so the strategy will compute that as a new entry - thus the next exit could be at a loss. For the buy and hold you only have 1 entry and I added the exit manually today just to so the final total.
the stats start from Jan 1st 2020 so they include 2021
for 2021 the buy and hold lost -19%, while staying out of OPEX lost -3.7% - so while it lost it was FAR better