Posted by depietri1 on 5th of Jan 2009 at 04:10 pm
PKI, Just to let you know. I've noticed that your EMA is
set to 'TYPICAL'. I think Matt's is Set to 'CLOSE'. Not sure if it
matters. Also I Knew that the 15 min EMA's were kind of crossed at
the close of fri and the open of today so I set my market hours to
start @ 0920 hrs and it triggered a long at about 54.70 and it made
a 77 cent gain. Also I ran another trade at the regular market hors
and that lost 49 cents.
Matt- Dep- Yes -thanks - did change the INDies to
be based on the "close". As per the chart - in this case, it
makes absolutely no timing or price difference but agree that it
could under other conditions.
NINJA does not offer OHLC/4 option for indicators - as Raven
uses on the 7/21 EMA crosses for indices and so we have seen that
"Typical" is the closest to his OHLC/4 IND values for the 7/21 EMA
Xs. Many charting softs do offer the OHLC/4. But
absolutely, consistency is important.
Setting the market hours does of course make a difference - but
these mechanical systems are supposedly working only on market hour
trades - not including pre and post data. So we would do not
change that for Matt's mechanical systems - unless Matt suggests
that we should.
An ASIDE RE Market hours
for INDEX Trading: We have several times in the past pointed out, with charts,
that there are 15 hours of active US market [SPX, INDU and NDX]
index trading - starting at 0300 EST when the trading floors in
London and Frankfurt open with the main European FTSE, DAX
and CAC indices. All six indices have quite active trading
until 4 pm EST - whereas open market hours for the EU exchanges all
close about 1130 EST.
Here we have found trading SPX, INDU, NDX and as well the FTSE,
DAX,CAC for the full 13 hours of active trading yields better
results on the 7/21 EMA crossovers, using the INDEX CFDs - vs
simply trading market hour ETF surrogates or globex futures.
This is because [we beleive] that there are fewer dramatic
overnight reversals and whiplashes occurring at the open.
But, we also realize that US residents do not normally have access
to INDEX CFDs so it really does not matter to most. FWIW and
just FYI. Appreciate your comments as always. pki
Posted by powerchord on 5th of Jan 2009 at 10:12 am
Matt:
Some time back there was some discussion on the effectiveness of
the mechanical systems when they crossed near the open on gap opens
-- has there been any info gained on this scenario? -- Thanks
I did a backtest to see if eliminating signals based on the
previous day's candles would improve or hurt performance. Entry is
$10K worth of shares at the open of the 15 min bar when there is a
cross of the 9/39 EMAs on the previous bar. For the "no
gap" test the earliest entry is the open of the 10am EST bar.
Results indicated that eliminating the early bar entries hurt the
performance. Net long 115% profit reduced to 111% and Net short
profit 133% reduced to 99%. Test from 6/1/2007 to 11/7/2008.
SRS 15 min system 9,39 EMA.png SRS
Posted by matt on 5th of Jan 2009 at 09:46 am
SRS 15 min 9/39 EMA's crossed for the 15 min system
SRS Clarification?
Posted by alberta on 5th of Jan 2009 at 03:43 pm
Matt: My Intraday charts show the cross over before 9:30 am this morning using schwab data. What was your event time? I want this to be correct!
Thanks
SRS 15m Xs today
Posted by pki on 5th of Jan 2009 at 03:54 pm
We see in on 1st bar at 55.92 and close EOD with 60 to 70c loss....FWIW
Tough when it is a gap up entry and X at the same time... see other commments on blog for doing this or waiting 15 or 30 minutes... best pki
Thanks - my trigger looks
Posted by alberta on 5th of Jan 2009 at 06:03 pm
Thanks - my trigger looks like yours before the open!
PKI, Just to let you
Posted by depietri1 on 5th of Jan 2009 at 04:10 pm
PKI, Just to let you know. I've noticed that your EMA is set to 'TYPICAL'. I think Matt's is Set to 'CLOSE'. Not sure if it matters. Also I Knew that the 15 min EMA's were kind of crossed at the close of fri and the open of today so I set my market hours to start @ 0920 hrs and it triggered a long at about 54.70 and it made a 77 cent gain. Also I ran another trade at the regular market hors and that lost 49 cents.
depietri1 - thanks for clarifying that
Posted by matt on 5th of Jan 2009 at 04:13 pm
depietri1 - thanks for clarifying that for him
Typical vs close - yes - need consistency !!
Posted by pki on 6th of Jan 2009 at 05:22 am
Matt- Dep- Yes -thanks - did change the INDies to be based on the "close". As per the chart - in this case, it makes absolutely no timing or price difference but agree that it could under other conditions.
NINJA does not offer OHLC/4 option for indicators - as Raven uses on the 7/21 EMA crosses for indices and so we have seen that "Typical" is the closest to his OHLC/4 IND values for the 7/21 EMA Xs. Many charting softs do offer the OHLC/4. But absolutely, consistency is important.
Setting the market hours does of course make a difference - but these mechanical systems are supposedly working only on market hour trades - not including pre and post data. So we would do not change that for Matt's mechanical systems - unless Matt suggests that we should.
An ASIDE RE Market hours for INDEX Trading:
We have several times in the past pointed out, with charts, that there are 15 hours of active US market [SPX, INDU and NDX] index trading - starting at 0300 EST when the trading floors in London and Frankfurt open with the main European FTSE, DAX and CAC indices. All six indices have quite active trading until 4 pm EST - whereas open market hours for the EU exchanges all close about 1130 EST.
Here we have found trading SPX, INDU, NDX and as well the FTSE, DAX,CAC for the full 13 hours of active trading yields better results on the 7/21 EMA crossovers, using the INDEX CFDs - vs simply trading market hour ETF surrogates or globex futures. This is because [we beleive] that there are fewer dramatic overnight reversals and whiplashes occurring at the open. But, we also realize that US residents do not normally have access to INDEX CFDs so it really does not matter to most. FWIW and just FYI. Appreciate your comments as always. pki
yes it crossed in the
Posted by matt on 5th of Jan 2009 at 03:47 pm
yes it crossed in the monring, the system is slightly down for today unless it rallies hard the last 10 min
mechanicicals on gaps
Posted by powerchord on 5th of Jan 2009 at 10:12 am
Matt:
Some time back there was some discussion on the effectiveness of the mechanical systems when they crossed near the open on gap opens -- has there been any info gained on this scenario? -- Thanks
gaps
Posted by bkout3 on 5th of Jan 2009 at 10:24 am
I did a backtest to see if eliminating signals based on the previous day's candles would improve or hurt performance. Entry is $10K worth of shares at the open of the 15 min bar when there is a cross of the 9/39 EMAs on the previous bar. For the "no gap " test the earliest entry is the open of the 10am EST bar. Results indicated that eliminating the early bar entries hurt the performance. Net long 115% profit reduced to 111% and Net short profit 133% reduced to 99%. Test from 6/1/2007 to 11/7/2008.
interesting results -- thanks
Posted by powerchord on 5th of Jan 2009 at 10:38 am
interesting results -- thanks
looking back, most gaps had
Posted by matt on 5th of Jan 2009 at 10:15 am
looking back, most gaps had no effect, only very large gaps and today was not a large gap, it was very small