Hi Matt (or anyone) - I noticed that the 6 minute SKF system
(29/86 EMAs) closes out EOD. However, I also noticed that the
returns nearly double if you hold overnight rather than close out
EOD (backtested over the last year). Any reason why one should
close out EOD rather than hold overnight? Thanks!
When you say "hold overnight", do you mean "hold until the next
crossover" or "sell at the open the next trading day"? If the
former, do you have any stops in place? Thanks.
I mean that I forgot to implement my end-of-day exit, so I
accidentally backtested it so that it just buys an up cross, and
shorts a down cross, and holds overnight without exiting ever. No
stops. In other words, you're in the market just about 100% of the
time. The results were almost twice as good.
In this case my SD test confirms Matt's testing at least in
terms of general conclusion. For 2008 using $10K positions and
switching at the close of the closing bar on 9/39 crosses on 15
min. produced $19020. in gains with 34% winners and an average
trade gain of $106. vs. $26,929, 59% and $163. with the
normal exit EOD system. BTW not seeing any response from SD users
per my previous post -- maybe others that can do backtesting might
look at that post (titled Strategy Desk users)? Refers to the new
SRS system.
Maybe (?) there's a problem with your formulas? I had SD plot
the signals on a chart with the averages on it and the signals look
correct. What happens when you try to do that?
Matt's 6 min SKF system
Posted by dbray740 on 2nd of Feb 2009 at 12:00 pm
Hi Matt (or anyone) - I noticed that the 6 minute SKF system (29/86 EMAs) closes out EOD. However, I also noticed that the returns nearly double if you hold overnight rather than close out EOD (backtested over the last year). Any reason why one should close out EOD rather than hold overnight? Thanks!
When you say "hold overnight",
Posted by twins on 2nd of Feb 2009 at 12:09 pm
When you say "hold overnight", do you mean "hold until the next crossover" or "sell at the open the next trading day"? If the former, do you have any stops in place? Thanks.
I mean that I forgot
Posted by dbray740 on 2nd of Feb 2009 at 12:17 pm
I mean that I forgot to implement my end-of-day exit, so I accidentally backtested it so that it just buys an up cross, and shorts a down cross, and holds overnight without exiting ever. No stops. In other words, you're in the market just about 100% of the time. The results were almost twice as good.
I discovered the same thing
Posted by brelar on 2nd of Feb 2009 at 12:20 pm
I discovered the same thing in december.
SAR using SRS
Posted by bkout3 on 2nd of Feb 2009 at 01:30 pm
In this case my SD test confirms Matt's testing at least in terms of general conclusion. For 2008 using $10K positions and switching at the close of the closing bar on 9/39 crosses on 15 min. produced $19020. in gains with 34% winners and an average trade gain of $106. vs. $26,929, 59% and $163. with the normal exit EOD system. BTW not seeing any response from SD users per my previous post -- maybe others that can do backtesting might look at that post (titled Strategy Desk users)? Refers to the new SRS system.
SD backtesting of the SRS system
Posted by junkmaylbox on 2nd of Feb 2009 at 01:58 pm
I cannot make the system work reliably on the SD, in my experience.
Maybe (?) there's a problem
Posted by bkout3 on 2nd of Feb 2009 at 03:02 pm
Maybe (?) there's a problem with your formulas? I had SD plot the signals on a chart with the averages on it and the signals look correct. What happens when you try to do that?
Please, send me your signal
Posted by junkmaylbox on 2nd of Feb 2009 at 03:19 pm
Please, send me your signal part (formulas), and I'll test it. Thanks in advance!