Couple of questions by PM about the FAS/SKF alt mech systems so
replying on blog.
1. The only parameter is X%
2. A swing low is always followed by a swing high, and vice
versa.
3. A
potential swing low is
created when price falls to its lowest point since the last swing
high. A
potential swing high
is created when price rises to its highest point since the last
swing low.
4. A swing low is
confirmedwhen price rises
by X% from a possible swing low. A swing low is confirmed when
price falls by X% from a possible swing high.
5. When a swing low is confirmed, immediately exit any shorts
and go long. When a swing high is confirmed, exit any longs and go
short.
To put it another way:
1. If you are long, keep track of the highest price reached
since you went long. Subtract X% from that price. As soon as price
falls below that level go short.
2. If you are short, keep track of the lowest price reached
since you went short. Add X% to that price. As soon as price rises
above that level, go long.
Yesterday, I believe you mentioned 8% off recent lows or
highs. Faz's high yesterday was 50.56. 8% down being 46.52. Would
this be a short at this point?
I know I've been struggling to describe this system to you guys,
partly because it's MUCH SIMPLER than it sounds!
Here's one final attempt.
It's a simple stop-and-reverse.
It has one parameter X%, which is a trailing stop.
You enter a long position with a trailing stop. When the
trailing stop is hit, you reverse and go short with the same
trailing stop. When the short stop is hit, you go long. Rinse and
repeat.
You mark the highest point of the long trade as the swing high
and the lowest point of the short trade as the swing low.
The only catch is that you don't do this with a stop order but
on the close of each 15m bar. If you do it with a stop order you
will get stopped out much too often.
Now add a profit target and a (looser) real stop loss and you
are set.
I have it programmed but I am cautious about the trades. Today
I'm only trading FAS, which went long. SKF is short but I don't
want to be too bullish after yesterday. I closed out my ES, SKF and
FAZ positions this morning.
Alt mech systems explained
Posted by unsane on 10th of Feb 2009 at 09:18 pm
Couple of questions by PM about the FAS/SKF alt mech systems so replying on blog.
1. The only parameter is X%
2. A swing low is always followed by a swing high, and vice versa.
3. A potential swing low is created when price falls to its lowest point since the last swing high. A potential swing high is created when price rises to its highest point since the last swing low.
4. A swing low is confirmedwhen price rises by X% from a possible swing low. A swing low is confirmed when price falls by X% from a possible swing high.
5. When a swing low is confirmed, immediately exit any shorts and go long. When a swing high is confirmed, exit any longs and go short.
To put it another way:
1. If you are long, keep track of the highest price reached since you went long. Subtract X% from that price. As soon as price falls below that level go short.
2. If you are short, keep track of the lowest price reached since you went short. Add X% to that price. As soon as price rises above that level, go long.
fas/faz
Posted by bruce2 on 11th of Feb 2009 at 09:00 am
Yesterday, I believe you mentioned 8% off recent lows or highs. Faz's high yesterday was 50.56. 8% down being 46.52. Would this be a short at this point?
You are trading FAZ as
Posted by unsane on 11th of Feb 2009 at 09:02 am
You are trading FAZ as a proxy for shorting FAS (since the FAS system works much better and FAS is hard to short).
Therefore you trade off the FAS chart not the FAZ chart.
See the attached chart. The thin blue line is the trigger line. FAS put in a low at 7.92 so a swing low would be confirmed at 7.92 + 8% = 8.55. You can see this is where the blue line is. At this point you would go long FAS and close out the FAZ trade.
yet another way of thinking
Posted by unsane on 11th of Feb 2009 at 09:33 am
I know I've been struggling to describe this system to you guys, partly because it's MUCH SIMPLER than it sounds!
Here's one final attempt.
It's a simple stop-and-reverse.
It has one parameter X%, which is a trailing stop.
You enter a long position with a trailing stop. When the trailing stop is hit, you reverse and go short with the same trailing stop. When the short stop is hit, you go long. Rinse and repeat.
You mark the highest point of the long trade as the swing high and the lowest point of the short trade as the swing low.
The only catch is that you don't do this with a stop order but on the close of each 15m bar. If you do it with a stop order you will get stopped out much too often.
Now add a profit target and a (looser) real stop loss and you are set.
unsane -- thanks very much.
Posted by Michael on 11th of Feb 2009 at 09:46 am
unsane -- thanks very much. Do you have it programmed or are you managing the trades?
I have it programmed but
Posted by unsane on 11th of Feb 2009 at 10:11 am
I have it programmed but I am cautious about the trades. Today I'm only trading FAS, which went long. SKF is short but I don't want to be too bullish after yesterday. I closed out my ES, SKF and FAZ positions this morning.
What value do you use
Posted by junkmaylbox on 10th of Feb 2009 at 09:28 pm
What value do you use for X%? Also, what is your time frame that constitutes a "swing"?
see my previous posts. You
Posted by unsane on 10th of Feb 2009 at 09:31 pm
see my previous posts. You need to optimize this for each security.
I also use a stop loss, profit target and breakeven point.