I've been wondering why this hadn't closed out as the CCI
doesn't have the trend hold condition - I think there might be a
bug because when I changed one thing that shouldn't have mattered
it shows that it closed out a few days ago, so just to be safe I'm
closing it out and locking in the nice gains. We have plenty of
open systems so best to be safe here.
again none of the mean reversion systems are exiting today -
they are holding. And it appears that for the RSI oversold and QE
BTS systems,
a secondary trend hold condition kicked inthat is going to hold the trade for a while beyond simple mean
reversion bounce
would be nice if they caught a monster trade like these past
ones
On the MES side of things, earlier I said the CCI and
Trend/Pullback were closing out, they ended up NOT closing out!
That actually gives more time for some of those earlier
Trend/Pullback entries to become profitable.
ES is closed for the day, of course if you have ETF's in place
then you can still make a change add back if you wanted. Anyway, on
days I have to leave before ES closes, these things can happen
GDX doesn't trend well enough on the daily to get good stats its
been down 1/2 the years it's been trading, does not trend like the
index or big cap trending stocks. If I tweak the daily with custom
settings it's profitable but a PF just below 2, so blaaa
remember I showed that a 1/2 day or 78 min GDX KISS had really
good stats - again per my comments above my guess is that you can
capture long enough trending moves on intra day time frames to
catch nice trends, whereas daily is just too high of a time
frame
I complied the stats, here's a custom version of the KISS system
on a daily chart of AAPL compared to simple buy and hold. average
of 4 trades per year. Avg drawdown is -5.5% vs -25.8% for buy and
hold.
other stats: for the daily KISS: avg 4 trades per year, avg DD
of -5.5%, 66 total trades, 64% winning trades (typical for trend
following), avg time in trades is 64 days
per some recent comments about the GDX KISS system stopping out
as well as a few of the mining stocks, and my discussion
before - the KISS system in its default settings struggles with GDX
and a lot of the PM mining stocks - because that sector is just too
choppy and does not trend well over the long term on a daily chart.
The KISS was designed initially for the major indexes that go
through trending periods. For GDX, 1/2 of the years it's been
in existence are down years, which is opposite of the general
market where 80% or more of the years are up years. I would
generally avoid following KISS as an ONLY trigger for an entry and
exit on GDX and various gold stocks
again I have some custom settings for GDX that work extremely
well on a smaller time frame than the daily, such as a 1/2 day or
78 min 5 bar daily chart, that I shared last week - I may
eventually be able to eventually add some of these custom KISS
systems on a small basket of ETF's, but that's not ready
yet
also on the KISS systems for other things that work well - the
systems are only about 60% profitable and sometimes less. They stop
out a lot. They make their money on catching a big move and can
then afford to go through a whipsaw small losers and still be
profitable. Also, and not always, many times after the system
catches a really big winner, like QQQ daily did from Mar - Aug, or
NVDA, META etc, more often than not the next trade ends up being a
whipsaw. Again it's not always the case but it happens a lot. If
you see that a stock or ETF has closed out of a big winning trade
and now it enters again, realize that trade may not work out as
well.
new trades today, here's part of an email I'll be sending out -
and see attached table showing the new entries. Looks like we'll be
at 10 total entries from various systems, the most I've seen at one
time I think is 15 or 13 and it was only for a couple days.
Otherwise the number of entries is getting up there but still
below a lot of those really deep sell offs where more sub systems
were triggering with higher number. Again as I discussed the other
day, you either take them all, or you limit the number of entries
by setting a limit such as 8 or 10, whatever fits you. Or if SPY
and ES happen to have the same entry on the same sub system on the
same day - only do one of the entries not both. Again I just
report what they are doing, they follow and do what fits you
This is an alert about BPT Mechanical Systems:
KISS trend following systems on the indexes have been out and in
the safety of cash as you know.
More mean reversion systems trades today. Kind of a pucker trade
as the systems scale in, haven't seen that in a while, but this is
typical of the mean reversion systems over the years, at times they
scale in and take some heat before the inevitable mean reversion
bounce. I simply report what the sub systems are doing, you choose
to follow them or not.
SPY mean reversion systems: 1. QE BTS 2nd will be taking a 2nd entry long. For website
I'll show it as $10K of SSO ETF
2. A new sub system is taking a 1st entry: CCI Divergence, I
will show as $10K of SPY ETF
ES mean reversion systems:ES does not close until 5 pm so
trades are not officially confirmed until that time, that said
here's what is likely to trigger
1. 2nd entry QE BTS - I'll show it as 4 MESZ23 contracts
2. 3rd entry Trend/Pullback - I'll show as 3 MESZ23
contracts
Market Comments: Last spring we made a predication that the
market would likely hold up and rally throughout the summer into
late July, then experience a correction in Aug/Sep (per
seasonality) and that's exactly what has unfolded.
Currently on the markets as you know
we were focused on coil patterns on the indexes and those all broke
to the downside last week (did any of you act on those?). The
options we were discussing were: 1. either a shallower wave 4
consolidation (least favored), 2. a standard 4th wave zig zag
deeper pullback to the low 4300's to mid 4200's (which I have been
favoring), or 3. a major top was put into place in late July. Given
the fundamental backdrop, the unfathomable amount of debt, Interest
rates at 5.5% now, 8% mortgage rates, also the market is not cheap
evaluations are very high, and this has been the narrowest rally
we've seen in our lifetimes - it's passible that we could have put
in a major top in July and not push back to new highs.
For a 4th wave scenario 'Bulls' need
to keep the SPX above the point of recognition gap from early June
at 4220), below that price would seriously start the favor that the
highs are in and the next major rally will ultimately form a
lower high.
With all that said - make sure you
have an exit strategy that fits your risk tolerance and trading
style. If that's the daily KISS systems, the major indexes (SPY,
QQQ etc have been flat as their STS smart trailing stops were all
hit). Also the big cap tech names that dominate the market (AAPL,
GOOGL, AMZN, NVDA, MSFT, META, TSLA) - the KISS systems are also
flat. The weekly SPX KISS has a wide STS stop at 4250 if that's
what you are following. The point is, make sure you have some sort
of exit strategy and plan in place.
The market is quite oversold here in
the short-term and could bounce from here, but oversold is not a
buy signal, so anything can happen. The market ultimately is going
to need some sort of catalyst to put in a good bottom, such as the
US Dollar and the 10-Year Yield coming in.
Mean reversion systems: While the KISS Trend Following
systems are flat, Two of the sub systems out of 22 systems have 1st
and 2nd entries on SPY and ES (Trend/Pullback and QE BTS). That's
the natural of these mean reversion systems, they scale into
pullbacks and are early at times. Should the market go lower we may
see 3rd entries for these and possibly other sub systems start to
trigger.
Key Events for This Week:
1.Tuesday: Various housing data (FHFA housing price index,
Case-Shiller home price index, new home sales, consumer confidence
2. Wednesday: Durable Orders/Goods (
POWELL SPEAKS at 4 pm EST the market close!!!)
3. Thursday: GDP 3rd Estimate, Initial Jobless Claims,
Pending Home Sales, Natural Gas Inventories
4. Friday: Adv Goods, Inventories, Personal Spending, PCE
prices, Chicago PMI
I posted this below but I'm reposting it as I've added the max
draw down for KISS and buy and hold. For buy and hold for the max
drawdown I added two columns; one that is computed from the Jan
open to the low that year (since you are just holding the ETF) and
one is form the highs that year to the lows. For the KISS system I
am simply using the max drawdown from the trade entry since the
KISS doesn't hold all year like buy and hold.
Look over the statistics and you can tell me: would you ever
just buy and hold GDX? Notice how about 50% of the years since 2006
are negative years and the average year gain was -5.8% and the
total collective gain was 99%. GDX does not trend like the major
indexes that are typically positive 8 out of 10 years over the long
term
Look at KISS 1/2 day: Instead of almost 50% of the years being
negative now you only have 2. Also the average annual gain is 19.1%
vs -5.8% for buy and hold LOL. Total summation gain is 325% vs
99.3% so 3 times the gains.
The draw down is of course where it shines. Max draw down was
13% and 11.4%. contrast this with buy and hold where 50% and as
high as 72% were not uncommon with an average max DD of -35.8% from
the highs and -25.7% from the January open
As I've stated before, GDX does not trend well for long periods
of time and is mostly chop not uptrending like the major indexes.
The KISS systems are long only and are built for uptrending
instruments. For the daily standard settings KISS it's
the one ETF that is not profitable over the long term on the daily
KISS with a profit factor less than 1. Because GDX does not trend
well, I decided to try a 1/2 day chart as I thought the system
might be able to get enough trend there to be profitable and I was
right, just look over the stats.
As I've stated before, GDX does not trend well for long periods
of time. For the major indexes the majority of years are up years
8/9 out of 10 years are up years vs down years, for GDX only 1/2 of
the years have been up years. For the daily standard settings KISS
it's the one ETF that is not profitable over the long term on
the daily KISS with a profit factor less than 1. Again the main
reason for this since the KISS is long only, is because GDX does
not trend well and is down 50% of the years its been in
existence.
that said, I decided to try a smaller time frame a 1/2 day chart
because my thoughts were I could enough enough trend on those time
frames and now the stats are far far superior to buy and hold.
Let's be honest, buy and hold GDX sucks with an average annual gain
since 2006 of -6% with almost 1/2 of the years being down years -
again contrast that to the market indexes where 8 or 9 out of 10
years are up years.
anyway the 1/2 day is quite good at avg 18.5% annual gain vs -6%
for buy and hold. The sum total for the KISS is 333% vs 109% buy
and hold. Roughly 10 trades a year
here's the table that shows what's open. The yellow areas are
what may trigger today: 2nd entry Trend/Pullback for SPY and
ES. 1st entry QE BTS for SPY and ES
again that's what these systems do, scale into sell offs and
early at times
on SPY Trend/Pullback looking at a possible 2nd entry.
(this sub system can be early at times).
Also QE BTS is looking to take a possible 1st entry
Like I said - that's how these mean reversion systems work -
they scale in and buy when it looks like crap, feels like death,
and they can be early. They are methodical about it though and
generally make profits in the end because of that - but they are
not feel good entries and trades.
On Friday near the close I said that one of the systems might
trigger but I had to leave for an appointment. When I got back at
6:30 pm, I confirmed the trade. The after market was still active
however being 6:30 pm on a Friday I figured most of you were
checked out and wouldn't see it or take action, so I figured I'd
save the trade signal until next week - and maybe we'll see
additional weakness anyway to get better prices.
$SPX - Chart Linkunusually on the these OPEX
days price does not trend all day in one direction - you tend to
get strong movements down then up or vice versal - so point don't
just expect an easy down trend all day
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TSLA
Posted by matt on 17th of Oct 2023 at 12:20 pm
TSLA - Chart Link- still hung onto that trendline, stop could probably be moved up to today's lows now
Update: a few precious metal plays
a few precious metal plays
Posted by matt on 13th of Oct 2023 at 11:15 am
OR - Chart Link- on OR and DRD, watch the downtrend lines on price, and on the OR/GLD and DRD/GLD ratio's
DRD - Chart Link-
AG - Chart Link- first target would be 50 day MA
GDX is above the 50
GDX, and BPGDM
Posted by matt on 13th of Oct 2023 at 11:06 am
GDX is above the 50 MA, The downtrend line is more important than the 50 day, GDX is nearing that
mean reversion systems
Posted by matt on 12th of Oct 2023 at 03:39 pm
looks like the trend/pullback may exit today on MES. None of the others, which as I stated earlier will stop out when the BPT momo indicator turns red
I have to leave shortly after the market, so I'll have James confirm and email out - ES doesn't close until an hr after the cash market
FYI open CCI long on MES I'm closing out here
Posted by matt on 11th of Oct 2023 at 10:11 am
I've been wondering why this hadn't closed out as the CCI doesn't have the trend hold condition - I think there might be a bug because when I changed one thing that shouldn't have mattered it shows that it closed out a few days ago, so just to be safe I'm closing it out and locking in the nice gains. We have plenty of open systems so best to be safe here.
again none of the mean
mean reversion systems update - no changes, none of the open systems looking to exit yet
Posted by matt on 9th of Oct 2023 at 03:47 pm
again none of the mean reversion systems are exiting today - they are holding. And it appears that for the RSI oversold and QE BTS systems, a secondary trend hold condition kicked in that is going to hold the trade for a while beyond simple mean reversion bounce
would be nice if they caught a monster trade like these past ones
Just got back - update on the systems, not all of them closed out
Posted by matt on 6th of Oct 2023 at 06:16 pm
On the MES side of things, earlier I said the CCI and Trend/Pullback were closing out, they ended up NOT closing out! That actually gives more time for some of those earlier Trend/Pullback entries to become profitable.
ES is closed for the day, of course if you have ETF's in place then you can still make a change add back if you wanted. Anyway, on days I have to leave before ES closes, these things can happen
I saw a possible rigger
FXY with BOJ supporting a swing candidate. On watch for ...
Posted by matt on 6th of Oct 2023 at 08:50 am
I saw a possible rigger the other day via the RSI 14 trendline break on FXY, stop would be at the lows
GDX doesn't trend well enough
AAPL daily KISS system
Posted by matt on 5th of Oct 2023 at 12:52 pm
GDX doesn't trend well enough on the daily to get good stats its been down 1/2 the years it's been trading, does not trend like the index or big cap trending stocks. If I tweak the daily with custom settings it's profitable but a PF just below 2, so blaaa
remember I showed that a 1/2 day or 78 min GDX KISS had really good stats - again per my comments above my guess is that you can capture long enough trending moves on intra day time frames to catch nice trends, whereas daily is just too high of a time frame
AAPL daily KISS system
Posted by matt on 4th of Oct 2023 at 11:14 pm
I complied the stats, here's a custom version of the KISS system on a daily chart of AAPL compared to simple buy and hold. average of 4 trades per year. Avg drawdown is -5.5% vs -25.8% for buy and hold.
other stats: for the daily KISS: avg 4 trades per year, avg DD of -5.5%, 66 total trades, 64% winning trades (typical for trend following), avg time in trades is 64 days
guys regarding the daily KISS systems
Posted by matt on 28th of Sep 2023 at 10:27 am
per some recent comments about the GDX KISS system stopping out as well as a few of the mining stocks, and my discussion before - the KISS system in its default settings struggles with GDX and a lot of the PM mining stocks - because that sector is just too choppy and does not trend well over the long term on a daily chart. The KISS was designed initially for the major indexes that go through trending periods. For GDX, 1/2 of the years it's been in existence are down years, which is opposite of the general market where 80% or more of the years are up years. I would generally avoid following KISS as an ONLY trigger for an entry and exit on GDX and various gold stocks
again I have some custom settings for GDX that work extremely well on a smaller time frame than the daily, such as a 1/2 day or 78 min 5 bar daily chart, that I shared last week - I may eventually be able to eventually add some of these custom KISS systems on a small basket of ETF's, but that's not ready yet
also on the KISS systems for other things that work well - the systems are only about 60% profitable and sometimes less. They stop out a lot. They make their money on catching a big move and can then afford to go through a whipsaw small losers and still be profitable. Also, and not always, many times after the system catches a really big winner, like QQQ daily did from Mar - Aug, or NVDA, META etc, more often than not the next trade ends up being a whipsaw. Again it's not always the case but it happens a lot. If you see that a stock or ETF has closed out of a big winning trade and now it enters again, realize that trade may not work out as well.
mean reversion systems trades
Posted by matt on 26th of Sep 2023 at 03:47 pm
new trades today, here's part of an email I'll be sending out - and see attached table showing the new entries. Looks like we'll be at 10 total entries from various systems, the most I've seen at one time I think is 15 or 13 and it was only for a couple days. Otherwise the number of entries is getting up there but still below a lot of those really deep sell offs where more sub systems were triggering with higher number. Again as I discussed the other day, you either take them all, or you limit the number of entries by setting a limit such as 8 or 10, whatever fits you. Or if SPY and ES happen to have the same entry on the same sub system on the same day - only do one of the entries not both. Again I just report what they are doing, they follow and do what fits you
This is an alert about BPT Mechanical Systems:
KISS trend following systems on the indexes have been out and in the safety of cash as you know.
More mean reversion systems trades today. Kind of a pucker trade as the systems scale in, haven't seen that in a while, but this is typical of the mean reversion systems over the years, at times they scale in and take some heat before the inevitable mean reversion bounce. I simply report what the sub systems are doing, you choose to follow them or not.
SPY mean reversion systems:
1. QE BTS 2nd will be taking a 2nd entry long. For website I'll show it as $10K of SSO ETF
2. A new sub system is taking a 1st entry: CCI Divergence, I will show as $10K of SPY ETF
ES mean reversion systems:ES does not close until 5 pm so trades are not officially confirmed until that time, that said here's what is likely to trigger
1. 2nd entry QE BTS - I'll show it as 4 MESZ23 contracts
2. 3rd entry Trend/Pullback - I'll show as 3 MESZ23 contracts
my writeup for the weekend Market
SPX Daily
Posted by matt on 24th of Sep 2023 at 02:02 pm
my writeup for the weekend
Market Comments: Last spring we made a predication that the market would likely hold up and rally throughout the summer into late July, then experience a correction in Aug/Sep (per seasonality) and that's exactly what has unfolded.
Currently on the markets as you know we were focused on coil patterns on the indexes and those all broke to the downside last week (did any of you act on those?). The options we were discussing were: 1. either a shallower wave 4 consolidation (least favored), 2. a standard 4th wave zig zag deeper pullback to the low 4300's to mid 4200's (which I have been favoring), or 3. a major top was put into place in late July. Given the fundamental backdrop, the unfathomable amount of debt, Interest rates at 5.5% now, 8% mortgage rates, also the market is not cheap evaluations are very high, and this has been the narrowest rally we've seen in our lifetimes - it's passible that we could have put in a major top in July and not push back to new highs.
For a 4th wave scenario 'Bulls' need to keep the SPX above the point of recognition gap from early June at 4220), below that price would seriously start the favor that the highs are in and the next major rally will ultimately form a lower high.
With all that said - make sure you have an exit strategy that fits your risk tolerance and trading style. If that's the daily KISS systems, the major indexes (SPY, QQQ etc have been flat as their STS smart trailing stops were all hit). Also the big cap tech names that dominate the market (AAPL, GOOGL, AMZN, NVDA, MSFT, META, TSLA) - the KISS systems are also flat. The weekly SPX KISS has a wide STS stop at 4250 if that's what you are following. The point is, make sure you have some sort of exit strategy and plan in place.
The market is quite oversold here in the short-term and could bounce from here, but oversold is not a buy signal, so anything can happen. The market ultimately is going to need some sort of catalyst to put in a good bottom, such as the US Dollar and the 10-Year Yield coming in.
Mean reversion systems: While the KISS Trend Following systems are flat, Two of the sub systems out of 22 systems have 1st and 2nd entries on SPY and ES (Trend/Pullback and QE BTS). That's the natural of these mean reversion systems, they scale into pullbacks and are early at times. Should the market go lower we may see 3rd entries for these and possibly other sub systems start to trigger.
Key Events for This Week:
1.Tuesday: Various housing data (FHFA housing price index, Case-Shiller home price index, new home sales, consumer confidence
2. Wednesday: Durable Orders/Goods ( POWELL SPEAKS at 4 pm EST the market close!!! )
3. Thursday: GDP 3rd Estimate, Initial Jobless Claims, Pending Home Sales, Natural Gas Inventories
4. Friday: Adv Goods, Inventories, Personal Spending, PCE prices, Chicago PMI
GDX 1/2 day KISS vs buy and hold statistics and discussion
Posted by matt on 23rd of Sep 2023 at 12:05 pm
I posted this below but I'm reposting it as I've added the max draw down for KISS and buy and hold. For buy and hold for the max drawdown I added two columns; one that is computed from the Jan open to the low that year (since you are just holding the ETF) and one is form the highs that year to the lows. For the KISS system I am simply using the max drawdown from the trade entry since the KISS doesn't hold all year like buy and hold.
Look over the statistics and you can tell me: would you ever just buy and hold GDX? Notice how about 50% of the years since 2006 are negative years and the average year gain was -5.8% and the total collective gain was 99%. GDX does not trend like the major indexes that are typically positive 8 out of 10 years over the long term
Look at KISS 1/2 day: Instead of almost 50% of the years being negative now you only have 2. Also the average annual gain is 19.1% vs -5.8% for buy and hold LOL. Total summation gain is 325% vs 99.3% so 3 times the gains.
The draw down is of course where it shines. Max draw down was 13% and 11.4%. contrast this with buy and hold where 50% and as high as 72% were not uncommon with an average max DD of -35.8% from the highs and -25.7% from the January open
As I've stated before, GDX does not trend well for long periods of time and is mostly chop not uptrending like the major indexes. The KISS systems are long only and are built for uptrending instruments. For the daily standard settings KISS it's the one ETF that is not profitable over the long term on the daily KISS with a profit factor less than 1. Because GDX does not trend well, I decided to try a 1/2 day chart as I thought the system might be able to get enough trend there to be profitable and I was right, just look over the stats.
GDX KISS 1/2 day system vs buy and hold
Posted by matt on 22nd of Sep 2023 at 06:38 pm
As I've stated before, GDX does not trend well for long periods of time. For the major indexes the majority of years are up years 8/9 out of 10 years are up years vs down years, for GDX only 1/2 of the years have been up years. For the daily standard settings KISS it's the one ETF that is not profitable over the long term on the daily KISS with a profit factor less than 1. Again the main reason for this since the KISS is long only, is because GDX does not trend well and is down 50% of the years its been in existence.
that said, I decided to try a smaller time frame a 1/2 day chart because my thoughts were I could enough enough trend on those time frames and now the stats are far far superior to buy and hold. Let's be honest, buy and hold GDX sucks with an average annual gain since 2006 of -6% with almost 1/2 of the years being down years - again contrast that to the market indexes where 8 or 9 out of 10 years are up years.
anyway the 1/2 day is quite good at avg 18.5% annual gain vs -6% for buy and hold. The sum total for the KISS is 333% vs 109% buy and hold. Roughly 10 trades a year
I have not had time to add the drawdown data
update on the SPY and
SPY and ES mean reversion systems - could see more trades today
Posted by matt on 21st of Sep 2023 at 12:03 pm
update on the SPY and ES mean reversion systems
here's the table that shows what's open. The yellow areas are what may trigger today: 2nd entry Trend/Pullback for SPY and ES. 1st entry QE BTS for SPY and ES
again that's what these systems do, scale into sell offs and early at times
SPY and ES mean reversion systems - could see more trades today
Posted by matt on 21st of Sep 2023 at 09:42 am
on SPY Trend/Pullback looking at a possible 2nd entry. (this sub system can be early at times).
Also QE BTS is looking to take a possible 1st entry
Like I said - that's how these mean reversion systems work - they scale in and buy when it looks like crap, feels like death, and they can be early. They are methodical about it though and generally make profits in the end because of that - but they are not feel good entries and trades.
VIX 60 min
Posted by matt on 19th of Sep 2023 at 10:32 am
$VIX - Chart Link- after breaking the downtrend line backtested it yesterday found support rebound off
SPY Trend Pullback triggered on Friday
Posted by matt on 16th of Sep 2023 at 02:16 pm
On Friday near the close I said that one of the systems might trigger but I had to leave for an appointment. When I got back at 6:30 pm, I confirmed the trade. The after market was still active however being 6:30 pm on a Friday I figured most of you were checked out and wouldn't see it or take action, so I figured I'd save the trade signal until next week - and maybe we'll see additional weakness anyway to get better prices.
SPX 5 in
Posted by matt on 15th of Sep 2023 at 12:23 pm
$SPX - Chart Linkunusually on the these OPEX days price does not trend all day in one direction - you tend to get strong movements down then up or vice versal - so point don't just expect an easy down trend all day