Matt:

I thought you said that the stop method that you will use going forward would have stopped the trade out at 257.10. Shouldn't you use that price in the trade results?

Spike now gone from TOS charts, too.

Shows same spike down on thinkorswim charts, too

I agree that it is both obvious (of course, I was aware of this...and thus the question) and that your "fix" is logical, but hope you will include this explanation in your final overview of the system, so it is clear how your trade results prior to 2006 were developed. 

Matt:

It seems strange that there were no SSO or SDS trades until trade #225 in May, 2006. Any thoughts as to why?

Can anyone give me the dates since 1/1/2007 on which the P&F chart for SPX changed from X's to O's and O's to X's? If so, I would be most grateful. Thank you!

Bob Hug

Matt:

Please paste this update into this same section in "Market Lab". Thanks!

Bob

OK, but nothing about this in the system overview. Is this because you used the upcoming system for this trade?

Don't we exit on tomorrow's open anyway, since this is a long trade, or has this changed?

To where do you suggest raising stop? Thanks!

Thanks. Message just came through!

Matt - Market rallying after hours. Did signal confirm or not?

Trade history on the site needs to be updated for the past couple of trades. Assume this will be done?

Bob

I agree, But I had to call the trade desk and sell after the close.

Did anyone else have a hard time selling shares short through thinkorswim at the close?

Bob

I agree. How did we go from "nowhere near an adjustment" to exiting the very next day? Hard to fathom this, if system triggers are being followed.

Where did the 13.5% profit target come in? I don't remember seeing it. There have been many trades in excess of 13.5% in the past, from what I can see. Thanks!

Bob

I manually back tested whether attempting to avoid whipsaws using Matt's method (waiting to take a reversal trade until price closed above/ below the high/low of the price of SPY on the day the crossover of the 13/34 EMAs occurred) would make a  good trading system. Unfortunately, the answer is "NO".Going back to the first signal after 1/1/95, there would have been 74 trades, of which 21 would have been winners and 53, losers. The expectancy of this system would have been .06.

While following Matt's suggestions would have avoided some whipsaws, there were many more that this system could not have avoided. However, the biggest reason for these poor results was that, if you wait for the confirmation of a close above/below the price of SPY on the day of the 13/34 EMA crossover and then opened and/or closed a trade at the open of the next trading day, the entry/exit prices were much poorer than if you had taken the trade on the day after the crossover and lived with all the whipsaws.

I tried to attach my spreadsheet, but don't think that it took. If anyone wants to see it, send me an email at rchug@gmail.com.

Bob

Matt:

On the 13/34 MA cross information you gave us, do you look for a CLOSE or a PRICE below/above the horizontal line as confirmation of a trend reversal? I'd like to back test this on SPY as a "system" but want to be sure I am doing it correctly. Thanks!