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Beware Stockcharts data is Total Return !

SPY Historical

Posted by dougmil on 11th of May 2011 at 12:27 pm

Ascr,

I wrote this in response to a question last week from Susan about SPY quotation data:

Susan,


Beware of SPY on Stockcharts.com (or any equity that issues dividends and cap gains), including stocks. I think Stockcharts is generally fine for intraday charts, however Stcokcharts is one of the few (I can't find another) that adjusts past prices not just for splits (they all do that) but also for dividends and cap gains distributions!

You can verify this by checking some major SPY top or bottom in the past on another charting service and comparing to Stockcharts. They are different! Stockcharts historical data is artificially adjusted downward.

What does it mean? Stockcharts is fabulous for comparing long term total returns because it includes dividends. Good for buy and hold investors and value investors. However, for short term traders, you can't pinpoint old gaps, tops and bottoms that may come into play.

It is generally fine for intraday charts as they usually do the adjustments for dividends and cap gains once a quarter. Know when SPY is adjusted so this doesn't throw you a head scrathing curveball the day after.

I discussed this with the owner of Stockcharts, Chip Anderson, a couple months ago when he spoke at our monthly cycles meeting in Buena Park, CA and he confirmed what I just said. There is info about it on stoccharts if you snoop around.

 

Doug Milliken

Stops

entry weighting

Posted by dougmil on 7th of May 2011 at 07:46 pm

It seems to me that adding stops to the system could lock in large losses which don't exist in backtesting the straight sell signals. I am not inclined to do anything that could change already stellar backtest results.

If this is a reversion to the mean logic system and the first buy is on a "stretched rubber band", the second is stretched a little more, the third......, etc,  then why sell just before the snapback that gives our profits? Matt's system has a "stop" if you want to call it that. IT's called a sell signal, no? Why would I want to sell somewhere of my choosing unless I didn't trust that my performance could come close to the backtest results?

Any modification is potentially dangerous to backtest results. With such fantastic backtest results, I would first like to achieve something similar (which would be a big improvement on my prior results) before trying to make it better on my own !!

For me, it's just keep it simple and work the plan and establish some consistent results and try not to complicate the situation. Period.

Doug Milliken

I Agree - Please Give Matt Some Space

Posted by dougmil on 6th of May 2011 at 04:54 pm

SPY members are asking a lot of questions directly to Matt that they can figure out for themselves or discuss with other members on the blog. Many of the questions Matt has already answered in FAQ and other places so please read through it completely and study the historical charts and do your own research before asking Matt. The charts show there will be many volatile days like today - and worse - and many days when it will seem like we are on the wrong side of a trade. It's the nature of trading. The backtesting should be confidence enough to stick to the system as designed. The system is pretty simple and clear as to how to know when a signal is issued and what to do about it. We all just have to get used to the communication of signals, which we are doing. It's only day 1.

The instruments and account management details are up to each individual to manage according to his own situation.

 

I realize right now the maximum number of new SPY members are getting used to something new and this will sort out, but realize Matt is about to have his first child and has other responsibilities as well so I hate to see him badgered un-necessarily upon launch of such a great system that he has been working hard on for a long time.

We're going to need Matt fresh in the future.....  :<)

Beware of Stockcharts SPY historical data !!!

Posted by dougmil on 5th of May 2011 at 07:32 pm

I wrote this in response to a question ealier this afternoon from Susan about SPY quotation data:

Susan,


Beware of SPY (or any equity that issues dividends and cap gains), including stocks. I think it is generally fine for intraday charts, however Stcokcharts is one of the few (I can't find another) that adjusts past prices not just for splits (they all do that) but also for dividends and cap gains distributions!

You can verify this by checking some major top or bottom in the past on another charting service and comparing to Stockcharts. They are different! Stockcharts historical data is artificially adjusted downward.

What does it mean? Stockcharts is fabulous for comparing long term total returns because it includes dividends. Good for buy and hold investors and value investors. However, for short term traders, you can't pinpoint old gaps, tops and bottoms that may come into play.

It is generally fine for intraday charts as they usually do the adjustments for dividends and cap gains once a quarter. Know when SPY is adjusted so this doesn't throw you a head scrathing curveball the day after.

I discussed this with the owner of Stockcharts, Chip Anderson, a couple months ago when he spoke at our monthly cycles meeting in Buena Park, CA and he confirmed what I just said. There is info about it on stoccharts if you snoop around.

 

Doug Milliken

Watch out for SPY on Stockcharts

SPY on StockCharts

Posted by dougmil on 5th of May 2011 at 07:28 pm

Susan,


Beware of SPY (or any equity that issues dividends and cap gains), including stocks. I think it is generally fine for intraday charts, however Stcokcharts is one of the few (I can't find another) that adjusts past prices not just for splits (they all do that) but also for dividends and cap gains distributions!

You can verify this by checking some major top or bottom in the past on another charting service and comparing to Stockcharts. They are different! Stockcharts historical data is artificially adjusted downward.

What does it mean? Stockcharts is fabulous for comparing long term total returns because it includes dividends. Good for buy and hold investors and value investors. However, for short term traders, you can't pinpoint old gaps, tops and bottoms that may come into play.

It is generally fine for intraday charts as they usually do the adjustments for dividends and cap gains once a quarter. Know when SPY is adjusted so this doesn't throw you a head scrathing curveball the day after.

I discussed this with the owner of Stockcharts, Chip Anderson, a couple months ago when he spoke at our monthly cycles meeting in Buena Park, CA and he confirmed what I just said. There is info about it on stoccharts if you snoop around.

 

Doug Milliken

But If you sell on a Monday it settles on Thursday".....

If I sell on Monday, I will buy at the close on Wednesday. When I do I get a message that I am buying with unsettled funds, but I don't care because they will settle overnight and be settled at Thursday's open, so that I can sell if need be. So in a way, it is not 72 hours but two full trading days plus what is left after I sold on Monday. I don't see the need to actually wait until Thursday. However, buying before settlement I would only do in the last 5 minutes of a trading day because some big moves can happen at the close and once I buy, I am holding overnight.


Doug Milliken

My Response to Bob's Question

SPY System

Posted by dougmil on 4th of May 2011 at 06:28 pm

Bob,

I have been trading SSO and SDS in an IRA for awhile. I am just switching the buy/sell signals to Matt's SPY sysyem because, well, it works much better than what I have been doing based on Matt's Tradestation backtesting.

What I do is buy 50% of the account at a time in the double ETF. That way whenever I close out a trade, I have one more bullet in the chamber.


I have a personal hard rule to never put more than 50% of any account in any ETF that holds only derrivatives, swaps, smoke and mirrors (such as SSO and SDS) as opposed to an ETF that holds the actual stock in companies that make up an index, like SPY does.

Doug Milliken

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