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I have long believed that a long strategy, and short strategy should have a very similar setup. Nearly a mirror image. I figured if I could find a setup that worked for both by just reversing the setup, that it would be more robust and exploit some underlining "rule" of the market. I have since...

Does anyone use a bias such as only longs or only shorts for a given day based on what is going on in a longer time frame? For instance, I have a great trend following strategy that is long only. Obviously it does horrible in q4 of 2008. What type of checks could I perform to try and prevent...

Isn't that an arbitrage strategy? A conversion? Own the underlying with a synthetic short

In case you care about specifics its actually called the Dow divisor. Not the coefficient as I said in the previous post. However the concept is still the same.. in case you want to know more indepth how the process works check out this link: http://www.investopedia.com/articles/02/082702.asp

There will be no jump. The coefficient the dow index is multiplied by gets adjusted.

Very possible. I don't think it will be because I stopped backtesting. There are many flaws with backtesting that I saw caused significant differences when live. I actually thought ninjatrader's "Market replay" would serve me better than the normal "backtesting". But what I am finding is...

Traded 256 shares for -$42.25

Not much of a day... traded 494 shares for a total of -$6.00 after commission

For the 3 that have not traded at all, yes I do. When there are hundreds of stocks out there that meet the criteria needed for this strategy, then it doesn't make a lot of sense to stick with 3 of them that couldn't find the setup even once in almost 2 weeks. For the ones that are "on the...

I just reran the past 9 trading days using market replay one day at a time using the new filters, trailing stops.. etc.. I noticed of the 12 stocks the strategy watches only 9 of them ever traded on any of the past 9 trading days. AAPL traded 3 days for a total of -$19.24 XOM traded 3...

All 12 of the stocks have greater than 2m average volume. The strategy can trade from 9.30-3:45 eastern. My slippage depends on the instrument. But I am incurring at least 2 or 3 cents a round trip. Some of the higher priced instruments more. The 600 shares is spread out of several...

I have been on vacation since Friday so I did not post the end of day P/L. Friday was a very slow day as part of my new filters were in. It only took 2 trades for a loss of: -$18.91 Looking forward to tomorrow. I think I will have a much better week.

I believe I might have just had an epiphany of sorts. Its something that has plagued both my discretionary and automated systems over the years. "The need for action" I have too much of a gamblers mindset. I don't want to fold, I want to be in on every hand. There are some very obvious...

I reran market replay of today with the trailing stops disabled and it looks like the strategy would have only lost -$136 So really not much of a difference with the trailing stops. The main benefit of the trailing stops comes when there is a profit to protect. Since no trades won today...

I thought about doing that, but your right it would remove a lot of trades. Good trades can happen on down days though... seems like too strict of a filter..

Horrible day: -$141.91 on 667 shares Obviously the strategy should not have been trading much today given the prevailing market conditions. However, it did. Which means I need to figure out a way to make the code realize not the best day to be taking any long trades. Something I will need...

Bad morning so far.. currently down -$58.. Which if you have looked at the market today you would understand why considering this is a long only strategy. I do believe my new exits have actually helped keep the losses lower than they otherwise would have been. Will replay the day without the...

I ended up going with a channel exit initially. Once the position moves 5 ATR into the green, it switches over to a Chandelier exit. I think the parameters could be tweaked a bit to achieve greater profit... but for now this is what I will go with. I chose several days over the past 2 weeks...

Still writing the code for it.. but its appearing so far that this method of exit might be the missing piece I need.... It makes a lot of sense from a "why would it work" perspective.. which is a great start... Because the exits have been so bad i have been finding myself staring at the screen...

Great morning... horrible afternoon... Naturally for a long only strategy the afternoon session did not give much to work with.. With that said I did escape the day with a slight profit, which is great... Curious to replay the day with some various volatility based exits in place and see what I...