How does it do if you cut off the number of reversals? Say you add a rule that you can only reverse 3 times, then you are out. I would also like to see it tested using a filter for the longer term trend and trading only in that direction.
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For you, Technical Analisys lovers!
- Thread starter abogdan
- Start date
>How does it do if you cut off the number of reversals?
The average number of flips I got for the last year is just under 5 per day and like you I was thinking of limiting it to no more than the average. I just have to modify my code when I get a bit of spare time and see how it works. I will do this and let you know.
Don't know how many profitable days that will take us out of but it sure as hell wouldn't allow the account wreckers that my interpretation of this system allows.
Course if I don't understand his model then the worst days are only negative ~2%
I have offered Hayman data to use so perhaps he can help us out as well.
JB
The average number of flips I got for the last year is just under 5 per day and like you I was thinking of limiting it to no more than the average. I just have to modify my code when I get a bit of spare time and see how it works. I will do this and let you know.
Don't know how many profitable days that will take us out of but it sure as hell wouldn't allow the account wreckers that my interpretation of this system allows.
Course if I don't understand his model then the worst days are only negative ~2%
I have offered Hayman data to use so perhaps he can help us out as well.
JB
Quote from Turok:
>From what I can tell looking at your posts you do
>not understand the model at all.
Ok, So I don't understand your model at all.
On 9/19...
A: where was your "upper limit" placed and where was your "bottom limit" placed? (Mine were within your prescribed "0.1% - 0.25%.")
B: and where was your profit target? (I used your stated 1.042%).
Let's see if we can agree on the number of flips that day.
Did you use your "1000*(1.1^n)" at each flip or do you have some other formula that is more precise based on the delta between the lines? It is possible to code a formula that takes commissions and the expected slippage into account (say the spread plus some reasonable number based on the shares moved) and purchases just the perfect number of shares to overcome the loss. I have run the model using both such a formula and your "1000*(1.1^n)".
With this information it will be really easy to go through one days data and agree on the flips and shares traded.
If we greatly differ on the flips then we can determine where I have gone wrong.
Anyone else that has coded this I would encourage you to pipe up and tell us how many flips you got on that day.
Thanks
JB
First of all I want to apologize for my temper. I had a very bad day yesterday; I've got filled at $0.12 lower price then my limit order on 32,000 shares just because they did not cancel my GTC order from the day before! I have submitted my cancel order in the morning, they acknowledged that the order is canceled and then they filled me anyway! Bustards! No hard fillings I hope!
Anyway, KLAC
On 9/19 The price of the middle line was at (OpenBid + OpenAsk)/2 = 56.765. The "UpperLimit" was 56.79 and the bottom limit was 56.73. At that time I used $0.55 profit target(I always use 90% of the guaranteed swing just to be on the safe side, you can also use trailing stop which I use now all the time).
I got filled long at first on 1000 shares at 56.794 (average price between all the partial fills at 9:30:12) then I flipped it down with 1100 shares SHORT at 56.72 at 9:30:44. The Bid has never crossed my upper limit at 56.79, so at 9:54:21 I got filled covering my short at 56.18. That is it.
As I mentioned before I use some filtering on Bid/Ask utilizing 38 long FIR filter. I also use BidSize/AskSize indicator to help reducing flips. I have allowed only 11 flips and after that I just minimize my loss. The reason I only had 2.4% max losing day is because I was holding 3600 shares and was losing $0.18 on the end.
Guys, I know that it is not perfect but if you work at it and create your own variations you'll like it.
Regards,
hi abogdan. enjoying your thread.
i noticed that if you had a $30 stock, you need to up your initial amount of shares, or increase the flip multiplier amount (from 1.1 to a higher number), otherwise after only about 5 flips you would start getting negative.
assuming you start out with 1000 shares, assume $0.05 per each flip, it looks like 1.2 is the magic number so that no matter how many flips you need to do, your final profit when it does get to 1% profit will be the same.
is this observation correct?
i noticed that if you had a $30 stock, you need to up your initial amount of shares, or increase the flip multiplier amount (from 1.1 to a higher number), otherwise after only about 5 flips you would start getting negative.
assuming you start out with 1000 shares, assume $0.05 per each flip, it looks like 1.2 is the magic number so that no matter how many flips you need to do, your final profit when it does get to 1% profit will be the same.
is this observation correct?
Quote from simstim:
hi abogdan. enjoying your thread.
i noticed that if you had a $30 stock, you need to up your initial amount of shares, or increase the flip multiplier amount (from 1.1 to a higher number), otherwise after only about 5 flips you would start getting negative.
assuming you start out with 1000 shares, assume $0.05 per each flip, it looks like 1.2 is the magic number so that no matter how many flips you need to do, your final profit when it does get to 1% profit will be the same.
is this observation correct?
Absolutely!
I haven't been able to make it work for stocks under $45 - 50. Except stocks with beta >= 3.5 (AMAT).
RE Turok "That's funny abogdan. You come into a forum where the vast majority utilize some form of TA and make the blanket statement..."TA doesn't work". That would make YOU the guy who opposes pretty much everything EVERYONE has to say on this forum. (yes, that is an exaggeration, but the point stands)"
I enjoy reading abodan because he is not the traditional Technical analyst. I would not be reading Elite trader if all I read was tend lines, moving averages, and head and shoulder. I would suggest you be critical but not criticize just for the sake of being contrary. Anybody can kill an argument by stating absurdities and exaggerations.
I found the origional post chalanging and I am sure like most others on the post, tried the strategy out for themselves. What I found was that I missed some flips and there was slippage trying to get an execution. The problem with nasdaq is you can't put in sell stops or buy stops. Is there a way of putting in stop limits on NASDAQ.
Maybe we should be looking at NYSE stocks where they accept stop limits.
I enjoy reading abodan because he is not the traditional Technical analyst. I would not be reading Elite trader if all I read was tend lines, moving averages, and head and shoulder. I would suggest you be critical but not criticize just for the sake of being contrary. Anybody can kill an argument by stating absurdities and exaggerations.
I found the origional post chalanging and I am sure like most others on the post, tried the strategy out for themselves. What I found was that I missed some flips and there was slippage trying to get an execution. The problem with nasdaq is you can't put in sell stops or buy stops. Is there a way of putting in stop limits on NASDAQ.
Maybe we should be looking at NYSE stocks where they accept stop limits.
Quote from Roxyman:
The problem with nasdaq is you can't put in sell stops or buy stops. Is there a way of putting in stop limits on NASDAQ.
Maybe we should be looking at NYSE stocks where they accept stop limits.
You could try using Interactive Brokers Smart Exchange. They allow to execute stops, stop limits, MITs etc. It helps a lot!
Regards,