Kudos to MMs

[nitro]

Quote from Maverick74:

Nitro, for the record, are you still short? You entered a short position on Feb 3rd, about 5 weeks ago at 1302 and you never really gave an update on that even though SPX and FV have converged several times. Just wondering...

No. That is one of the useful thing about this model, I know when it goes off the rails. When it does, I automatically exit market.

In retrospect, I think the model didn't completely go off the rails, it actually gave useful information. The problem was that it was not tradeable within the system. But a good trader that just used the model as input, would have been looking for a useful short entry point. That is why I said 1342 was fateful.

The short there, if you believed the model was telling you something useful about the general trend, and then you used that information and chose a good entry point, would have netted 30 handles within days. Sort of the way you trade ACD. Not my style, or I should say my end goal with this, but certainly a way to trade.

 

[Maverick74]

Quote from nitro:

No. That is one of the useful thing about this model, I know when it goes off the rails. When it does, I automatically exit market.

Oh. When did you cover? When did you notice or do you even determine when the model goes off the rails? In other words, how would you differentiate between off the rails and an opportunity to profit i.e FV being 1330 when the s&p is 1300 let's say.

 

[nitro]

Quote from Maverick74:

Oh. When did you cover? When did you notice or do you even determine when the model goes off the rails? In other words, how would you differentiate between off the rails and an opportunity to profit i.e FV being 1330 when the s&p is 1300 let's say.

Because the parameter inverted negative, which signals that I have a problem (I can't go into it). I noticed it the following Monday.

 

[johnnyqpublic]

Quote from nitro:

Because the parameter inverted negative, which signals that I have a problem (I can't go into it). I noticed it the following Monday.

If I'm not mistaken, you've stated previously that you don't backtest, due to unavailability of historical data that you would need to do so. Is this still the case?

 

[nitro]

Quote from johnnyqpublic:

If I'm not mistaken, you've stated previously that you don't backtest, due to unavailability of historical data that you would need to do so. Is this still the case?

Yes.

 

[stock777]

would one of the inputs be the comments left on this thread in response to the signals. That would be about the only thing not available to backtest.

 

[Pekelo]

OK, let's have a reality check, shall we?

Quote from nitro:

FWIW. SPX 1321.08. FV 1315.29.

This was yesterday, indicating a short would be profitable. Of course the market went higher, but if held, it was still good for a breakeven at least.

Quote from nitro:

FWIW: SPX 1321.82. FV 1335.12.

This is from today's morning, indicating a long was in order. The market quickly tanked after that, and although recovered, tanked again. It came back for the 2nd time for a breakevenish, but if held, it would be in deep red by now, since the market is now 15 points below that after the close.

So the evaluation of the new system: very much not impressed. After 2 tries, no profitable predictive value....

By the way maybe posting some trades would also help, because just posting differences doesn't tell the whole picture...

 

[stock777]

look at it this way, we may have the fade of the century right here on good old et.

 

[nitro]

FWIW: SPX 1298.17. FV 1323.02.

Given that FV is above SPX, that is a huge difference - probably ranks as one of the biggest if not the biggest divergence I have seen on a long edge since I started "FV".

 

[dont]

OK now I suppose it will get stuck permanently above the index while the index plummets and makes new lows.