PositiveDev's trading journey

[jerpy]

I own GDX, GDXJ and UXG. I bought those on 24th October and intend to hold them for a long time. My knowledge of specific gold miners is very limited, I simply don't have the time to look into them.

 

Zeal LLC's analysis is very good. Check this out http://www.zealllc.c...11/cheaphui.htm

 

They sell reports on gold miners, http://www.zealllc.com/purchase.htm.

 

Thanks. Do occassionally read Zeal, I operate in reverse and don't usually have time to look beyond basic detail into charting, puts/options and general witchcraft to learn properly.

 

But I do make up for it a little by reading your excellent blog with interest

[littledavesab]

Had a look at Ray Dalio a while back courtesty of PosDev's blog. Some further browsing turned up this interesting find - his 100 guiding principles for his hedge fund employees and life

 

100+ page philosophy of success distributed to every employee.

 

http://www.bwater.com/home/culture--principles.aspx

 

 

[Perishabull]

I exited my GDX, GDXJ, and UXG today because of;

 

A sell signal triggered on GDX on the daily timeframe chart, (this has historically been reliable for me). I had intended to keep them for quite a bit longer.........

 

but....

 

 

....sell signal on E-Mini S&P 500 futures doesn't augur well for equities.

[Perishabull]

Question from BigMike on my other favourite forum, www.bigmiketrading.com.

Nicely done. Do you have any data on MAE and MFE' date=' or any risk data (how much you risked in order to get those results)?

 

Mike[/quote']

 

For this backtest I've noted the stop required to withstand initial market movements for all the winning signals, so this is effectively MAE + 0.25 of a point. The average for all winning signals is 1.23 Nasdaq points per signal.

 

The average MFE for all winning signals is 10.65 Nasdaq points.

 

The average result looking at all of the signals together is currently 3.1 Nasdaq points per signal.

 

Total points gained up to 3rd November 2011 is 222.5 after commissions.

 

The ratio of wins to losses has come down a bit now to 1.71 : 1.

 

All of the above is now based on 78 signals looked at so far, risking 3.25 Nasdaq points on each signal (so 253.5 Nasdaq points risked).

 

I should've finished this backtest by now but time have just evaporated today. I'll definitely have it finished tomorrow.

 

 

MAE = The Maximum Adverse Excursion, commonly abbreviated MAE, is a term used to measure how much a trade moves against you from the entry point, usually expressed in ticks. For example, if your entry price on a long position trade in Crude Oil is 76.00, and while you were in this trade the market moved against you to a low price of 75.75, this represents a MAE of 25 ticks (76.00 - 75.75).

 

MFE = The Maximum Favorable Excursion, commonly abbreviated MFE, is a term used to measure how much a trade moves in your favor from the entry point, usually expressed in ticks. For example, if your entry price on a long position trade in Crude Oil is 76.00, and while you were in this trade the market moved in your favor to a price of 76.50, this represents a MAE of 50 ticks (76.50 - 76.00).

[drbubb]

I am looking for "Split Straddles" now : like GOOG / AAPL

 

The Puts side would be GDX, and the Call?? (a gold miner with a good chart)

 

Any ideas?

 

(Question also posted on Van's Journal)

[Perishabull]

I exited my GDX, GDXJ, and UXG today because of;

 

A sell signal triggered on GDX on the daily timeframe chart, (this has historically been reliable for me). I had intended to keep them for quite a bit longer.........

 

but....

 

 

....sell signal on E-Mini S&P 500 futures doesn't augur well for equities.

 

S&P 500...$1259.25 +1.76%

GDX.............$62.31 +3.56%

GDXJ............$32.28 +2.12%

UXG...............$4.77 +5.10%

 

Well that's not looking too good so far now is it? (At least I didn't go short)

[Perishabull]

In backtesting my new strategy I've now been through all signals from 8th September 2011 until present.

 

86 signals

 

47 wins (55%)

 

24 losses (28%)

 

15 breakeven (17%)

 

 

72% of the signals reached the 4 point mark, the same percentage that I had when I was part way through the test.

 

 

The percentage splits have continued to be consistent throughout, the ratio of wins to losses is 1.96 : 1, so that's good. The total points gained over this 2 month period is 291.75 (after commissions). Total won points 391.50, total lost points 78 (before commissions). The ratio of total points won against lost is 5.02 : 1.

 

The longest string of losing trades was 4. There were only two separate strings of losing trades that were 3 in a row. The longest string of positive trades is 9 (with 1 breakeven in the middle), there was another string of 8 positive trades (again interspersed with 1 breakeven).

 

I keep a record of the minimum stop required to withstand initial adverse market movements, for the winning trades (so this is really MAE + 0.25 of a point). The average stop required for all winning signals has come down to 1.18 points. The MFE is up to 11.45 (the last few were particularly good ones).

 

 

 

I also calculated the average gain, taking into account all trades won, lost or breakeven, and that comes out at 3.64 per trade.

 

A plot of the cumulative points for this new strategy of mine;

 

 

 

 

 

 

Not too much variance around the mean trend line.

 

I am pleased about this however if I recall correctly Jeff Quinto advised that you should expect to get around 2/3rds of the results that a backtest would achieve in real world trading, even so it would still be good, based on this sample of 86 signals. Whatever way you look at it, it is still a small sample of signals, although based on the metrics so far it's quite an improvement on what I was using before.

 

Tomorrow I will have to re-write my rules and instructions based on this strategy, and collect typical examples of set-ups to print out and frame them (I have rules, instructions and example set-ups in A4 frames on the walls and desk around my workstation in my trading room - I converted a third bedroom into an office).

 

 

 

I just checked something else that is quite interesting - the MFE on exactly half of these signals, 43, was at least 10 points or more.

 

I've been back through the numbers as if I ran with this strategy as one whereby I had a 10 point target on each signal.

 

 

43 wins (50%)

 

24 losses (28%)

 

19 breakeven (20%)

 

so;

 

430 points won

 

78 points lost (24 X 3.25 stop)

 

So 352 points. Net of commissions this would result in total points won of 330.5.

 

 

I find that really surprising, I would have thought a strategy with a trailing stop would be better....(!)

 

 

The cumulative plot chart for a 10 point target;

 

 

 

The equity curve seems more stable than the strategy using an 8 point trailing stop...I suppose that makes sense. I'm trying to get my head around why using a fixed point target would be better than a trailing stop, I guess it must be that there simply not enough large trades in this sample to make it worthwhile.

 

I'll need to sleep on this and have a think about it tomorrow.

[Perishabull]

 

Banksy VS Damien Hirst

[Perishabull]

After doing some more tests today I'm going to have to go with the 10 point profit target strategy. Since I can't trade full time (yet) I looked at what happens to each of the two strategies when they are traded on and off, as in one week on, one week off (as I'll be doing). The 8 point trailing stop strategy suffers quite a bit, since a relatively small number of the trades account for a large share of the gains, whereas using a 10 point profit target strategy means the profits are spread more evenly out accross all the trades, meaning less impact from on-off trading.

[Perishabull]

I am looking for "Split Straddles" now : like GOOG / AAPL

 

The Puts side would be GDX, and the Call?? (a gold miner with a good chart)

 

Any ideas?

 

(Question also posted on Van's Journal)

 

I've not really been following specific gold miners, I simply don't have the time.

[Perishabull]

This is the MFE of each signal in ascending order ;

 

There are only 14 signals that achieve a better outcome with an 8 point trailing stop effectively showing that the 8 point trailing stop strategy is a more risky proposition than a fixed 10 point profit target strategy.

[drbubb]

What do you reckon, PD? Sell here?

 

Charles Nenner predicted the downturn - and also Major WAR in about one year

 

http://www.youtube.com/watch?v=S_sQG_2ymf4

 

July update

http://www.youtube.com/watch?v=RumlriHvyYg

 

"A bounce in stocks... But no Major Low until 2012"

"They are going to totally fail in Europe."

"Dow at 5,000 in three years or so."

 

DrBubb- "This a great place short FTSE." (5,550-5,600)

 

FTSE-100 / UKX ... update-2yrs : 4years

[Perishabull]

Four trades today;

 

 

1st and 2nd trades

 

I prefer to have a grey background these days so hopefully it's ok on your eyes folks. The arrows at the top/bottom of bars show the bar where the entry/exit took place, and the arrows to the side show the price level where the trade occured.

 

Went short at 14:45, filled at 2347.75, market sold off down to 2339.25. Since one of my new rules is to move to breakeven if the market moves 5 points in my favour, I moved my stop to 2347.75. Something slightly unwieldy happened when I placed the initial order. I have Multicharts set to automatically attach a bracket OCO order. So a fixed stop of 3.25 points along with a limit order to take profit at 10 points. For some reason Multicharts sent the bracket order into the market with double the number of contracts, and when I tried to amend the order it was rejected. It just meant when the position was stopped out, I also went long by one contract that I didn't want, and just closed it immediately, for a 0.25 point gain.

 

Next signal was short at 15:17, filled at 2357.25, the market then sold off down to as far as 2344.25, hitting my limit order in the process, for a 10 point gain. When I initiated this 2nd trade the same issue with the bracket orders occured, I just had to immediately cancel the bracket orders and re-enter the stop and limit orders manually.

 

I got through to Multicharts technical help, the guy didn't provide a clear answer as to what may have happened. I can only think I had two separate bracket order strategies on auto-attach, but he seemed to think that would result in the stop price and limit prices doubling, not the contract size. He was quite helpful though, and put a test order into the market many points away fom the price, and the bracket order attached properly after the settings were reset. There was also a buy signal at 15:52 (while I was on to technical help), that would have been stopped out at break-even anyway.

 

Third signal came at 19:12, went long at 2339.25, market sold off taking out my stop in the process for a 3.25 point loss.

 

Fourth signal came at 20:04, went long at 2334.75, the market edged higher, towards the close it appeared increasingly unlikely that the target of 2344.75 would be hit so I manually trailed the stop higher, before it got taken out at 2338, for a 3.25 point gain.

 

3rd and 4th trades

 

 

A gain of 9 points today (after commissions).

 

 

The 2nd trade was also signalled by my indicator on a larger timeframe;

[Perishabull]

What do you reckon, PD? Sell here?

 

I'd say it's worth a position.

 

 

I had a sell signal for S&P 500 on 9th November (old calculation);

A sell signal triggered on GDX on the daily timeframe chart, (this has historically been reliable for me). I had intended to keep them for quite a bit longer.........

 

but....

 

 

....sell signal on E-Mini S&P 500 futures doesn't augur well for equities.

 

And a double top sell signal on the NASDAQ triggered AM today (new calculation);

[Perishabull]

 

There were lots of decent moves today but I didn't get any signals to trade any of them. Went short at 15:50, filled at 2342.50, market sold off down to as low as 2335.25, market then rallied taking me out at 2342.25, leaving me flat for the day. Same issue as yesterday, Multicharts sending twice as many contracts for stop/bracket orders. I've upgraded to the latest version of the software so we'll see what happens next time I trade.

 

 

 

 

Outside

 

 

[Perishabull]

Currency divergence with E-Mini NASDAQ, EUR/USD, AUD/USD and AUD/JPY (19th Aug to 15th November);

 

This shows clear divergence between the NASDAQ and key currencies between 7th and 21st September, NASDAQ trending up whilst currencies are trending down, this tends to lead into corrections in the NASDAQ. More recently the Euro is diverging away from the pack.

 

 

 

Currency divergence with E-Mini NASDAQ, EUR/USD, AUD/USD and AUD/JPY (21st Oct to 16th November);

 

Looking more closely, recently there is clear divergence of the type that leads into a correction, similar in nature to the first chart between 15th and 21st of September, but not as pronounced. I understand EUR/USD is now at a 5 week low.

[Perishabull]

Had some more problems with Multicharts today, I had a buy signal at 15:37, filled at 2349 however Multicharts didn't send my stop order into the market with the opening order, nor did it show the orders on the chart, it was set to do this but for some reason it didn't appear. Due to this I closed the position immediately, for a 0.25 point loss. Back onto technical help, they advised to reset broker settings (symbol mapping), we did that, then I sent an order in to short with a 1 point stop to test it, it worked this time, and also the issue with the stops/bracket orders doubling the number of contracts seems to have now been resolved. The test trade got stopped out for a 1 point loss.

 

The original trade would have been stopped out for a 3.25 point loss, had I not had the technical issue, so it actually saved me 1.5 points.

 

Down 1.75 points (after commissions).

 

First trade entry (marked manually), and second trade.

[Perishabull]

Had a sell signal at 19:45, filled at 2356.75, the market sold off down to 2351, moved stop to breakeven. The market then rallied back to 2355.75, then started selling off again, down to as low as 2334 as I write this, therefore my limit order was taken out at 2346.75 for a 10 point gain.

 

 

A gain of 8 points today overall (after commissions)

[Perishabull]

The NASDAQ just cratered there;

 

 

Something to do with this perhaps?

 

"Fitch: U.S. bank outlook could worsen over Europe

 

Stories You Might Like

• The euro is dead. Long live the euro.
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By Wallace Witkowski SAN FRANCISCO (MarketWatch) -- Fitch Ratings said Wednesday that the credit outlook for U.S. banks can worsen if the euro-zone debt crisis is not resolved in a timely manner. "Fitch's current outlook for the industry is stable, reflecting improved fundamentals at most banks combined with ratings lower than at pre-crisis levels. However, risks of a negative shock are rising and could alter this outlook," the ratings agengy said. Fitch maintained Europe's sovereign debt crisis still poses a threat to U.S. banks even though the institions have reduced their exposure to the region over the past year."

[Perishabull]

E-mini S&P 500 3 month volume profile

 

E-mini S&P 500 6 month volume profile

 

E-mini Nasdaq 3 month volume profile

[Perishabull]

Had a buy signal shaping up for 16:26 however my indicator formed a further low at the same level, deferring the signal to 16:30, by this time the market had rallied 9 points from the low therefore I opted to pass on it, the probability for a further 10 point rally on a downtrend day appeared remote. As the market rallied just over 5 points above the signal point before selling off, it'd have resulted in a breakeven trade.

 

 

 

Buy signal at 17:45, filled at 2264.75, market ralled up to 2269.50, moved stop to 2264.50. This signal came just following a 15 minute, 28 point drop in the NASDAQ, I was looking for a very sharp short covering rally, but it didn't happen, market sold off down to 2258.75 on the next move down, taking me out at 2264.5 for a 0.25 point loss.

 

Buy signal spanned several days;

A nice clean buy signal this time.

 

Entry and exit;

 

In hindsight although the buy was 4 minutes after the low of the day, the market didn't stage any meaningful rally.

 

Down 0.5 points (after commissions)

[drbubb]

How about starting a CHART OF THE WEEK on Main.

-with a link back here, of course

[Perishabull]

Buy signal at 14:55, filled at 2262.50, market rallied up to 2268, moved stop to breakeven, market then came back taking out my stop at breakeven. The point where I bought was just prior to a difficult choppy phase...;

 

Signal

 

Trade;

 

 

There was another potential signal at 17:11 however it seemed marginal whether it was a valid signal or not, and it was quite similar to signals I took on my old strategy, and I'm deliberately avoiding those as they tended to result in 50/50 probability trades;

[Perishabull]

There was another potential signal at 17:11 however it seemed marginal whether it was a valid signal or not, and it was quite similar to signals I took on my old strategy, and I'm deliberately avoiding those as they tended to result in 50/50 probability trades;

 

This is important since the trades using my previous strategy (double tops/bottoms on my indicator) were not as high a probability as those using my new strategy, so I need to properly differentiate between the two, when trading.

 

I went back through my trade data from when I was trading between 1st March and 8th August, but re-assessed it to check what impact would be had by;

 

Using a 10 point profit target and stop moved to breakeven after 5 points.

 

It turns out 52% of the signals would have resulted in a profit, not much different to the 50/50 using the 8 point trailing stop strategy. Previously, only 61% of the signals reached the 4 point mark, whereas with the new strategy 72% of the signals reached the 4 point mark (during the backtest).

 

Previously with ThinkorSwim the data was not good, so in order not to be confused by many false signals I had to set my indicator to a 5 minute timeframe, effectively meaning I was always several minutes late getting into the trades.

 

In order to properly define what constitutes a signal I'll need to go through the full data set for the back test with my new strategy.

 

So far it seems reasonable to state that the diverging higher high/lower low in the NASDAQ needs to be at least 1.5 points beyond the prior high/low, and the PositiveDeviance Indicator needs to display a divergence the opposite way by 0.040. Also for the backtest I was using a 3 minute delay following the production of the high/low before the trade was classed as having been taken. I may shorten that to 2 minutes since the data is of a much higher quality now. I may also annotate the charts more during trading, as part of the process leading up to getting into the market.

 

NASDAQ to HH/LL>1.5

PDI point to point >0.040

 

[up to MT DBDT DIVERGENCE 16/09/11]

[Perishabull]

I can only trade the US afternoon session this week.

 

There was a beautiful buy signal earlier on, coming just after the low of the day (so far at least);

 

 

However there was also a sell signal, in my absence, at a less than favourable time;