Combo-MF, a simple and robust trading strategy ?!?

[pdp-brugge]

Using the time free because of the current neutral state the 20DMF is in, I did some back testing to find an easy trading strategy.
I have written a paper about it and publish it here.
Because my native language is Dutch there is a possibility that my writing in English is not perfect.
I have only been trading for 1½ year and consider myself still very novice.
There are certainly more brighter and more experienced people in this forum.
The idea behind this paper is to obtain feedback.
The results are quite good to my personal humble opinion.
Maybe too good to be true…
Any feedback is more than welcome

PdP-Brugge

13180

[Pascal]

Using the time free because of the current neutral state the 20DMF is in, I did some back testing to find an easy trading strategy.
I have written a paper about it and publish it here.
Because my native language is Dutch there is a possibility that my writing in English is not perfect.
I have only been trading for 1½ year and consider myself still very novice.
There are certainly more brighter and more experienced people in this forum.
The idea behind this paper is to obtain feedback.
The results are quite good to my personal humble opinion.
Maybe too good to be true…
Any feedback is more than welcome

PdP-Brugge

13180

This is really great work PDP.
I understand that it took you much time.
I encourage trading this with GDX as you suggested, because it will give you much confidence to trade a system that you have back-tested.

Regarding the "poor" results for IWM in 2011: 15.85%, against SPY: 22.43%.
This is not normal, as both trades are entered as the same dates.
I suspect that there is maybe a calculaton or data error somewhere for that year.
You might check the data trade by trade: you pull IWM/SPY data from the Yahoo historical site and then compare the entry/exit prices of your system for each trade. Since there are only 10 trades per year, this should be very quick.


Pascal

[pdp-brugge]

I did some text correcting and some layout changes and inclose the updated document here

13183

[pdp-brugge]

Pascal,

I do not find the error in the quotes that you state.
I suppose that the correlation between SPY - IWM - QQQQ is not always optimal and for the trades that the Combo-MF has generated, the IWM came in with the worst timing

I enclose my excel sheet for these period:

13184

[Pascal]

Pascal,

I do not find the error in the quotes that you state.
I suppose that the correlation between SPY - IWM - QQQQ is not always optimal and for the trades that the Combo-MF has generated, the IWM came in with the worst timing

I enclose my excel sheet for these period:

13184

Ok. I trust this is correct then.
Another note: I see that you are using the opening price in your calculations.
The 20DMF is an EOD signal. Hence, a short signal on 9/21/2011 for example, is only 20DMF activated at the EOD of 9/21.
You might check that too.


Pascal

[pdp-brugge]

I have checked that too.
The 20DMF was on 9/20/2011 in cash and on 9/21/2011 in short mode.
The Vstpro was on 9/20/2011 in SHORT and stayed so on 9/21/2011.
That is the reason that the Combo-MF went one day before the 20DMF in SHORT mode and hence had a better timing.

PdP

[Pascal]

I have checked that too.
The 20DMF was on 9/20/2011 in cash and on 9/21/2011 in short mode.
The Vstpro was on 9/20/2011 in SHORT and stayed so on 9/21/2011.
That is the reason that the Combo-MF went one day before the 20DMF in SHORT mode and hence had a better timing.

PdP

This is great, because your returns will be even better when you'll use the 20DMF RT signals.


Pascal

[Harry]

PdP,

Thank you for sharing! I hope to finish my own backtesting, though I doubt it'll ever achive returns as great as these.

Harry

[manucastle]

Using the time free because of the current neutral state the 20DMF is in, I did some back testing to find an easy trading strategy.
I have written a paper about it and publish it here.
Because my native language is Dutch there is a possibility that my writing in English is not perfect.
I have only been trading for 1½ year and consider myself still very novice.
There are certainly more brighter and more experienced people in this forum.
The idea behind this paper is to obtain feedback.
The results are quite good to my personal humble opinion.
Maybe too good to be true…
Any feedback is more than welcome

PdP-Brugge

13180

Will you be posting your signals here going forward ?

Trev

[pdp-brugge]

Thanks for the feedback.

I am going to share the status of Combo-MF in this thread.

The VStpro model is LONG since October 6, 2011
The 20DMF is NEUTRAL since January 4, 2012
Following my judgement the Combo-MF is LONG
The PM MF has turned SHORT on March 2, 2012
I am personally long TQQQ since January 5, 2012 and am going long DUST tomorow March 5th at the open.

Disclosure: this information is not an investment advice on what to trade next

[mklein9]

PdP, this is very interesting work and I for one am very interested in how it looks with more analysis and feedback from other members.

While the EV RT system may work well, I am no longer in the position of being able to use it as I am suddenly working at a real job (startup) and cannot react during the day to RT signals. Infrequent trade setups before the open is a strategy that is quite attractive to me.

Thank you for the initiative and the analysis work.

-Mike

[manucastle]

Thanks for the feedback.

I am going to share the status of Combo-MF in this thread.

The VStpro model is LONG since October 6, 2011
The 20DMF is NEUTRAL since January 4, 2012
Following my judgement the Combo-MF is LONG
The PM MF has turned SHORT on March 2, 2012
I am personally long TQQQ since January 5, 2012 and am going long DUST tomorow March 5th at the open.

Disclosure: this information is not an investment advice on what to trade next

Thanks PdP, I will be watching with interest.

Trev

[Pascal]

Thanks for the feedback.

I am going to share the status of Combo-MF in this thread.

The VStpro model is LONG since October 6, 2011
The 20DMF is NEUTRAL since January 4, 2012
Following my judgement the Combo-MF is LONG
The PM MF has turned SHORT on March 2, 2012
I am personally long TQQQ since January 5, 2012 and am going long DUST tomorow March 5th at the open.

Disclosure: this information is not an investment advice on what to trade next

PDP,

I like the idea of using the MF/EV method with other methods.
Since you want to continue updating us with the method results, I will be this thread "sticky," so that it appears at the top of the list.


Pascal

[pdp-brugge]

Pascal,

Thanks for making this threat “sticky”. I am going to post each day the current settings of the Combo-MF model.
The research/back tests that I have done on the Combo-MF idea is just a mind teaser for me. I want to learn to trade in a professional way and become good at it.
I have the time to learn and a serious technical background in accounting and software development. I am not visual skilled and find it very hard to see, recognize or trust patterns on a quote chart. Therefore I look at numbers and try to find patterns or connections between the different numerical information that is at hand in the financial market.
My intention is to create a mechanical trading system that I can trust because I have back tested it myself. Such a system must have as few as possible decision knobs because otherwise I find it too rigid for failures.
I have a way that I trust my intuition but only after I have trustworthy evidence. My intuition tells me that there should be a way to build a mechanical trading system with the EV data at hand for trading the best stocks in the best sectors. A mechanical trading system that I would trust would have to work without human intervention to exclude the most common errors in trading: fear and greed.
I have some ideas and would like to do thorough research and back testing. Since I only have been a member of this forum since October 2011, I only have 5 months of EV data on individual stocks.
Is there a way that I can obtain EV data for individual stocks as far back as possible?
I think I would need the values “Strength Aver Tot EV”, “Extension Tot EV”, “LER” and “Rating” for each stock for every day.
How can I collect this information?
PdP

[ernsttanaka]

PdP

Impressive work -- Looking at your research I have one remark. It seems you backtested the years 2007 till 2011. This period has been exceptional. Indexes and all stocks had a enormous correlation. Stockpicking skill were not really rewarded in comparison with good directional calls on the indexes.

This will not always be the case. I personally expect (pretty soon) a period were the indexes will have modest change but some individual stock will do extremely well.

Thank you for sharing your work.

Ernst

[pdp-brugge]

Update for March 6, 2012

Status MFs:
The VStpro model is LONG since October 6, 2011
The 20DMF is NEUTRAL since January 4, 2012
Following my judgement the Combo-MF is still LONG
The PM MF has turned SHORT on March 2, 2012

My current trades:
I am personally long TQQQ since January 5 and I am long DUST since March 5

Possible changes:
If the 20DMF is EOD below 0 and the Avg Tev of the four inversed ETFs is higher than 4%, then the 20DMF will go SHORT
The VSTpro will remain LONG as long as the moving average of the S&P500 is not going down for 2 days in a row (this is part of the code behind the VSTpro MF)
So there is a possibility that the Combo-MF might go to CASH at the end of this day

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for March 7, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is SHORT since March 6, 2012
Following my judgement the Combo-MF is now in CASH
The PM MF has turned SHORT on March 2, 2012

My current trades:
I am personally long DUST since March 5
My long TQQQ trade has hit his trailing stop-loss yesterday but would have closed today at the open anyway because of the conflict between VSTpro and 20DMF

Possible changes:
If the VSTpro goes SHORT EOD then the Combo-MF will also go SHORT
The VSTpro will go SHORT if the moving average of the S&P500 is going down for 2 days in a row, if the high of the day is above the moving average and if the close is lower then the open (part of the proprietary code of the VSTpro)
So there is a possibility that the Combo-MF might go to SHORT at the end of this day

Disclaimer: this information is not an investment advice on what to trade next

[lguthrienyc]

PdP,

Thank You for sharing your terrific work and daily updates.

Lee

[pdp-brugge]

Update for March 8, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is SHORT since March 6, 2012
Following my judgement the Combo-MF remains in CASH
The PM MF has turned SHORT on March 2, 2012

My current trades:
I am personally long DUST since March 5

Possible changes:
Because the slope of the moving average of the S&P500 went up again yesterday, there is no possibility that the VSTpro will go SHORT at the end of the day.
Therefor the Combo-MF will stay in CASH tomorrow unless the 20DMF goes LONG again.
If the Money Flow of the 20DMF goes above 0 EOD then the 20DMF will go to NEUTRAL and then the Combo-MF will go LONG again tomorrow.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for March 9, 2012

This post is written directly after the market closing time because I am going on a holiday and have a plane to catch tomorrow very early in the morning.

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still SHORT since March 6, 2012
Following my judgement the Combo-MF remains in CASH
The PM MF has turned SHORT on March 2, 2012

My current trades:
I am personally long DUST since March 5

Possible changes:
Because the slope of the moving average of the S&P500 went up again on Wednesday and also today, there is no possibility that the VSTpro will go SHORT at the end of the trading day (Friday March 9).
If the Money Flow of the 20DMF goes above 0 at the end of the trading day (Friday March 9) then the 20DMF will go to NEUTRAL and then the Combo-MF will go LONG again on Monday.

Disclaimer: this information is not an investment advice on what to trade next

[lisa]

pascal,

thanks for posting these and for paper you wrote regarding your studies!

have a great holiday,
lisa

[pdp-brugge]

Update for March 12, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still SHORT since March 6, 2012
Following my judgement the Combo-MF remains in CASH
The PM MF has turned SHORT on March 2, 2012

My current trades:
I am personally long DUST since March 5

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of the trading day Monday March 12.
If the 20DMF goes to NEUTRAL at EOD Monday then the Combo-MF will go LONG again on Tuesday.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for March 13, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still SHORT since March 6, 2012
Following my judgement the Combo-MF remains in CASH
The PM MF has turned SHORT on March 2, 2012

My current trades:
I am personally long DUST since March 5

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of this trading day.
If the 20DMF goes to NEUTRAL at EOD today then the Combo-MF will go LONG again tomorrow.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for March 14, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF has gone NEUTRAL yesterday March 13, 2012
Following my judgement the Combo-MF goes now again to LONG
The PM MF has turned SHORT on March 2, 2012

My current trades:
I am personally long DUST since March 5 and will enter long TQQQ at the open today

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of this trading day.
Unless the 20DMF goes back to SHORT at EOD today, the Combo-MF will remain LONG tomorrow.

Disclaimer: this information is not an investment advice on what to trade next

[lisa]

Update for March 14, 2012

The VStpro model is still LONG since October 6, 2011


pascal,

can you elaborate on the vstpro signal without giving away its proprietary components? i'm just trying to understand it a little better.

thanks for posting these signals,
lisa

[pdp-brugge]

Lisa,

The VSTpro uses a MA te detect his market direction.
If the MA goes down 2 days in a row and the close is below the MA and the high was above the MA, then the VSTpro will signal a SHORT signal.
It will remain SHORT until a LONG signal is given.
A LONG signal is given by the VSTpro if the close is above the MA and the low is higher then the low of the previous day.
That's basically it.
There are a few extra tests to avoid whipsaws but these are, to my knowledge, just cosmetic.
The trick is to find the right MA for the instrument in question.
My experience tells my (through back testing) that a 14 days simple is the best for the S&P500 index.
I hope this will satisfy your hunger for knowledge

PdP

[lisa]

Lisa,

The VSTpro uses a MA te detect his market direction.
If the MA goes down 2 days in a row and the close is below the MA and the high was above the MA, then the VSTpro will signal a SHORT signal.
It will remain SHORT until a LONG signal is given.
A LONG signal is given by the VSTpro if the close is above the MA and the low is higher then the low of the previous day.
That's basically it.
There are a few extra tests to avoid whipsaws but these are, to my knowledge, just cosmetic.
The trick is to find the right MA for the instrument in question.
My experience tells my (through back testing) that a 14 days simple is the best for the S&P500 index.
I hope this will satisfy your hunger for knowledge

PdP

thanks, pascal! very helpful.
lisa

[Harry]

Hi PdP,

Thanks for the updates and info. I am following along ...

How do you handle when say: MA goes down for just one day but that down day also pushes the close below the MA. On day two, price never breaks above MA (decreases further) and hence, according to the rules as I understand them, it cannot go short. Does you continue to hold the long position? I can envision at times being trapped in a long position. Am I missing something?

Harry

[pdp-brugge]

Harry,

That is one of the faults of the VSTpro: going (and staying) below the MA at a time that the slope of that MA is not going down for two days in a row yet.
This kind of a situation does not happen frequently but it can (and it has) happened.
Therefor I started to do some research in combining the VSTpro with another market trend filter, in my case the 20DMF.
The 20DMF also has its flaws. For example just missing by 0.3 the level of OS and therefor not going long end December 2011.
The Combo-MF, which is a combination of the VSTpro and 20DMF, proves to be working all the time, because it is a model that goes to a neutral state if both "parents" do not agree.

PdP

[pdp-brugge]

Update for March 15, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is still SHORT since March 2 but oversold since yesterday March 14

My current trades:
I am personally long TQQQ since yesterday March 14
I closed my long DUST trade yesterday due to the GDX Intraday Comment and one of best trades yet (27,25% in 9 trading days)
I am staring a new NUGT trade at the open today

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of this trading day.
Unless the 20DMF goes back to SHORT at EOD today, the Combo-MF will remain LONG tomorrow.

Disclaimer: this information is not an investment advice on what to trade next

[yakovcohen45]

Daer Pdp.

Excellent work !!!

Can you share with us where you are getting the VST pro data for each day (Long or Short) ?

Thank you and again wonderful work !

Yakov Cohen

[pdp-brugge]

Update for March 16, 2012

I am writing this just after the close of March 15 because tomorrow I will not have any internet connection

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is still SHORT since March 2 but oversold since March 14

My current trades:
I am personally long TQQQ since March 14 and long NUGT since March 15

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of the next trading day.
Unless the 20DMF goes back to SHORT at EOD tomorrow, the Combo-MF will remain LONG for the Monday session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for March 19, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is still SHORT since March 2 but oversold since March 14

My current trades:
I am personally long TQQQ since March 14 and long NUGT since March 15

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of the next trading day.
Unless the 20DMF goes back to SHORT at EOD today, the Combo-MF will remain LONG for the Tuesday session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for March 20, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is still SHORT since March 2

My current trades:
I am personally long TQQQ since March 14 and long NUGT since March 15
I am going to close my NUGT trade at the opening today

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of the next trading day.
Unless the 20DMF goes back to SHORT at EOD today, the Combo-MF will remain LONG for the Wednesday session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for March 21, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is still SHORT since March 2
The GDX RT is still LONG since March 14

My current trades:
I am personally long TQQQ since March 14
I am going to open a new long trade in GDX at the open today

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of the next trading day.
Unless the 20DMF goes back to SHORT at EOD today, the Combo-MF will remain LONG for the Thursday session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for March 22, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is still SHORT since March 2
The GDX RT is still LONG since March 14

My current trades:
I am personally long TQQQ since March 14 and long GDX since March 21

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of the next trading day.
Unless the 20DMF goes back to SHORT at EOD today, the Combo-MF will remain LONG for the Friday session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for March 23, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is still SHORT since March 2
The GDX RT is still LONG since March 14

My current trades:
I am personally long TQQQ since March 14 and long GDX since March 21

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of the next trading day.
Unless the 20DMF goes back to SHORT at EOD today, the Combo-MF will remain LONG for the Monday session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for March 26, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is LONG since March 23
The GDX RT is still LONG since March 14

My current trades:
I am personally long TQQQ since March 14 and long GDX since March 21

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of the next trading day.
Unless the 20DMF goes back to SHORT at EOD Monday, the Combo-MF will remain LONG for the Tuesday session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for March 27, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is LONG since March 23
The GDX RT is SHORT since March 26

My current trades:
I am personally long TQQQ since March 14 and long GDX since March 21

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of the next trading day.
Unless the 20DMF goes back to SHORT at EOD today, the Combo-MF will remain LONG for the Wednesday session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for March 28, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is LONG since March 23

My current trades:
I am personally long TQQQ since March 14 and long GDX since March 21
I will open a new trade long SMN at the open today

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of the next trading day.
Unless the 20DMF goes back to SHORT at EOD today, the Combo-MF will remain LONG for the Thursday session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for March 30, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is still LONG since March 23

My current trades:
I am personally long TQQQ since March 14, long GDX since March 21 and long SMN since March 28

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of the next trading day.
Unless the 20DMF goes back to SHORT at EOD today, the Combo-MF will remain LONG for the Monday session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for April 2, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is still LONG since March 23

My current trades:
I am personally long TQQQ since March 14, long GDX since March 21 and long SMN since March 28

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of the next trading day.
Unless the 20DMF goes back to SHORT at EOD today, the Combo-MF will remain LONG for the Tuesday session.

Disclaimer: this information is not an investment advice on what to trade next

[yakovcohen45]

PdP,

Why are not you trading the NUGT instead of the GDX when the RT and EOD are in the same direction ?

Yakov.

[pdp-brugge]

Good remark Yakov !
That was the same thought that I had during the weekend...
I have changed my trade today and sold GDX and bought NUGT.

PdP

[pdp-brugge]

Update for April 3, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is still LONG since March 23

My current trades:
I am personally long TQQQ since March 14, long NUGT since April 2 and long SMN since March 28

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of the next trading day.
Unless the 20DMF goes back to SHORT at EOD today, the Combo-MF will remain LONG for the Wednesday session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for April 4, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is still LONG since March 23

My current trades:
I am personally long TQQQ since March 14, long NUGT since April 2 and long SMN since March 28

Possible changes:
Because the slope of the moving average of the S&P500 is still going up, there is no possibility that the VSTpro will go SHORT at the end of the next trading day.
Unless the 20DMF goes back to SHORT at EOD today, the Combo-MF will remain LONG for the Thursday session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for April 5, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is SHORT since April 4

My current trades:
I am personally long TQQQ since March 14 and long SMN since March 28
My NUGT trade had a stop-loss and I have opened a new long trade in DUST yesterday

Possible changes:
The slope of the moving average of the S&P500 is started going down yesterday. There is a possibility that the VSTpro will go SHORT at the end of the next trading day.
If this happens and if the 20DMF stays neutral at EOD today, then the Combo-MF will go to CASH for the Monday session.
If the VSTpro goes SHORT and the 20DMF also goes SHORT at EOD today, then the Combo-MF will also go SHORT for the next session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for April 9, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still NEUTRAL since March 13
Following my judgement the Combo-MF is LONG
The PM MF is SHORT since April 4

My current trades:
I am personally long TQQQ since March 14, long SMN since March 28 and long DUST since April 4

Possible changes:
The slope of the moving average of the S&P500 has gone down now two days in a row.
Due to other supplementary tests, the VSTpro remains however LONG for the moment.
There is still a possibility that the VSTpro will go SHORT at the end of the following trading day.
If this happens and if the 20DMF stays neutral at EOD today, then the Combo-MF will go to CASH for next session.
If the VSTpro goes SHORT and the 20DMF also goes SHORT at EOD today, then the Combo-MF will also go SHORT for the next session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for April 11, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF has turned SHORT yesterday
Following my judgement the Combo-MF is now in CASH due to the conflict between VSTpro and 20DMF
The PM MF has turned LONG yesterday

My current trades:
I am personally long SMN since March 28, long NUGT since April 10 and long SIJ since April 10

Possible changes:
The slope of the moving average of the S&P500 is still going down.
Due to other supplementary tests, the VSTpro remains however LONG for the moment.
There is still a possibility that the VSTpro will go SHORT at the end of the following trading day.
If this happens and if the 20DMF stays SHORT at EOD today, then the Combo-MF will go SHORT for next session.
However, if the VSTpro remains LONG and the 20DMF goes again to CASH at EOD today, then the Combo-MF will go LONG again for the next session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for April 12, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still SHORT since April 10
Following my judgement the Combo-MF remains in CASH due to the conflict between VSTpro and 20DMF
The PM MF is still LONG since April 10

My current trades:
I am personally long SMN since March 28, long NUGT since April 10 and long SIJ since April 10

Possible changes:
The slope of the moving average of the S&P500 is still going down.
Due to other supplementary tests, the VSTpro remains however LONG for the moment.
There is still a possibility that the VSTpro will go SHORT at the end of the current trading day.
If this happens and if the 20DMF stays SHORT at EOD today, then the Combo-MF will go SHORT for next session.
However, if the VSTpro remains LONG and the 20DMF goes again to CASH at EOD today, then the Combo-MF will go LONG again for the next session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for April 13, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF has gone to CASH yesterday
Following my judgement the Combo-MF is now again LONG
The PM MF is still LONG since April 10

My current trades:
I am personally long SMN since March 28, long NUGT since April 10 and long SIJ since April 10
I have opened a new trade long TQQQ yesterday just before the close

Possible changes:
The slope of the moving average of the S&P500 is still going down.
Due to other supplementary tests, the VSTpro remains however LONG for the moment.
There is still a possibility that the VSTpro will go SHORT at the end of the current trading day.
If this happens and if the 20DMF stays in CASH at EOD today, then the Combo-MF will again go to CASH for next session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for April 16, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF has again gone SHORT in the Friday session
Following my judgement the Combo-MF is now again in CASH due to the conflict between 20DMF and VSTpro
The PM MF is still LONG since April 10

My current trades:
I am personally long SMN since March 28, long NUGT since April 10 and long SIJ since April 10
I have closed my long TQQQ trade Friday just before the close

Possible changes:
The slope of the moving average of the S&P500 is still going down.
Due to other supplementary tests, the VSTpro remains however LONG for the moment.
There is still a possibility that the VSTpro will go SHORT at the end of the next trading day.
If this happens and if the 20DMF stays SHORT at EOD, then the Combo-MF will go SHORT for following session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for April 17, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still SHORT since April 13
Following my judgement the Combo-MF is in CASH due to the conflict between 20DMF and VSTpro
The PM MF is still LONG since April 10

My current trades:
I am personally long SMN since March 28, long NUGT since April 10 and long SIJ since April 10

Possible changes:
The slope of the moving average of the S&P500 is still going down.
Due to other supplementary tests, the VSTpro remains however LONG for the moment.
There is still a possibility that the VSTpro will go SHORT at the end of the next trading day.
If this happens and if the 20DMF stays SHORT at EOD, then the Combo-MF will go SHORT for the following session.
If however the 20DMF goes to CASH at EOD, then the Combo-MF will go LONG again for the following session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Update for April 18, 2012

Status MFs:
The VStpro model is still LONG since October 6, 2011
The 20DMF is still SHORT since April 13
Following my judgement the Combo-MF is in CASH due to the conflict between 20DMF and VSTpro
The PM MF is still LONG since April 10

My current trades:
I am personally long SMN since March 28, long NUGT since April 10 and long SIJ since April 10

Possible changes:
The slope of the moving average of the S&P500 is still going down.
Due to other supplementary tests, the VSTpro remains however LONG for the moment.
There is still a possibility that the VSTpro will go SHORT at the end of the next trading day.
If this happens and if the 20DMF stays SHORT at EOD, then the Combo-MF will go SHORT for the following session.
If however the 20DMF goes to CASH at EOD, then the Combo-MF will go LONG again for the following session.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Nearly all of the tests necessary for the VSTpro to go SHORT are fulfilled today.
The possibility that the VSTpro goes SHORT at end of this session is very high.
If that happens, then the Combo-MF will go from CASH to SHORT.
The final condition is CLOSE being lower than the OPEN.
I will open a new long trade SQQQ just before the close if all the conditions are met.

PdP

[pdp-brugge]

Status MFs:
The VStpro model has gone SHORT yesterday
The 20DMF is still SHORT since April 13
Following my judgement the Combo-MF is now also SHORT
The PM MF is still LONG since April 10

My current trades:
I am personally long SMN since March 28, long NUGT since April 10 and long SIJ since April 10
I have opened a new long trade in SQQQ yesterday just before the close

Possible changes:
The primary condition for the VSTpro to go LONG again is crossing up of the MA by the S&P500.
Because we are present so near to that MA, the possibility is (for now) rather high.
If this does not happen and unless the 20DMF goes LONG (not very possible now) then the Combo-MF stays SHORT.
Even if the 20DMF goes to CASH then the Combo-MF will remain SHORT.
The important thing to watch for is a close above the MA by the S&P500.
There are other tests as well but the crossing up of the MA is significant.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still SHORT since April 18
The 20DMF is still SHORT since April 13
Following my judgement the Combo-MF is SHORT
The PM MF is still LONG since April 10

My current trades:
I am personally long SMN since March 28, long NUGT since April 10, long SIJ since April 10 and long SQQQ since April 19

Possible changes:
The primary condition for the VSTpro to go LONG is crossing up of the MA by the S&P500.
Because we are still so near to that MA, the possibility is rather high.
If today the close of the S&P500 is above 1386.09 (= 0.67%) then this condition is met.
Although the VSTpro model has several conditions before going LONG, the crossing of the MA is significant and necessary.
If this does not happen and unless the 20DMF goes LONG then the Combo-MF stays SHORT.
Even if the 20DMF goes to CASH then the Combo-MF will remain SHORT.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still SHORT since April 18
The 20DMF is still SHORT since April 13
Following my judgement the Combo-MF is SHORT
The PM MF is still LONG since April 10

My current trades:
I am personally long SMN since March 28, long NUGT since April 10, long SIJ since April 10 and long SQQQ since April 19

Possible changes:
The primary condition for the VSTpro to go LONG is crossing up of the MA by the S&P500.
Because we are still so near to that MA, the possibility is rather high.
If today the close of the S&P500 is above 1382.98 (= 0.32%) then this condition is met.
Although the VSTpro model has several conditions before going LONG, the crossing of the MA is significant and necessary.
If this does not happen and unless the 20DMF goes LONG then the Combo-MF stays SHORT.
Even if the 20DMF goes to CASH then the Combo-MF will remain SHORT.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still SHORT since April 18
The 20DMF is still SHORT since April 13
Following my judgement the Combo-MF is SHORT
The PM MF is SHORT since April 23

My current trades:
I am personally long SMN since March 28, long SIJ since April 10 and long SQQQ since April 19

Possible changes:
The primary condition for the VSTpro to go LONG is crossing up of the MA by the S&P500.
Because we are still so near to that MA, the possibility is rather high.
If today the close of the S&P500 is above 1379.40 (= 0.90%) then this condition is met.
Although the VSTpro model has several conditions before going LONG, the crossing of the MA is significant and necessary.
If this does not happen and unless the 20DMF goes LONG then the Combo-MF stays SHORT.
Even if the 20DMF goes to CASH then the Combo-MF will remain SHORT.

Disclaimer: this information is not an investment advice on what to trade next

[Billy]

Status MFs:
The PM MF is still LONG since April 10



No, the PM MF is SHORT since April 23.
Billy

[pdp-brugge]

Sorry
You are right - I only paid attention to the VSTpro and 20DMF
I will correct my post

[pdp-brugge]

Status MFs:
The VStpro model is still SHORT since April 18
The 20DMF is still SHORT since April 13
Following my judgement the Combo-MF is SHORT
The PM MF is SHORT since April 23

My current trades:
I am personally long SMN since March 28, long SIJ since April 10 and long SQQQ since April 19

Possible changes:
The primary condition for the VSTpro to go LONG is crossing up of the MA by the S&P500.
Because we are still so near to that MA, the possibility is rather high.
If today the close of the S&P500 is above 1377.33 (= 0.39%) then this condition is met.
Although the VSTpro model has several conditions before going LONG, the crossing of the MA is significant and necessary.
If this does not happen and unless the 20DMF goes LONG then the Combo-MF stays SHORT.
Even if the 20DMF goes to CASH then the Combo-MF will remain SHORT.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

The S&P500 has been above the MA since the open today.
This sets the primary condition for the VSTpro to go again LONG.
An other condofition is that the low of today must be below the MA.
This means that the S&P500 has to drop below 1377.33 and go up again to trigger the LONG signal.
For the moment is the S&P500 in the neighborhood of 1385.
The odds are low for a trigger today, I presume.
The VSTpro will remain SHORT unless the trigger is pulled.

PdP

[pdp-brugge]

Status MFs:
The VStpro model has gone LONG again yesterday.
The 20DMF is still SHORT since April 13.
Following my judgement the Combo-MF is now in CASH due to the conflict between VSTpro and 20DMF.
The PM MF is SHORT since April 23.

Note
To my supprise, the VSTpro model signaled a LONG signal yesterday. There is a condition that stated that the low of the day must be below the MA at the time of an upward crossing of the MA. Yesterday, the low was way above the MA. But still the VSTpro signaled a LONG signal. I did a very deep dive into the VSTpro coding and found that the close of the previous day was taken in consideration too for a test below the MA.
Sorry about my intraday comment of yesterday. It was premature.

My current trades:
I am personally long SMN since March 28 and long SIJ since April 10.
I am closing the long SQQQ at the open today.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. This is still true. The second condition for the VSTpro to go SHORT is a close below the open. If this happens then the VSTpro will go SHORT again. There are other conditions as well but these two are very important and necessary. If the VStpro goes SHORT again and the 20DMF stays SHORT (or goes to CASH) then the Combo-MF will go SHORT again.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since April 25.
The 20DMF has gone NEUTRAL yesterday.
Following my judgement the Combo-MF is now again LONG.
The PM MF has gone LONG yesterday.

My current trades:
I will close the long SMN and long SIJ trades at the open today.
I will start new trades long TQQQ, long NUGT, long UYM and long UXI today at the open.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. This is no longer true. The slope of the MA has turned upwards again yesterday. There is hereby no possibility that the VSTpro will change its LONG state today or Monday.
Unless the 20DMF goes SHORT, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since April 25.
The existing 20DMF model has gone SHORT last Friday. Pascal is very busy creating a new 20DMF using gaps.
As I can tell, this new model has present a positive MF so I will conclude that this new 20DMF model is certain not in a SHORT state.
Following my judgement the Combo-MF is LONG since April 26.
The PM MF is LONG since April 26.

My current trades:
I am long long TQQQ, long NUGT, long UYM and long UXI all since April 27.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. The MA is for the moment still going up. There is hereby no possibility that the VSTpro will change its LONG state today or tomorrow.
Unless the 20DMF goes SHORT, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since April 25.
The 20DMF model is NEUTRAL for the moment.
Following my judgement the Combo-MF is still LONG since April 26.
The PM MF is LONG since April 26.

My current trades:
I am long long TQQQ, long NUGT, long UYM and long UXI all since April 27.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. That MA is still going up. There is hereby no possibility that the VSTpro will change its LONG state today or tomorrow.
Unless the 20DMF goes SHORT, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since April 25.
The 20DMF model is NEUTRAL since April 26.
Following my judgement the Combo-MF is still LONG since April 26.
The PM MF is LONG since April 26.

My current trades:
I am long long TQQQ, long NUGT, long UYM and long UXI all since April 27.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. That MA is still going up. There is hereby no possibility that the VSTpro will change its LONG state today or tomorrow.
Unless the 20DMF goes SHORT, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since April 25.
The 20DMF model is LONG since May 1.
Following my judgement the Combo-MF is still LONG since April 26.
The PM MF is LONG since April 26.

My current trades:
I am long long TQQQ, long NUGT, long UYM and long UXI all since April 27.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. That MA is still going up. There is hereby no possibility that the VSTpro will change its LONG state today or tomorrow.
Unless the 20DMF goes SHORT, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since April 25.
The 20DMF model is LONG since May 1.
Following my judgement the Combo-MF is still LONG since April 26.
The PM MF is SHORT since yesterday.

My current trades:
I am long long TQQQ and long UXI both since April 27.
My long NUGT had a stop-loss yesterday.
I will close my UYM position today.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. That MA is still going up. There is hereby no possibility that the VSTpro will change its LONG state today or tomorrow.
Unless the 20DMF goes SHORT, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still LONG since April 25.
The 20DMF model has gone SHORT Friday May 4.
Following my judgement the Combo-MF is now in CASH due to the conflict between the two models.
The PM MF is SHORT since May 3.

My current trades:
My long TQQQ and long UXI have both had a (painfull) stop-loss last Friday.
I will remain in cash for now.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. That MA started to go down last Friday. There is hereby a possibility that the VSTpro will change its LONG state today or one of the following days. If that happens and the 20DMF remains SHORT (or goes to CASH) then the Combo-MF will go SHORT too.
If the 20DMF goes back to CASH (or LONG) and the trigger is not set for the VSTpro to go SHORT, then the Combo-MF will go LONG again.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still LONG since April 25.
The 20DMF model is still SHORT since May 4.
Following my judgement the Combo-MF remains in CASH due to the conflict between the two models.
The PM MF is SHORT since May 3.

My current trades:
I will remain in cash for now.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. This condition is met. There is hereby a possibility that the VSTpro will change its LONG state today or one of the following days. If that happens and the 20DMF remains SHORT (or goes to CASH) then the Combo-MF will go SHORT too.
If the 20DMF goes back to CASH (or LONG) and the trigger is not set for the VSTpro to go SHORT, then the Combo-MF will go LONG again.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still LONG since April 25.
The 20DMF model is still SHORT since May 4.
Following my judgement the Combo-MF remains in CASH due to the conflict between the two models.
The PM MF is SHORT since May 3.

My current trades:
I will remain in cash for now.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. This condition is met. There is hereby a possibility that the VSTpro will change its LONG state today or one of the following days. If that happens and the 20DMF remains SHORT (or goes to CASH) then the Combo-MF will go SHORT too.
If the 20DMF goes back to CASH (or LONG) and the trigger is not set for the VSTpro to go SHORT, then the Combo-MF will go LONG again.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still LONG since April 25.
The 20DMF model is still SHORT since May 4.
Following my judgement the Combo-MF remains in CASH due to the conflict between the two models.
The PM MF has gone LONG again yesterday.

My current trades:
I will remain in cash for now.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. This condition is met. There is hereby a possibility that the VSTpro will change its LONG state today or one of the following days. If that happens and the 20DMF remains SHORT (or goes to CASH) then the Combo-MF will go SHORT too.
If the 20DMF goes back to CASH (or LONG) and the trigger is not set for the VSTpro to go SHORT, then the Combo-MF will go LONG again.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still LONG since April 25.
The 20DMF model is still SHORT since May 4.
Following my judgement the Combo-MF remains in CASH due to the conflict between the two models.
The PM MF is still LONG since May 9.

My current trades:
I will remain in cash for now.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. This condition is met. There is hereby a possibility that the VSTpro will change its LONG state today or one of the following days. If that happens and the 20DMF remains SHORT (or goes to CASH) then the Combo-MF will go SHORT too.
If the 20DMF goes back to CASH (or LONG) and the trigger is not set for the VSTpro to go SHORT, then the Combo-MF will go LONG again.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still LONG since April 25.
The 20DMF model is still SHORT since May 4.
Following my judgement the Combo-MF remains in CASH due to the conflict between the two models.
The PM MF is still LONG since May 9.

My current trades:
I will remain in cash for now.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. This condition is met.
The second condition for the VSTpro to go SHORT is a high above the moving average. After the last trading day, the MA was 1276,44 so we need a high today of about that number for this second condition to be met.
The third condition is a close below the open.
If all above conditions are true and the 20DMF remains SHORT (or goes to CASH) then the Combo-MF will go SHORT too.
If the 20DMF goes back to CASH (or LONG) and the trigger is not set for the VSTpro to go SHORT, then the Combo-MF will go LONG again.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still LONG since April 25.
The 20DMF model is still SHORT since May 4.
Following my judgement the Combo-MF remains in CASH due to the conflict between the two models.
The PM MF is still LONG since May 9.

My current trades:
I will remain in cash for now.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. This condition is met. The second condition for the VSTpro to go SHORT is a high above the moving average. The third condition is a close below the open.
If all above conditions are true and the 20DMF remains SHORT (or goes to CASH) then the Combo-MF will go SHORT too.
If the 20DMF goes back to CASH (or LONG) and the trigger is not set for the VSTpro to go SHORT, then the Combo-MF will go LONG again.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still LONG since April 25.
The 20DMF model is still SHORT since May 4.
Following my judgement the Combo-MF remains in CASH due to the conflict between the two models.
The PM MF has turned SHORT again yesterday.

My current trades:
I will remain in cash for now.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. This condition is met. The second condition for the VSTpro to go SHORT is a high above the moving average. The third condition is a close below the open.
If all above conditions are true and the 20DMF remains SHORT (or goes to CASH) then the Combo-MF will go SHORT too.
If the 20DMF goes back to CASH (or LONG) and the trigger is not set for the VSTpro to go SHORT, then the Combo-MF will go LONG again.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still LONG since April 25.
The 20DMF model is still SHORT since May 4.
Following my judgement the Combo-MF remains in CASH due to the conflict between the two models.
The PM MF is SHORT since May 15.

My current trades:
I will remain in cash for now.

Possible changes:
The primary condition for the VSTpro to go SHORT is a minimum of two days downwards slope of the S&P500 moving average. This condition is met. The second condition for the VSTpro to go SHORT is a high above the moving average. The third condition is a close below the open.
If all above conditions are true and the 20DMF remains SHORT (or goes to CASH) then the Combo-MF will go SHORT too.
If the 20DMF goes back to CASH (or LONG) and the trigger is not set for the VSTpro to go SHORT, then the Combo-MF will go LONG again.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still LONG since April 25.
The 20DMF model is still SHORT since May 4.
Following my judgement the Combo-MF remains in CASH due to the conflict between the two models.
The PM MF has gone LONG again yesterday.

My current trades:
I will remain in cash for now.

Possible changes:
The odds of the VSTpro to go SHORT are very small due to the distance between the close of yesterday and the MA. We need a high above that MA for a trigger.
The odds that the 20DMF goes LONG or in protected CASH mode (OB/OS below -90) are looking better.
If the 20DMF goes indeed back to CASH (or LONG) and the trigger is not set for the VSTpro to go SHORT, then the Combo-MF will go LONG again.


Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still LONG since April 25.
The 20DMF model is still SHORT since May 4.
Following my judgement the Combo-MF remains in CASH due to the conflict between the two models.
The PM MF is LONG since May 17.

My current trades:
I will remain in cash for now.

Possible changes:
The odds of the VSTpro to go SHORT are very small due to the distance between the close of yesterday and the MA. We need a high above that MA for a trigger.
The odds that the 20DMF goes LONG or in protected CASH mode (OB/OS below -90) are looking better.
If the 20DMF goes indeed back to CASH (or LONG) and the trigger is not set for the VSTpro to go SHORT, then the Combo-MF will go LONG again.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is still LONG since April 25.
The 20DMF model has gone LONG yesterday.
Following my judgement the Combo-MF is now again LONG.
The PM MF is LONG since May 17.

My current trades:
I will today open new long trades in TQQQ and UYM.

Possible changes:
The odds of the VSTpro to go SHORT are still small due to the distance between the close of yesterday and the MA. We need a high above that MA for a trigger.
The 20DMF has gone LONG yesterday. This signal will be cancelled if the OS goes below -90 again. When this happens (and the VSTpro did not trigger a SHORT signal) the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[yakovcohen45]

Pdp,

Why didn't you buy NUGT when the GDX RT MF issued a buy signal (few days ago) ?

Since then, the GDX climbed around 8%.

Yakov.

[pdp-brugge]

Hi Yakov,

Fear - Fear - Fear - that is the only reason.

In the first week of May, I suffered three stop-losses in a row. These had a very serieus impact on my account. I suffered a drawdown of nearly 13%. To me that was a circuitbreaker. I had to take a break away from the markets.
In the meanwhile I have been working on a better position-sizing strategy. One of these days I am going to publish it.

Thanks for the question.

PdP

[pdp-brugge]

Status MFs:
The VStpro model is still LONG since April 25.
The 20DMF model is LONG since May 21.
Following my judgement the Combo-MF is LONG.
The PM MF is LONG since May 17.

My current trades:
I have long positions long in TQQQ and UYM. I will today open a new trade long UXI.

Possible changes:
The odds of the VSTpro to go SHORT are growing. The distance between the close of yesterday and the MA is getting smaller. We need a high above that MA for a trigger.
The 20DMF is still LONG. This signal will be cancelled if the OS goes again below -90. When this happens (and the VSTpro did not trigger a SHORT signal) the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since April 25.
The 20DMF model is LONG since May 21.
Following my judgement the Combo-MF is still LONG.
The PM MF is LONG since May 17.

My current trades:
I have long positions long in TQQQ, UXI and UYM.

Possible changes:
The odds of the VSTpro to go SHORT are still growing. The distance between the close of yesterday and the MA is still getting smaller. One of the conditions for the VSTpro to trigger a SHORT signal is a high above that MA next to a close below the open.
The 20DMF is still LONG. This signal will be cancelled if the OS goes again below -70. When this happens (and the VSTpro did not trigger a SHORT signal) the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since April 25.
The 20DMF model is LONG since May 21.
Following my judgement the Combo-MF is still LONG.
The PM MF is LONG since May 17.

My current trades:
I have long positions long in TQQQ, UXI and UYM.

Possible changes:
The odds of the VSTpro to go SHORT are still growing. The distance between the close of yesterday and the MA is still getting smaller. One of the conditions for the VSTpro to trigger a SHORT signal is a high above that MA next to a close below the open.
The 20DMF is still LONG. This signal will be cancelled if the OS goes again below -70. When this happens (and the VSTpro did not trigger a SHORT signal) the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since April 25.
The 20DMF model is LONG since May 21.
Following my judgement the Combo-MF is still LONG.
The PM MF is LONG since May 17.

My current trades:
I have long positions long in TQQQ, UXI and UYM.

Possible changes:
The odds of the VSTpro to go SHORT are still growing. The distance between the close of Friday and the MA is still getting smaller. One of the conditions for the VSTpro to trigger a SHORT signal is a high above that MA next to a close below the open.
The 20DMF is still LONG. This signal will be cancelled if the OS goes again below -70. When this happens (and the VSTpro did not trigger a SHORT signal) the Combo-MF will stay LONG. If the 20DMF signals a SHORT and the VSTpro stays LONG, than the Combo-MF will go to CASH.

Disclaimer: this information is not an investment advice on what to trade next

[gibasse]

Dear Pascal,
I would like to ask you how you tried to get 4 years and a half of data to backtest your strategy, in the site the data are only available day by day.
Thank you and great work.

Giuseppe

[Pascal]

Dear Pascal,
I would like to ask you how you tried to get 4 years and a half of data to backtest your strategy, in the site the data are only available day by day.
Thank you and great work.

Giuseppe

It is because we have historical minute data available for all the stocks.
A reliable back-test can only start from July 2007, when the uptick shorting rule was abolished. So, this makes about 4.5 years of reliable data.

I also supplied the 20DMF data to PDP.



Pascal

[gibasse]

Are the data supplied to PDP also available to other member?

[pdp-brugge]

Giuseppe,

Based on the data that Pascal has supplied me, I have created an excel file with all the statussen that I need for my trading decissions.
Daily I update this file with basicly what is in the XLX_trades file.
Hereby I attach the excel file that I use: 14426

Good luck

PdP

[pdp-brugge]

Possibility for a VSTpro SHORT signal
The MA is still going down. This is the primary condition for a SHORT signal.
Today we have had a high of 1334. Well above the MA. This is the second condition for a SHORT signal.
The third and final condition for a VSTpro SHORT signal is a close below the previous close.
If we close below 1317.82 then all the conditions are met and the VSTpro will signal SHORT.
If the 20DMF stays LONG this will mean that the Combo-MF will go to CASH tomorrow
Let's wait and see...

PdP

[pdp-brugge]

Status MFs:
The VStpro model is LONG since April 25.
The 20DMF model is LONG since May 21.
Following my judgement the Combo-MF is still LONG.
The PM MF is LONG since May 17.

My current trades:
I have long positions long in TQQQ, UXI and UYM.

Possible changes:
The odds of the VSTpro to go SHORT are strong. The close yesterday was above the MA. This MA is still going down. The first condition for the VSTpro to trigger a SHORT signal is a down going MA. The second condition is a high above the MA. The third condition a close below the open (or the previous close). The tention is growing.
The 20DMF is still LONG. Today there is no possibility for the 20DMF to go SHORT. However, if the 20DMF closes above 0 and drops again below it in the following days (and the average TEV extension of the four inversed ETFs stays above 4%), then the 20DMF will signal a SHORT signal.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model has gone SHORT yesterday.
The 20DMF model is LONG since May 21.
Following my judgement the Combo-MF is now in CASH due to the conflict between VSTpro and 20DMF.
The PM MF is LONG since May 17.

My current trades:
I will close all my long positions and stay in cash for now.

Possible changes:
The VSTpro has finaly gone SHORT yesterday. One of the triggers for the VSTpro to go LONG again is a close above the MA. Therefor we need a close today above 1321.80 for this first condition to be true. There are other conditions as well but the close above the MA is essential.
While the 20DMF stays LONG, the Combo-MF will be in CASH. Once the 20DMF goes to CASH (or also goes SHORT) then the Combo-MF will also go SHORT.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is SHORT since May 30.
The 20DMF model is LONG since May 21.
Following my judgement the Combo-MF is in CASH due to the conflict between VSTpro and 20DMF.
The PM MF is LONG since May 17.

My current trades:
I am in cash.

Possible changes:
The VSTpro is still SHORT. The first condition for the VSTpro to go LONG again is a close above the MA. Therefor we need a close today above 1318.49 There are other conditions as well but the close above the MA is essential.
While the 20DMF stays LONG, the Combo-MF will be in CASH. Once the 20DMF goes to CASH (or also goes SHORT) then the Combo-MF will also go SHORT.

Disclaimer: this information is not an investment advice on what to trade next

[fdannee3]

Just read your combo-MF paper. Well done. Ook Van Brugge

[pdp-brugge]

Hi fdannee3,

Thanks for the appreciation.
You have made me curious...

ben jij dan ook een Vlaming op deze blog? en twee van dezelfde stad? zeer toevallig...

Groeten

[pdp-brugge]

Status MFs:
The VStpro model is SHORT since May 30.
According to the posts of Pascal, I consider the 20DMF now in CASH.
Following my judgement the Combo-MF is now SHORT.
The PM MF is LONG since May 17.

My current trades:
I will open new long trades in SMN and SQQQ at the open today.

Possible changes:
The VSTpro is still SHORT. The first condition for the VSTpro to go LONG again is a close above the MA. Therefor we need a close today above 1313.85 There are other conditions as well but the close above the MA is essential.
Unless the 20DMF goes LONG again, which is very unlikely, the Combo-MF will remain SHORT.

Disclaimer: this information is not an investment advice on what to trade next

[fdannee3]

Yes, jawel

fdanneels2002@yahoo.com

[pdp-brugge]

Status MFs:
The VStpro model is SHORT since May 30.
According to the posts of Pascal, I consider the 20DMF now in CASH.
Following my judgement the Combo-MF is SHORT since June 1.
The PM MF is LONG since May 17.

My current trades:
I have long trades in SMN and SQQQ.

Possible changes:
The VSTpro is still SHORT. The first condition for the VSTpro to go LONG again is a close above the MA. Therefor we need a close today above 1309.81 There are other conditions as well but the close above the MA is essential.
Unless the 20DMF goes LONG again, which is very unlikely, the Combo-MF will remain SHORT.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is SHORT since May 30.
According to the posts of Pascal, I consider the 20DMF now in CASH.
Following my judgement the Combo-MF is SHORT since June 1.
The PM MF is LONG since May 17.

My current trades:
I have long trades in SMN and SQQQ.

Possible changes:
The VSTpro is still SHORT. The first condition for the VSTpro to go LONG again is a close above the MA. Therefor we need a close today above 1306.79 There are other conditions as well but the close above the MA is essential.
Unless the 20DMF goes LONG again, the Combo-MF will remain SHORT.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

It looks like the S&P500 is going to close above his 14SMA. This is a vital trigger for the VSTpro to go LONG again. The other conditions are also met. With the VSTpro going LO?NG again and the 20DMF still assumed to be in cash, I consider the Combo-MF again LONG.
If this stays so until the close, I will close my long SQQQ and SMN trades and open a new long trade in TQQQ.

PdP

[leibniz]

Thank you PdP for the updates. I just want to say I follow this thread daily and although I use my own system it rarely goes against one of the trades from this method. It has been very appreciated.

[pdp-brugge]

Status MFs:
The VStpro model has gone LONG again yesterday.
The 20DMF is considered to be LONG.
Following my judgement the Combo-MF is now LONG again.
The PM MF is LONG since May 17.

My current trades:
I have closed my long trades in SMN and SQQQ at the close yesterday.
I have opened a new long trade in TQQQ at the close yesterday.
I will open new long trades in UXI and UYM at the open today.

Possible changes:
The VSTpro has gone LONG again yesterday. Although this is a positive sign, the changes for a whipsaw are great because the MA of the S&P500 is still decending. A declining MA is one of the conditions for the VSTpro to trigger a SHORT. If the close today or on one of the following days (as long as the MA is going down) is below the open then we have a trigger for the VSTpro to go SHORT again.
If this does not happen and unless the 20DMF goes SHORT again, the Combo-MF will remain LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF has gone SHORT yesterday.
Following my judgement the Combo-MF is now in CASH due to the conflict between the two models.
The PM MF is SHORT since yesterday.

My current trades:
I have closed my long trade in TQQQ at the close yesterday.
I will close my open long trades in UXI and UYM at the open today.
I will open a new short trade in GDX at the open today.

Possible changes:
The VSTpro is still LONG. The MA has gone upwards again. Therefor is a trigger to go short not possible today.
Unless the 20DMF goes LONG or to CASH again, the Combo-MF will remain in CASH.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF has gone to CASH last Friday.
Following my judgement the Combo-MF is now again LONG.
The PM MF is SHORT since yesterday.

My current trades:
I have a SHORT trade in GDX since June 8.
I will open new long trades in TQQQ and UXI at the open today.

Possible changes:
The VSTpro is still LONG. The MA is still going upwards. Therefor is a trigger to go short not possible today or tomorrow.
Unless the 20DMF goes SHORT again, the Combo-MF will remain LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF has gone SHORT yesterday.
Following my judgement the Combo-MF is now again in CASH.
The PM MF is SHORT since June 7.

My current trades:
I have a SHORT trade in GDX since June 8 and a LONG trade in UXI since June 11.
I have closed my trade in TQQQ yesterday at the close.

Possible changes:
The VSTpro is still LONG. The MA has started to go down again. If this MA still goes down at EOD, the close is below the open and the high of the day is above the MA then the VSTpro will go SHORT again.
If this happens and the 20DMF stays SHORT (or goes to cash) then the Combo-MF will also go SHORT.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF is SHORT since June 11.
Following my judgement the Combo-MF remains in CASH due to the conflict between the two models.
The PM MF is SHORT since June 7.

My current trades:
I have a SHORT trade in GDX since June 8 and a LONG trade in UXI since June 11.

Possible changes:
The VSTpro is still LONG. The MA has turned (very slightly) upwards again yesterday. As long as this MA is going up, there is no possiblity for the VSTpro to go SHORT. Even if the MA goes down again today, there can be no change in the LONG condition of the VSTpro at EOD today.
The 20DMF is very close to covering its SHORT condition. If this happens and the VSTpro stays LONG then the Combo-MF will go LONG again.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF is SHORT since June 11.
Following my judgement the Combo-MF remains in CASH due to the conflict between the two models.
The PM MF is SHORT since June 7.

My current trades:
I have a SHORT trade in GDX since June 8 and a LONG trade in UXI since June 11.

Possible changes:
The VSTpro is still LONG. The MA has turned (very slightly) downwards yesterday. Because this MA is going down again, there is a possiblity for the VSTpro to go SHORT at EOD today.
The 20DMF is very close to covering its SHORT condition. If this happens and the VSTpro stays LONG then the Combo-MF will go LONG again.
If the 20DMF stays SHORT (or goes to CASH) and the trigger is set for the VSTpro to go SHORT, then the Combo-MF will also go SHORT.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF has gone NEUTRAL yesterday.
Following my judgement the Combo-MF is now again LONG.
The PM MF is SHORT since June 7.

My current trades:
I have a SHORT trade in GDX since June 8 and a LONG trade in UXI since June 11.
I will open a new long trade in TQQQ at the open today.

Possible changes:
The VSTpro is still LONG. The MA has turned (very slightly) up yesterday. Because this MA is going up there is no possiblity for the VSTpro to go SHORT at EOD today.
The 20DMF is NEUTRAL since yesterday. As long as the 20DMF does not go SHORT again, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF is NEUTRAL since June 14.
Following my judgement the Combo-MF is LONG.
The PM MF is SHORT since June 7.

My current trades:
I have a SHORT trade in GDX since June 8, a LONG trade in UXI since June 11 and a LONG trade in TQQQ since June 15.

Possible changes:
The VSTpro is still LONG. The MA is still going up. Because of this, there is no possiblity for the VSTpro to go SHORT at EOD today.
The 20DMF is still NEUTRAL. As long as the 20DMF does not go SHORT again, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF is NEUTRAL since June 14.
Following my judgement the Combo-MF is LONG.
The PM MF is SHORT since June 7.

My current trades:
I have a SHORT trade in GDX since June 8, a LONG trade in UXI since June 11 and a LONG trade in TQQQ since June 15.

Possible changes:
The VSTpro is still LONG. The MA is still going up. Because of this, there is no possiblity for the VSTpro to go SHORT at EOD today.
The 20DMF is still NEUTRAL. As long as the 20DMF does not go SHORT again, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

No changes for today

[mklein9]

Hi PDP,

Have you tracked the performance of the simple signals you provide through 2012 at all? The simple 2011 spreadsheet shows promise. While I know there were some weeks in 2012 where Combo-MF had a rough patch, on the whole it seems to show generally good moves. It is also more to my liking, as I am not able to work with RT signals.

Thank you,

-Mike

[pdp-brugge]

No changes for today.

--------------------------------------------------------------------

Mike,

Attached is a spreadsheet with the Combo-MF performance of this year. Keep in mind that I follow these signals and that I use TQQQ/SQQQ as vehicles. My back tests (from summer 2008 until now) have shown that followng the Combo-MF signals using QQQ is much better than SPY or IWM.
As you noticed, we have had some bumpy road in the last few months but I hope that things will go a little better from now on.

Regards,

PdP

14803

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF has gone SHORT yesterday.
Following my judgement the Combo-MF is now in CASH due to the conflict between the two models.
The PM MF is SHORT since June 7.

My current trades:
I have a SHORT trade in GDX since June 8.
I will close my long trades in UXI and TQQQ at the open today and start new long trades in SIJ and SMN.

Possible changes:
The VSTpro is still LONG. The MA is still going up. Because of this, there is no possiblity for the VSTpro to go SHORT at EOD today.
The 20DMF is now in CASH . As long as the 20DMF does not go LONG or goes to CASH, the Combo-MF will stay in CASH.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF is SHORT since June 21.
Following my judgement the Combo-MF is in CASH due to the conflict between the two models.
The PM MF is SHORT since June 7.

My current trades:
I have a SHORT trade in GDX since June 8 and have long trades in SIJ and SMN since June 22.

Possible changes:
The VSTpro is still LONG. The MA is still going up. Because of this, there is no possiblity for the VSTpro to go SHORT at EOD today.
The 20DMF is still SHORT . As long as the 20DMF does not go LONG or goes to CASH, the Combo-MF will stay in CASH.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF has gone NEUTRAL last Friday.
Following my judgement the Combo-MF is now again LONG.
The PM MF is SHORT since June 7.

My current trades:
I have a SHORT trade in GDX since June 8.
I will open a new long trade in TQQQ at the open today.

Possible changes:
The VSTpro is still LONG. The MA is still going up. Because of this, there is no possiblity for the VSTpro to go SHORT at EOD today.
The 20DMF is now NEUTRAL. As long as the 20DMF does not go SHORT again, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF is NEUTRAL sine June 29.
Following my judgement the Combo-MF is LONG.
The PM MF is SHORT since June 7.

My current trades:
I have a SHORT trade in GDX since June 8 and a LONG trade in TQQQ since July 2.

Possible changes:
The VSTpro is still LONG. The MA is still going up. Because of this, there is no possiblity for the VSTpro to go SHORT at EOD today.
The 20DMF is still NEUTRAL. As long as the 20DMF does not go SHORT again, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF is NEUTRAL sine June 29.
Following my judgement the Combo-MF is LONG.
The PM MF is LONG since July 3.

My current trades:
I have a LONG trade in TQQQ since July 2.
I will close my SHORT trade in GDX at the open today.

Possible changes:
The VSTpro is still LONG. The MA is still going up. Because of this, there is no possiblity for the VSTpro to go SHORT at EOD today.
The 20DMF is still NEUTRAL. As long as the 20DMF does not go SHORT again, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF is NEUTRAL sine June 29.
Following my judgement the Combo-MF is LONG.
The PM MF is LONG since July 3.

My current trades:
I have a LONG trade in TQQQ since July 2.

Possible changes:
The VSTpro is still LONG. The MA is still going up. Because of this, there is no possiblity for the VSTpro to go SHORT at EOD today.
The 20DMF is still NEUTRAL. As long as the 20DMF does not go SHORT again, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF is NEUTRAL sine June 29.
Following my judgement the Combo-MF is LONG.
The PM MF is SHORT since July 6.

My current trades:
I have a LONG trade in TQQQ since July 2.
I will start a new SHORT trade in GDX and a new LONG trade in SMN at the open today.

Possible changes:
The VSTpro is still LONG. The MA is still going up. Because of this, there is no possiblity for the VSTpro to go SHORT at EOD today.
The 20DMF is still NEUTRAL. As long as the 20DMF does not go SHORT again, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF is NEUTRAL sine June 29.
Following my judgement the Combo-MF is LONG.
The PM MF is SHORT since July 6.

My current trades:
I have a LONG trade in TQQQ since July 2, a SHORT trade in GDX since July 9 and a LONG trade in SMN since July 9.

Possible changes:
The VSTpro is still LONG. The MA is still going up. Because of this, there is no possiblity for the VSTpro to go SHORT at EOD today.
The 20DMF is still NEUTRAL. As long as the 20DMF does not go SHORT again, the Combo-MF will stay LONG.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF is NEUTRAL sine June 29.
Following my judgement the Combo-MF is LONG.
The PM MF is SHORT since July 6.

My current trades:
I have a LONG trade in TQQQ since July 2, a SHORT trade in GDX since July 9 and a LONG trade in SMN since July 9.
I will start a new SHORT trade in SIJ at the open today.

Possible changes:
The VSTpro is still LONG. The MA has started to go down since yesterday. There is a possibility of a SHORT signal for the VSTpro. If the VSTpro goes SHORT and the 20DMF stays NEUTRAL, than the COMBO-MF will go SHORT.
The 20DMF is still NEUTRAL. As long as the the SHORT signal for the VSTpro is not issued and should meanwhile the 20DMF go SHORT, than the COMBO-MF will go to CASH.
If the 20DMF goes SHORT and the VSTpro also triggers the signal, then the COMBO-MF will go SHORT on a very strong signal.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

As the numbers are for the moment, the 14MA of the S&P500 has been going down for two days. That is condition one.
The high of the day has been above the 14MA. That is condition two.
Condition three is a close below the open. If condition three unfolds, than we will have a SHORT signal for the VSTpro and my COMBO-MF will signal a SHORT signal.

PdP

[Pascal]

As the numbers are for the moment, the 14MA of the S&P500 has been going down for two days. That is condition one.
The high of the day has been above the 14MA. That is condition two.
Condition three is a close below the open. If condition three unfolds, than we will have a SHORT signal for the VSTpro and my COMBO-MF will signal a SHORT signal.

PdP

Yes, but as far as I can tell, the 20DMF is not going to close below the -0.11% short level.
Hence, on an EOD base, it will stay neutral.


Pascal

15064

[pdp-brugge]

Pascal,

I agree with you what the 20DMF concerns.
However, my statistics have shown that if the VSTpro is SHORT and the 20DMF is neutral, I will consider my COMBO-MF to be SHORT.
A confirmed 20DMF SHORT signal will make the odds even better.

PdP

[Pascal]

OK. I understand now. I thought that both needed to be short.

Pascal

[pdp-brugge]

It's going to be close if I look at the numbers now.
There is a lot of short covering now, I guess.
Let's wait and see at the final close today.

[pdp-brugge]

It was very close.
I will wait until I get my quotes downloaded but it looks like the VSTpro is SHORT as of now.
More in my post tomorrow.

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF is NEUTRAL sine June 29.
Following my judgement the Combo-MF is LONG.
The PM MF is LONG since yesterday.

My current trades:
I have a LONG trade in TQQQ since July 2 and a LONG trade in SMN since July 9.
I will close the SHORT trade in GDX at the open today.

Possible changes:
The VSTpro is still LONG. It missed it's SHORT signal by $ 0.05. This was very close. Because the 14MA is still going down, the possibility of a SHORT signal for the VSTpro is huge. If the VSTpro goes SHORT and the 20DMF stays NEUTRAL, than the COMBO-MF will go SHORT.
The 20DMF is still NEUTRAL. As long as the the SHORT signal for the VSTpro is not issued and should meanwhile the 20DMF go SHORT, than the COMBO-MF will go to CASH.
If the 20DMF goes SHORT and the VSTpro also triggers the signal, then the COMBO-MF will go SHORT on a very strong signal.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status MFs:
The VStpro model is LONG since June 6.
The 20DMF is NEUTRAL sine June 29.
Following my judgement the Combo-MF is LONG.
The PM MF is LONG since July 11.
The XLB MF is SHORT since July 6.
The XLI MF is SHORT since JUly 10.

Status Models:
Combo-MF : LONG
GDX : CASH
XLB : SHORT
XLI : SHORT

My current trades:
I have a LONG trade in TQQQ since July 2, a LONG trade in SMN since July 9 and a LONG trade in SIJ since July 11.

Possible changes:
The VSTpro is still LONG. There was yesterday no trigger because the high of the day was below the 14MA. Because the 14MA is still going down, the possibility of a SHORT signal for the VSTpro is still there. If the VSTpro goes SHORT and the 20DMF stays NEUTRAL, than the COMBO-MF will go SHORT.
The 20DMF is still NEUTRAL. As long as the the SHORT signal for the VSTpro is not issued and should meanwhile the 20DMF go SHORT, than the COMBO-MF will go to CASH.
If the 20DMF goes SHORT and the VSTpro also triggers the signal, then the COMBO-MF will go SHORT on a very strong signal.
My GDX model is in CASH because my statistics have shown that following a Bought Oversold signal while the 20DMF is in CASH is not profitable.

Disclaimer: this information is not an investment advice on what to trade next

[pdp-brugge]

Status Strategy:
The VStpro model is LONG since June 6.
The 20DMF is NEUTRAL sine June 29.
Following my judgement the Combo-MF is LONG.
The PM MF is LONG since July 11.
The XLB MF is SHORT since July 6.
The XLI MF is LONG since July 13.

Status Models:
Combo-MF : LONG
GDX : CASH
XLB : SHORT
XLI : CASH

My current trades:
I have a LONG trade in TQQQ since July 2 and a LONG trade in SMN since July 9.
I will close my LONG trade in SIJ at the open today.

Possible changes:
The VSTpro is still LONG. The 14MA is going up again. Therefor a SHORT signal is not possible today.
The 20DMF is still NEUTRAL. If the 20DMF goes SHORT then the COMBO-MF will go to CASH because of the conflict between the two signals.
My GDX model is in CASH because my statistics have shown that following a Bought Oversold signal while the 20DMF is in CASH is not profitable.
My XLI model is in CASH because my statistics have shown that following a Bought signal while the 20DMF is in CASH is not profitable.

Strategy Status
In my third paper, published today, I have defined the position sizing techniques that I use for my trading. I have attached an image that gives an overview of the complete status of my strategy with signals and position size. Most of the information in this status-pane is clear, I think.

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today.

Details about my Combo-MF strategy are (for the moment) on hold.
The back tests for this strategy need to be reworked due to indifference's in historical data.

[pdp-brugge]

I am expanding my strategy with extra XLX models. For that reason, my system is still undergoing detailed back tests.
When done, I will perform the daily updates again.

PdP

[pdp-brugge]

My back tests with the extra XLX models are not done yet.

No important changes in my strategy today. Noteworthy is the fact that the 14MA of the S&P500 has turned down again yesterday. There is a possibility that the VSTpro goes SHORT in the following days.

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[manucastle]

No changes for today

Hi PdP,

How is the latest testing going ? Very interested to see the results.

Thanks in advance.

Trev

[pdp-brugge]

Trev,

The testing with the improved signals for the different sub-components of the S&P500 takes a lot of time. Most of it I spend trying to find the optimal filters that decide when to take a signal and when not. I am being extra careful with this because I do not want to build my filtering to much on hindsight. There must be enough trades to count in order to get statistically predictable results.
I am almost done with setting up the filters and finding the right parameters for turbocharged trading (taking larger position sizes when the odds are most favorable).
For the moment I am doing back tests in order to find the most optimal number of models to trade. It looks like I will go for 6 models: ComboMF (QQQ), XLB, XLF, XLI, XLK and XLY.
I will report more once I am done.

PdP

[manucastle]

Trev,

The testing with the improved signals for the different sub-components of the S&P500 takes a lot of time. Most of it I spend trying to find the optimal filters that decide when to take a signal and when not. I am being extra careful with this because I do not want to build my filtering to much on hindsight. There must be enough trades to count in order to get statistically predictable results.
I am almost done with setting up the filters and finding the right parameters for turbocharged trading (taking larger position sizes when the odds are most favorable).
For the moment I am doing back tests in order to find the most optimal number of models to trade. It looks like I will go for 6 models: ComboMF (QQQ), XLB, XLF, XLI, XLK and XLY.
I will report more once I am done.

PdP

Great stuff. Looking forward to your findings and thanks once again for your hard work :O)

Trev

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today.

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today

[pdp-brugge]

No changes for today.

Because we are stuck in a barely moving market, I will postpone daily updates until something effectively changes in my strategy.
Hopefully next week I will post a new paper that holds my improved strategy using 6 models.

PdP

[lisa]

pdp,

looking forward to reading about your latest work on your strategies.

have a nice weekend,
lisa

[pdp-brugge]

Last week I finished my renewed back-testing. I have used the warmest weekend of the year here in Belgium to write a summarisation. I post it here. As with my previous papers, I look forward to any feedback. I am still very eager to learn and improve my trading.

PdP

[manucastle]

Last week I finished my renewed back-testing. I have used the warmest weekend of the year here in Belgium to write a summarisation. I post it here. As with my previous papers, I look forward to any feedback. I am still very eager to learn and improve my trading.

PdP

Hi Pdp,

Fantastic work !

I will follow along with keen interest !

Will you also show the ATR levels on the table ?

Trev

[Pascal]

Last week I finished my renewed back-testing. I have used the warmest weekend of the year here in Belgium to write a summarisation. I post it here. As with my previous papers, I look forward to any feedback. I am still very eager to learn and improve my trading.

PdP

Very interesting work.

Did you find out whet the strategy has not worked well in the last few months?


Pascal

15543

[pdp-brugge]

Pascal,

Good Question!
Until the beginning of March, I had a long series of large winning trades, my strategy was in "full-force" mode (Kelly Criterion +/-25% and NoFear at 0). See the trades marked in green.
From that point on the market went for more then 4 months nowhere. My strategy had a sequence of losing trades. The first bunch of those trades where made in "full-force" and let to a serious draw down. See the trades marked in red.
I have noted that the strategy does not cope well in a sideways environment. Perhaps (and this is a feeling) is following MF-based EOD signals not optimal for brief short trades. The largest negative trades where made around March 7, April 11 and May 5. This where brief periods where the market changed direction every few days. Nearly all of the losing trades between March 7 and April 17 where short trades.

[lisa]

Last week I finished my renewed back-testing. I have used the warmest weekend of the year here in Belgium to write a summarisation. I post it here. As with my previous papers, I look forward to any feedback. I am still very eager to learn and improve my trading.

PdP

PdP,

sorry to be a knucklehead, but i cannot find any XLX_Trades file on the website. could you or someone point me in the right direction?

thanks for sharing your work!
lisa

[Pascal]

Lisa, you clock on the link shown by the arrow.


pascal

15545

[lisa]

exellent, and thanks, pascal! told you i was a knucklehead.

lisa

[pdp-brugge]

No changes in signals or trades.

[pdp-brugge]

No changes in signals or trades.

[manucastle]

Last week I finished my renewed back-testing. I have used the warmest weekend of the year here in Belgium to write a summarisation. I post it here. As with my previous papers, I look forward to any feedback. I am still very eager to learn and improve my trading.

PdP

Hi PdP,

A question please on you latest excellent paper.

If you are stopped out of a position on a stop loss signal but the model remains on a buy signal would you re-enter on the following day ?

Thanks in advance.

Trev

[pdp-brugge]

Trev,

Yes, if the signal is still valid, I open a new trade on the day after the stop-loss occurred. On several occasions the stop-loss occurs at times that the MFs are changing. If a stop-loss happens, most of the times it is beneficial because larger loss is prevented.

PdP

[manucastle]

Trev,

Yes, if the signal is still valid, I open a new trade on the day after the stop-loss occurred. On several occasions the stop-loss occurs at times that the MFs are changing. If a stop-loss happens, most of the times it is beneficial because larger loss is prevented.

PdP

PdP,

Thanks for that.

If the original buy signal was 24 days ago would you still re-purchase after a stop loss if the instrument is still on a buy signal ?

Trev

[pdp-brugge]

Yes. I would follow the system. The most important thing that I have learned since I started trading is never to be emotional. Very hard to master but very necessarily. Ignoring a valid signal just after a stop-loss is emotional. In my back tests I found several series of "small" stop-losses followed by a huge win. You never know if you take a signal what the result is going to be. Because of that uncertainty you need stop-loss setting. That is the mean reason why I did all the work to calculate the ideal stop-loss settings. The distance between the initial start of trade and the initial stop-loss level is the risk I take per trade. By optimizing that risk level it is possible to achieve in the end very nice returns.

[manucastle]

Yes. I would follow the system. The most important thing that I have learned since I started trading is never to be emotional. Very hard to master but very necessarily. Ignoring a valid signal just after a stop-loss is emotional. In my back tests I found several series of "small" stop-losses followed by a huge win. You never know if you take a signal what the result is going to be. Because of that uncertainty you need stop-loss setting. That is the mean reason why I did all the work to calculate the ideal stop-loss settings. The distance between the initial start of trade and the initial stop-loss level is the risk I take per trade. By optimizing that risk level it is possible to achieve in the end very nice returns.

Just to be certain, in your paper you state that you take the trade, following a signal change, the following day at the open. Do I take it that you also take ALL trades after a stop loss if the original signal is still valid.

(After 22 years full time trading I fully understand your comments about emotional trading) :O(

Trev

[pdp-brugge]

Yep, I take all the trades after a stop-loss and if the signal is still valid.
Of course: the filters keep on playing.
Sometimes the filters force me to close a trade because the odds or not in favor to continue a trade once the filters states the signal is no longer valid.
An example: let's state that at a certain time a signal came to buy XLF because the signal in the XLX-files of the EV-website changes to "Bought. The filter for a XLF Bought signal is that Combo-MF may not be in Cash. If Combo-MF is at that time not in Cash, I will take the trade. In during that trade the Combo-MF goes to Cash, then I will close that XLF trade.

[manucastle]

Yep, I take all the trades after a stop-loss and if the signal is still valid.
Of course: the filters keep on playing.
Sometimes the filters force me to close a trade because the odds or not in favor to continue a trade once the filters states the signal is no longer valid.
An example: let's state that at a certain time a signal came to buy XLF because the signal in the XLX-files of the EV-website changes to "Bought. The filter for a XLF Bought signal is that Combo-MF may not be in Cash. If Combo-MF is at that time not in Cash, I will take the trade. In during that trade the Combo-MF goes to Cash, then I will close that XLF trade.

Understood thanks :O)

Trev

[pdp-brugge]

Due to a technical issue with my Reuters Datalink, I am not able to prepare my daily routines.
Once this issue is solved, I will post the daily update.

[pdp-brugge]

No changes in signals or trades.

[pdp-brugge]

No changes

[manucastle]

No changes

Hi Pdp,

Regarding stop losses.

You state you use the leveraged TQQQ,UYM,FAS,UXI,TECL and XLY as your preferred trading instruments.

Do I understand correctly that the stop losses are calculated based on the basic XLX's metrics in your daily tables and this is the trigger for a sale of the relavant leveraged instrument ?

(ie the ATR(3) figures relate to the basic XLX's and not the leveraged instrument).

Thanks,
Trev

[pdp-brugge]

Trev,

The XLX signals determine when to take a trade and the direction of the trade. The incidental filters limit some of the trade signals.
The stop-loss strategy is calculated based on historical executed trades following the XLX signals but executed with the leveraged instruments.
The ATR(3) I use (and which is displayed in the daily table) is that of the leveraged instrument.

PdP

[manucastle]

Trev,

The XLX signals determine when to take a trade and the direction of the trade. The incidental filters limit some of the trade signals.
The stop-loss strategy is calculated based on historical executed trades following the XLX signals but executed with the leveraged instruments.
The ATR(3) I use (and which is displayed in the daily table) is that of the leveraged instrument.

PdP

Thanks.

Trev

[lisa]

pdp,

first, wow! this is really a lot of work you have undertaken, and i appreciate you efforts not only because of the time you put into this, but also because you inspired me to look at the daily signals more in depth. i put the daily XLX signals into a spreadsheet and recorded the trades from january of 2010 to the end of july 2012 and found the results amazing. this exercise made me realize i have been an idiot for not following them!

i have some questions about your findings though. why did you decide not to use XLE, XLV, XLY, and GDX as the results seemed quite good? why did you decide to use XLB as the results seemed not so good? maybe i have done something incorrectly and will double check. also, i used QQQ in place of XLK as the holdings look similar and found the results improved quite a bit over XLK. i realize that would be somewhat redundant with the Combo signal, but are they a little redundant already? just curious.

as far as atr3, kelly, and no fear, i'll have to take you word for those. one thing i don't understand is the no fear. how do you know what the drawdown is currently to apply the no fear? is that the drawdown from when the most recent signal is given? sorry, not being a math person i don't really know how to ask the question.

i think i'm starting to drive my boyfriend crazy with all of my excel questions, but i was wondering what software you use for testing. it might be over my head, but at least that would give him some peace since he would not be able to answer questions about that program.

so again, amazing job and thanks!
lisa

[pdp-brugge]

Lisa,

I decided not to use the XLE, XLV, XLU, and GDX signals because, at first sight, they where not looking as promising as the others. This first look I based on the raw signals. To me, the XLB, XLI, XLF, XLK and XLY where the best 5. I wanted also to limit the number of models. I did back tests with different number of models. In theory I have 11 models (Combo-MF, GDX and the nine S&P500 sub-sectors). My back tests showed me that using a maximum of 6 models was financially the best.

I agree that the trades from the Combo-MF signals and from the XLK signals are redundant at some point. I found enough differences though (in the result of the trades). I use QQQ (or QLD or TQQQ) for trading the Combo-MF signals. I use TECL as instrument for the XLK signals. I think there is a sufficient enough difference between the Nasdaq-100 companies and the S&P500 Tech-companies. I must confess that I did not thoroughly had a look at the exact composition of the 2 etfs.

How did I do the back tests? I created a database using a proprietary program I created. I have been a software developer for more then 30 years, so this was doable for me. This application enable me to generate thousands of runs with each time a slight different parameter (ATR, Stop-loss, ...). I guess doing this with plain Excel is not realizable.

The Nofear was calculated from the draw downs. I calculate the running equity after each trade. The size of the draw downs determined the NoFear factor.

I hope this makes it a bit more clear.

Do not hesitate to post more questions. This enables me to think again and it gives me a fresh new approach to some items.

PdP

[manucastle]

Lisa,

I decided not to use the XLE, XLV, XLU, and GDX signals because, at first sight, they where not looking as promising as the others. This first look I based on the raw signals. To me, the XLB, XLI, XLF, XLK and XLY where the best 5. I wanted also to limit the number of models. I did back tests with different number of models. In theory I have 11 models (Combo-MF, GDX and the nine S&P500 sub-sectors). My back tests showed me that using a maximum of 6 models was financially the best.

I agree that the trades from the Combo-MF signals and from the XLK signals are redundant at some point. I found enough differences though (in the result of the trades). I use QQQ (or QLD or TQQQ) for trading the Combo-MF signals. I use TECL as instrument for the XLK signals. I think there is a sufficient enough difference between the Nasdaq-100 companies and the S&P500 Tech-companies. I must confess that I did not thoroughly had a look at the exact composition of the 2 etfs.

How did I do the back tests? I created a database using a proprietary program I created. I have been a software developer for more then 30 years, so this was doable for me. This application enable me to generate thousands of runs with each time a slight different parameter (ATR, Stop-loss, ...). I guess doing this with plain Excel is not realizable.

The Nofear was calculated from the draw downs. I calculate the running equity after each trade. The size of the draw downs determined the NoFear factor.

I hope this makes it a bit more clear.

Do not hesitate to post more questions. This enables me to think again and it gives me a fresh new approach to some items.

PdP

PdP,

You stated you will be reveiwing the sytem quarterly and so I presume you will change the mix of XLX's if warrented ?

Trev

[pdp-brugge]

I am going to close my UXI trade today at the open. I started this trade at the open of August 3. At the close last Friday the return of this trade was 4.37%. I will close this trade because the 50MA of XLI went above the 200MA.
My back tests have shown that trades following a "Bought" signal are not beneficial when the 50MA of XLI is above the 200MA and the 20DMF is in cash. Since the beginning of 2010 there have been 11 XLI trades on a "Bought" signal. 6 of them where positive. 4 out of the 5 negative trades where when the 20DMF was in cash and the 50MA of the XLI was above the 200MA. The balance between the positive and negative trades was in favor of the negative ones. That is the reason I skip the XLI signal "Bought" when the 20DMF is in cash and the 50MA is above the 200MA. We had a cross of the 50MA and the 200MA last Friday. On August 2, when the XLI signal "Bought" was given, the 50MA was below the 200MA, so I made the trade. Now that the 50MA is again above the 200MA, I will close that trade.

[lisa]

pdp,

instead of treating the data as EOD, i used the opening price of the day of the signal and am now redoing my excel files. so far, i have still found XLE to be better than XLB but will let you know when i am finished to compare.

sigh.
lisa

[Harry]

Lisa,

Not sure if I am confusing your terminology, but shouldn't you be using "day after the signal" than "day of the signal," meaning if signal was generated at close of 8/13, the earliest you could act would be open of 8/14. Otherwise you are biasing your results by looking ahead.

Harry

[lisa]

harry,

that is exactly my mistake. i essentially jumped the gun and am now correcting my errors. unfortunately, the returns are now worse.

lisa

[pdp-brugge]

Lisa,

While you're doing your work again, maybe calculate also trading fees and taxes. I reduce each trade with 0.50% for fees and taxes. Over 2½ years more then 300 trades makes a lot of fees and taxes.

PdP

[manucastle]

I am going to close my UXI trade today at the open. I started this trade at the open of August 3. At the close last Friday the return of this trade was 4.37%. I will close this trade because the 50MA of XLI went above the 200MA.
My back tests have shown that trades following a "Bought" signal are not beneficial when the 50MA of XLI is above the 200MA and the 20DMF is in cash. Since the beginning of 2010 there have been 11 XLI trades on a "Bought" signal. 6 of them where positive. 4 out of the 5 negative trades where when the 20DMF was in cash and the 50MA of the XLI was above the 200MA. The balance between the positive and negative trades was in favor of the negative ones. That is the reason I skip the XLI signal "Bought" when the 20DMF is in cash and the 50MA is above the 200MA. We had a cross of the 50MA and the 200MA last Friday. On August 2, when the XLI signal "Bought" was given, the 50MA was below the 200MA, so I made the trade. Now that the 50MA is again above the 200MA, I will close that trade.

PdP,

Something I don't quite understand here.

I calculated the highest stop price which occured on 20th Aug at $50.56 - (.7003*1.8) = 49.30

The price on the 23rd of August dropped through this level intraday. UXI should have been stopped out then should it not ?

Thanks in advance.

Trev

[pdp-brugge]

Trev,

Do be honest: for now I am using mental stops. I calculate the (mental) stops each day based on the stop-loss levels of the base model XLI (and his ATR). The base model XLI did not have a stop-loss last week.
I have just done a simulation and you are right: the UXI did have a intraday stop-loss on the 22th @ 49.6792.
The main reason for the mental stops is just psychological.
In fact, the XLK model had also a mental stop-loss last Friday. Because I treated it like a mental stop, it did not fire.
I know that one day I should use real stop loss orders. For now, I hesitate that because someone once told me that stop loss orders are easy to spot by trained traders (HFTs ?) and they are used to trigger bull/bear traps. That's the main reason I do not use real stop loss orders for now.

PdP

[pdp-brugge]

No changes in signals nor trades.

[manucastle]

PdP,

You stated you will be reveiwing the sytem quarterly and so I presume you will change the mix of XLX's if warrented ?

Trev

PdP,

Did you have a chance to think about an answer to the above question please ?

Also, as with many systems we have seen here do you think there is a chance that the excellent results you have achieved in your tests are a product of data mining ? Often when a model's equity curve declines after testing this can be caused by over optimization.

I really appreciate your hard work but understand these difficult questions need to be faced.

Thanks in advance.

Trev

[pdp-brugge]

Trev,

I do intent to review all the criteria I use on a regular base. The next time I will redo the complete study will probably be end of September. Now that my back test environment is setup (the programming is done) all it takes is changing the parameters and let the system run a couple of thousands simulations. When I say redo, I mean also evaluating if other XLX models become more interesting then the ones I have been using.

Of course I use data-mining techniques (I have been a software-developer of analytical accounting software in the past). I have been careful not to over optimize the system. Because my window of data is rather small (January 2010 up until now) the statistical evidence is also rather small. I hope over time this will improve simply because my database will grow. Because my equity curve has already had a serious decline, I have been quit honest. The equity curve has been going up again the last 4 weeks.

PdP

[manucastle]

Trev,

I do intent to review all the criteria I use on a regular base. The next time I will redo the complete study will probably be end of September. Now that my back test environment is setup (the programming is done) all it takes is changing the parameters and let the system run a couple of thousands simulations. When I say redo, I mean also evaluating if other XLX models become more interesting then the ones I have been using.

Of course I use data-mining techniques (I have been a software-developer of analytical accounting software in the past). I have been careful not to over optimize the system. Because my window of data is rather small (January 2010 up until now) the statistical evidence is also rather small. I hope over time this will improve simply because my database will grow. Because my equity curve has already had a serious decline, I have been quit honest. The equity curve has been going up again the last 4 weeks.

PdP

Thanks very much for your quick reply.
It will be fascinating to follow along with its development.

If you are away from your desk or on holiday will we still recieve the tables ?

Trev

[pdp-brugge]

that's my intention...

[pdp-brugge]

I will close the long trade in UYM (XLB model). At the close yesterday this trade had a return of 2.59%.
I will open a new long trade in SMN because the XLB signal is now "Shorted Overbought".

[lisa]

pdp,

my charts show completely different atr3 values than what you are showing in your table. for example, atr3 on XLB is .2925 on my chart. can you explain?

thanks,
lisa

[pdp-brugge]

Lisa,

Maybe I did not explain this enough.

The ATR that I display in the table is the ATR of the instrument that my back test environment uses for its calculations.
For the XLB model, I use UYM as instrument in the simulations both for long and short trades.
Logically a short trade can be perfomed with shorting that instrument or issuing a long trade with the inverted instrument.
My back test environment always goes short when a short signal is given.
The ATR in the table for the XLB-model is therefore the ATR of UYM (even for short trades).

I personally use a long SMN trade for XLB short signals. The ATR for this instrument/trade I calculate for myself.

I hope this makes it clearer.

PdP

[lisa]

pdp,

perfect, thanks for clarifying. my ATR3 of UYM is still slightly different at .6533, but close enough for me to follow along visually.

thanks again,
lisa

[pdp-brugge]

I use Metastock to calculate me the ATR values. In fact, I export all my stock quote data from MetaStock into my custom database.
I have noticed that the ATR calculation of MetaStock is a little bit different then when compared to StockCharts or other tools. I consider that difference negligible.

[manucastle]

pdp,

perfect, thanks for clarifying. my ATR3 of UYM is still slightly different at .6533, but close enough for me to follow along visually.

thanks again,
lisa

PdP and Lisa,

Do you calculate your own ATR(3) or do you get it from a website ( such as Freestockcharts) ?

Trev

[lisa]

PdP and Lisa,

Do you calculate your own ATR(3) or do you get it from a website ( such as Freestockcharts) ?

Trev

trev,

mine is just calculated by think or swim. i did check to see if it was automatically modified by the program but appears that it is not. actually, i just found the difference. my plain ATR3 gives a value of .6533 but the wilder ATR3 gives .7385. i'll change my screen to be the wilder atr to match pdp's system.

lisa

[manucastle]

trev,

mine is just calculated by think or swim. i did check to see if it was automatically modified by the program but appears that it is not. actually, i just found the difference. my plain ATR3 gives a value of .6533 but the wilder ATR3 gives .7385. i'll change my screen to be the wilder atr to match pdp's system.

lisa

Thanks Lisa.

Just checked Stockcharts ATR3's and they folow closely PdP's.

Trev

[pdp-brugge]

no changes in signals nor trades

[pdp-brugge]

No changes in signals nor trades.

The 14MA of the S&P500 started to go down yesterday. This is one of the conditions for the VSTpro to go short. Nothing to be sure of at this moment but anything can happen.
I guess everyone is waiting for Uncle Ben to speak the right words...

[manucastle]

Trev,

I do intent to review all the criteria I use on a regular base. The next time I will redo the complete study will probably be end of September. Now that my back test environment is setup (the programming is done) all it takes is changing the parameters and let the system run a couple of thousands simulations. When I say redo, I mean also evaluating if other XLX models become more interesting then the ones I have been using.

Of course I use data-mining techniques (I have been a software-developer of analytical accounting software in the past). I have been careful not to over optimize the system. Because my window of data is rather small (January 2010 up until now) the statistical evidence is also rather small. I hope over time this will improve simply because my database will grow. Because my equity curve has already had a serious decline, I have been quit honest. The equity curve has been going up again the last 4 weeks.

PdP

Hi PdP (and Pascal and Billy if interested),

I noticed this and would be interested in your thoughts and do you agree, strongly disagree with the writer :-
================================================== =======
MarketSci Blog


--------------------------------------------------------------------------------
Backtests Ain’t Worth the Pixels They’re Written On

Posted: 29 Aug 2012 09:55 PM PDT

The most common feedback (by far) I’ve received about our proprietary strategies over the last 6+ years have been requests for backtested results.

My response has always been that I don’t release backtested results for our own strategies…ever.

Backtests are perfectly fine for testing, sharing, and discussing ideas; that’s more or less the only thing we do here on this humble blog.

But backtests should never be used to judge the efficacy of a black box you’re considering committing hard earned funds to.

I’m cynical. I’ve seen way too many examples of folks who sold based on backtests, only to fall woefully short in real-time trading. I’m sure you could recount your own share of horror stories.

The only thing that really matters in judging a strategy is actual, real-time, verifiable trading results. Everything else is window dressing.

If I could somehow guarantee that folks would see backtests for what they’re really worth: best guesstimates, guilty of the same cognitive biases that we ALL face and inherently curve-fit, I would release them in a heartbeat.

But I can’t guarantee that.

I know that readers’ eyes get wide when they see a sexy equity curve because even though I know I shouldn’t, mine do too.

So sorry, but I can’t in good conscience share backtests. Rest assured that they would be sexy, and your eyes would go wide, but that, like all backtests, they wouldn’t be worth the pixels they were written on..........

http://marketsci.wordpress.com/2012/08/30/backtests-aint-worth-the-pixels-theyre-written-on/

========================================

Trev

[pdp-brugge]

Trev,

I can only answer for myself.

I know my system is not a BlackBox. I know what is inside it and I know the parameters that control the decisions to buy/sell with the proper position size.
I do not sell my strategy. I share my strategy with the members of the EV website just to learn and improve my own trading.
If someones want's to follow my signals it is entirely the decision of that person and I do not take any responsibility.

PdP

[manucastle]

Trev,

I can only answer for myself.

I know my system is not a BlackBox. I know what is inside it and I know the parameters that control the decisions to buy/sell with the proper position size.
I do not sell my strategy. I share my strategy with the members of the EV website just to learn and improve my own trading.
If someones want's to follow my signals it is entirely the decision of that person and I do not take any responsibility.

PdP

Hi PdP,

Understood. Just throwing this into the mix. The forum's are VERY quiet and we need some alternative opinions to stimulate discussion.

I very much appreciate your input.

Trev:O)

[manucastle]

Yep, I take all the trades after a stop-loss and if the signal is still valid.
Of course: the filters keep on playing.
Sometimes the filters force me to close a trade because the odds or not in favor to continue a trade once the filters states the signal is no longer valid.
An example: let's state that at a certain time a signal came to buy XLF because the signal in the XLX-files of the EV-website changes to "Bought. The filter for a XLF Bought signal is that Combo-MF may not be in Cash. If Combo-MF is at that time not in Cash, I will take the trade. In during that trade the Combo-MF goes to Cash, then I will close that XLF trade.

PdP,

From your comments above do your backtested results include all re-buys after an instrument is stopped out and the signal is still valid for re-entry ?

Trev

[manucastle]

PdP,

From your comments above do your backtested results include all re-buys after an instrument is stopped out and the signal is still valid for re-entry ?

Trev

PdP,

I would appreciate your confirmation of the above to help with my own testing.

Thanks in advance.

Trev

[pdp-brugge]

Trev,

Yes, my back-tested results are based on re-entry the day after a stop-loss was hit if the signal (with the appropriate filters) still is valid.
As a reference, I have made an excel with 3 tab-sheets. The first one "Raw Signals" are all the trades between January 4, 2010 and last Friday purely based on the signals. The second sheet "After Filters" are the trades after applying my custom filters (based on statistical reference). The third sheet "After Stop-Loss" are the trades after applying my stop-loss strategy. This last sheet has all the trades that in theory my strategy should/could have made if I had that strategy in January 2010.

PdP

[pdp-brugge]

No changes in signals nor trades

[manucastle]

Trev,

Yes, my back-tested results are based on re-entry the day after a stop-loss was hit if the signal (with the appropriate filters) still is valid.
As a reference, I have made an excel with 3 tab-sheets. The first one "Raw Signals" are all the trades between January 4, 2010 and last Friday purely based on the signals. The second sheet "After Filters" are the trades after applying my custom filters (based on statistical reference). The third sheet "After Stop-Loss" are the trades after applying my stop-loss strategy. This last sheet has all the trades that in theory my strategy should/could have made if I had that strategy in January 2010.

PdP

Thanks very much Pascal.

Trev

[pdp-brugge]

No changes in signals nor trades.

[pdp-brugge]

No changes in signals nor trades.

The 14MA of the S&P500 has again started to go down yesterday. This is one of the conditions for the VSTpro to go short. Nothing to be sure of at this moment but anything can happen.
I guess everyone is now waiting for super Mario to do what he said he would do...

[manucastle]

Trev,

Yes, my back-tested results are based on re-entry the day after a stop-loss was hit if the signal (with the appropriate filters) still is valid.
As a reference, I have made an excel with 3 tab-sheets. The first one "Raw Signals" are all the trades between January 4, 2010 and last Friday purely based on the signals. The second sheet "After Filters" are the trades after applying my custom filters (based on statistical reference). The third sheet "After Stop-Loss" are the trades after applying my stop-loss strategy. This last sheet has all the trades that in theory my strategy should/could have made if I had that strategy in January 2010.

PdP

Hi Pdp,

I am checking through your Excel sheets.

It is a fairly close run between "After Filters" and "After Stop loss". You will obviously be observing this difference as we go forward and I hope you can keep us informed.

Just for clarity I am taking "After Stop Loss" as "After Filters and After Stop Loss Combined". Is this correct ?

Thanks in advance.

Trev

[pdp-brugge]

Trev,

As I have stated in my paper, my stop-loss strategy is not meant to add extra gains but to create a controlled environment where risk is able to be measured and applied.
The ideal stop-loss levels are automatically calculated each day by moving the 250-day window one step forward. The optimal stop-loss levels are therefor based on the performance of each model during the last 250 trading days.
Yes, "After Stop Loss" is after applying my custom filters and then applying my stop-loss strategy.

PdP

[pdp-brugge]

The XLI model has a "bought" signal since yesterday. I am not going to take this signal. My back tests have shown that XLI "Bought" signal are not productive when the 20DMF is in Cash and the 50MA of XLI is above the 200MA as it is now.
The other signals did not change and I will not change the trades in progress.

[pdp-brugge]

The XLB signal is now "Cash Overbought" since the close of September 7. I will close my short UYM trade at the open. The long trades in TQQQ, TECL and XLY remain active.

[pdp-brugge]

The XLB, XLF and XLY models have all a "Shorted Overbought" signal since the close of yesterday. I will follow the XLB signal and ignore the XLF and XLY signals. My statistics have shown that following XLF "Shorted Overbought" signal when the Combo-MF is long is not profitable. Following a XLY "Shorted Overbought" when the 20DMF is not short is also not profitable. The trades in TQQQ and TECL remain valid.

[manucastle]

The XLB, XLF and XLY models have all a "Shorted Overbought" signal since the close of yesterday. I will follow the XLB signal and ignore the XLF and XLY signals. My statistics have shown that following XLF "Shorted Overbought" signal when the Combo-MF is long is not profitable. Following a XLY "Shorted Overbought" when the 20DMF is not short is also not profitable. The trades in TQQQ and TECL remain valid.

Hi PdP,

I take it you will be closing the XLY long position at the open.

Should the ATR(3) of TQQQ be 2.138 ?

Also, would it be possible to publish a running total of the equity trend of the model when you are able ?

Thanks in advance.

Trev

[pdp-brugge]

Trev,

I'm not at my desk for the moment and am unable to respond until later today

PdP

[manucastle]

Trev,

I'm not at my desk for the moment and am unable to respond until later today

PdP

Hi PdP,

Some of the other figures in the tables are possibly wrong. (ie NoFear has dropped from 11.41% to 7.91%). Could you please amend them when you are able.

Trev

[pdp-brugge]

oeps...

I have uploaded the wrong image.
Here is the correct one:

[pdp-brugge]

The XLF EOD signal is now "Cash Overbought". I did not trade the short signal yesterday so here no change.
My other trades (long TQQQ, long SMN and long TECL) remain valid.

[pdp-brugge]

No changes in signals nor trades.

[manucastle]

Hi PdP,

I take it you will be closing the XLY long position at the open.

Should the ATR(3) of TQQQ be 2.138 ?

Also, would it be possible to publish a running total of the equity trend of the model when you are able ?

Thanks in advance.

Trev

Hi PdP,

Regarding the 3rd point, are you able to provide a running total of the equity trend of your model from time to time ?

Trev

[pdp-brugge]

No changes in signals nor trades

[pdp-brugge]

I have exported the equity and draw-down data from my application into excel. This is just the rough data. I publish it here without large makeup.
If one looks at it at first glimpse, the current draw-down is long and very huge. Since May 2012 there have been 4 consecutive negative months. This is somewhat painful. Fortunately my NoFear measures have prevented larger draw-downs.
However, if one looks at it as a whole, then it is easy to see that most of the times the strategy does perform quite well.
Since January 2010, there have been 24 positive months and only 8 negative months. That is a ratio of 3:1. The average result of the positive months is 12.18% where the average negative month is only -2.79%. 16 months where above the monthly median of 7.0%. That is 50%
Since January 2010 there have been 77 positive weeks and 42 negative weeks. That means that 65% of the weeks have ended positive. The average positive week is 4.08% where the average negative week is only -1.40%. 70 weeks where above the weekly median of 0.17%. That is 58.8%

I hope this will answer the questions that Trev still has.

Any feedback is always welcome.

PdP

[ernsttanaka]

I have exported the equity and draw-down data from my application into excel. This is just the rough data. I publish it here without large makeup.

PdP

PdP - Great numbers! Are they based on actual trading or do they come from back testing your strategies?

Sorry if you disclose this before in the thread - The two kids are still out of school - so I am a bit delayed in reading all threads.

Ernst

[pdp-brugge]

Hi Ernst,

The results are achieved through back testing. Personally I have followed this strategy with real trades since approx 6 months.
I have published several papers regarding this strategy. The latest one is this:

[Harry]

PdP,

FYI, I went back to the beginning of this thread and tried to re-download the first few papers (I read them but cannot find where I saved them) and the links are now invalid ("Invalid Attachment specified. If you followed a valid link, please notify the administrator")? Did you take the attachments down or is it an issue with the site?

Thanks,
Harry

[pdp-brugge]

Harry,

Here is my first paper published March 3

[pdp-brugge]

The XLB model is now in cash. It has been since the close of the 13th but because of a technical problem with the EV data I did not get this change of signal until Saturday morning. The XLY model is also in cash.

Since the remark last Friday of Pascal concerning the 20DMF current "neutral" status, I am considering the 20DMF (for my filters) as being "long". Because of this attitude-change I am going to open a new trade in UXI. The XLI model has been in "Bought" status since the close of September 6. I did not take that trade at that time because my back-test statistics learned me that following a "bought" trade in XLI is not profitable when the 20DMF is in cash. Now that I consider the 20DMF to be in forced long status I will follow the "bought" signal of the XLI model.
Please notice that I have placed the 20DMF in status "long" only for my filters and that this is my interpretation of the current market situation after the launch of QE3.

The trades in TQQQ and TECL are still on.

[pdp-brugge]

No changes in signals nor trades

[pdp-brugge]

No changes

[pdp-brugge]

No changes

[pdp-brugge]

No changes

[pdp-brugge]

The XLB & XLF models have now a "Shorted Overbought" signal. I will not follow these signals because my back test statistics have shown me that they do not provide a significant positive egde.
The XLI & XLK models are now in "Cash" and I will close the running trades for these models at the open today.
My only remaining trade is the long trade in TQQQ.

[pdp-brugge]

No changes

[pdp-brugge]

The model XLY has a "Shorted Overbought" signal since the close of yesterday. I will not follow this signal because my back test statistics have shown that following a Overbought signal when the 20DMF is not Short is not profitable.

[pdp-brugge]

No changes

[pdp-brugge]

No changes

[pdp-brugge]

No changes

[pdp-brugge]

No changes