Quote Originally Posted by davidallison@shaw.ca View Post
Ellis, The robot issued a buy for the 10th of June at a price of 78.39. This was filled later in the day on the 10th, as the price of IWM dropped to the entry level and was filled. The signal is valid after the close on the 9th, but was not published until a few hours before market open on the 10th. Hope this helps, Dave
Thank you Dave, your comment is correct.
For the old (backtest) 2007 trades, I will check with Pascal or I'm sure he will jump in the thread.
About the allocations, they will be further detailed in the Algo & Multi pivot forum over time.
If you trade only IWM/RWM, then the optimal proportion of GDX is much higher than if you trade the double or triple-leveraged IWM related ETFs. However, note that the backtest period included the most volatile market in a decade and future results may differ much if we enter a period of stable volatility.
Pascal will post soon an enlighting robot drawdown study for GDX compared to IWM that demonstrates that non-leveraged and double-leveraged IWM trading should be combined with GDX trading for optimal portfolio risk-adjusted performance.