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
Thanks PdP, I will be watching with interest.Originally Posted by pdp-brugge
Trev
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
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
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
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
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
PdP,
Thank You for sharing your terrific work and daily updates.
Lee
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
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
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