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

[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