Trev,
this is the expanded table
the ATR3 and ATR Multiples are added for the models where trades can be made
PdP
Trev,
this is the expanded table
the ATR3 and ATR Multiples are added for the models where trades can be made
PdP
Hi PdP,Originally Posted by pdp-brugge
That's excellent. Thank you very much indeed for your hard work. :O)
Trev
pdp,
thanks so much for sharing your work. this is very interesting, but i am surprised that you chose XLI as one of your 4 studies and UXI/SIJ as the trading vehicles within. the volume is so low on both of those ETFs that i wonder is it realistic to trade them? was there another runner up that had better volume in your tests, or were the results for the other candidates too poor?
i know you spent a tremendous amount of time on your studies, so thanks again for sharing it with the group,
lisa
Lisa,
In my back tests there where only two models of the nine S&P sub-components that where "good enough" for further investigation. The third "runner up" was XLV.
I am aware of the very low volume on UXI/SIJ. I have traded them in the last months and had no real problems. At times it takes some time to get an order filled or a stop-loss order does not work immediately. Because I trade very light, I did not have problems with the low volume on both instruments.
For reference, I just re-performed the comparison of the nine S&P sub-components. These back tests are performed without stop-loss, without possible optimization (only trade under certain 20DMF states) and using only the single ETFs from July 30, 2007 up until the close of yesterday.
Regards,
PdP
PDP,
Until 2009, the composition of these XLX was much different than what we have since 2010.
Hence, the XLX model that I ran in back-tests is reliable only since 2010.
There is no point in going back down to 2007.
Pascal
Pascal,
I know that you have back tested the XLX models and found that they where only "reliable" from 2010.
I just ran my back tests again, now starting from January 4, 2010 as first period.
The results that I get are inline with my previous results: only XLB and XLI are looking promising.
Am I overlooking something?
PdP
Sorry but I have been mainly out of the desk for the whole day today. This is why I could not post a comment this morning.
I am only slowly coming back and see that the market is pulling back.
So, if you do not mind, I'd prefer to catch with the "market mood" today and come back to the back-test over the week-end.
Pascal
No problem.
Take your time.
PdP,
I have just re-read the 3rd part of your trading strategy and you mention a trailing stop less method.
Do you use this in practice and if so how do you apply it ?
Trev
After the different posts yesterday, it became clear to me that there was somewhere an error in my back tests. The trades that where generated with my back test software for some of the S&P sub-components where not inline with the signals logged in the XLX_Trades Excel file.
My back tests are based on signal changes. These signal changes are logged in a file that I have manually created. I created this file in March from data that I had found somewhere on this site. From that moment one, I update manually every day this file with the data from the first sheet in the XLX_Trades file that Pascal updates every day.
If I now compare my signals from March 7 on, my file is correct. However: before March 7 there are differences in my manually created file and the history that is recorded on the different sheets that hold the data for the different sub-components in the XLX_Trades excel. I have checked only one model (XLE) and found some significant changes.
I will have to recreate my signal file. This will take me some time. After that, I will rerun my back tests and report back again.
PdP
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