jsheetz
23 posts
msg #104476
- Ignore jsheetz |
1/17/2012 10:51:27 PM
My mistake, I guess I misread your post on 6/3/2011 7:00:15 AM as you mentioned both ways. This makes more sense now why you never seemed to mention the other half of the pairs trade.
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Kevin_in_GA
4,599 posts
msg #104480
- Ignore Kevin_in_GA |
1/18/2012 8:46:25 AM
Not a problem - I just didn't want people to think this was different from how I had developed it.
If you look at the equity curve and the Sharpe ratio, there really is no need to hedge on this. Over the 10 year period tested (1999-2009, which included two brutal recessions) this system performed admirably.
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niajy
13 posts
msg #104481
- Ignore niajy |
1/18/2012 10:14:37 AM
PM buy alert
BIG ...about to exit from long?
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Kevin_in_GA
4,599 posts
msg #104482
- Ignore Kevin_in_GA
modified |
1/18/2012 10:43:09 AM
BIG Z score still at -1.27, so no SELL just yet. Since this is against the SPY, it needs to outperform the overall market to really make a move in the Z score.
UPDATE at 12:13 PM EST. BIG just crossed above -1 on Zscore, triggering a SELL signal at 38.37. In at 37.34, out at 38.57 - a gain of +3.3% in one day.
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unbias123
9 posts
msg #104484
- Ignore unbias123 |
1/18/2012 12:29:53 PM
Hi Kevin
I am new to SF. I have gone through this thread and appreciate your work. Today I saw PM as buy in your original Filter given on page 1 of this thread. where can I see the Exit for this trade i.e. Exit Filter.
I will appreciate your reply.
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Dylan
43 posts
msg #104485
- Ignore Dylan |
1/18/2012 1:22:30 PM
I am new to SF. I have gone through this thread and appreciate your work. Today I saw PM as buy in your original Filter given on page 1 of this thread. where can I see the Exit for this trade i.e. Exit Filter.
I will appreciate your reply.
*****
The answer to your question can be found on the second page of this thread. You need to first create a
watchlist then apply it to the the exit filter Kevin created towards the bottom of page 2.
Thx
Dylan
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niajy
13 posts
msg #104487
- Ignore niajy |
1/18/2012 1:30:04 PM
ye nice win on BIG..
on PM for the moment losing...
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unbias123
9 posts
msg #104488
- Ignore unbias123 |
1/18/2012 1:36:18 PM
The answer to your question can be found on the second page of this thread. You need to first create a
watchlist then apply it to the the exit filter Kevin created towards the bottom of page 2.
Thx
Dylan
+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
Thank you very much for your help.
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sohailmithani
192 posts
msg #104489
- Ignore sohailmithani |
1/18/2012 2:12:16 PM
First, excellent job by Kevin and thank you for sharing the filters. Looks promising.
Now a quick question. Do I run the entry and exit filters at EOD or whenever I feel like. If EOD then why BIG was sold before EOD today and PM bought already?
Thanks
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sohailmithani
192 posts
msg #104490
- Ignore sohailmithani |
1/18/2012 2:15:34 PM
Kevin, When did BIG trade trigger as the filter is not showing for the last 5 days.
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