calhawk01
135 posts
msg #101152
- Ignore calhawk01 |
6/9/2011 11:29:30 PM
Well i can't argue with that. Your statistics make it more clear. I was using stockfetcher and it seemed to me that rsi(2)>70 increased your win% and roi%.
By the way, sharpe ratio calculation = Return on portfolio - risk free / STD portfolio
So.. Average annual return = 90.40
30year riskfreerate= 4.37
standard deviation= 41.88
90.40-4.37 / 41.88 = 2.05 = sharpe ratio
How does your software derive .4914?
Thanks
|
jkinghome
7 posts
msg #101153
- Ignore jkinghome |
6/9/2011 11:57:15 PM
I believe that Kevin's software uses monthly Sharpe ratio. So you need to multiply it by 3.46 (square root of 12) which equals 1.7 annual Sharpe ratio.
|
starfox182
24 posts
msg #101157
- Ignore starfox182 |
6/10/2011 6:38:34 AM
How does this work if you don't have 100k? Does holding a little longer yield greater % gains?
|
Kevin_in_GA
4,599 posts
msg #101158
- Ignore Kevin_in_GA |
6/10/2011 7:30:43 AM
Not really. I ran several variants that looked at exiting when the Z score was >-0.5 and >0 and neither did as well. I also looked at extending the maximum days held, but these trades are typically completed in 5 days or less, so it added nothing.
|
seanban
22 posts
msg #101183
- Ignore seanban |
6/10/2011 3:09:18 PM
novacane320000
"I took a look at setting a stop at the open of the next day after a sell trigger but that will not improve results-With the small sample size I looked at most times I got a worse fill with the stop than I would have by just selling at the open.
As far as which is best all depends on which way the market and your stock is headed when you sell.
Either way ,very excited at the potential here. Big thanks to Kevin for his work. "
Thanks for your reply. One variant I'm building into the paper trade system is to buy on green i.e. only when it trades a few cents above the open price and round numbers.
As today was predictably a red day, I'm wondering if there is a way to improve the approach.
Indeed a big Thanks to Kevin for his inspired feedback.
Sean
|
novacane32000
331 posts
msg #101193
- Ignore novacane32000 |
6/10/2011 10:29:48 PM
I started tracking slippage today.
I enter my actual buy and sell prices real time and then also track the trade based on the opening price the day after the signal.
My expectation is to get better fills in a down market and worse fills in an up market.
|
Kevin_in_GA
4,599 posts
msg #101196
- Ignore Kevin_in_GA |
6/11/2011 8:38:29 AM
Just following up -
SWY: bought at 22.28, sold at 22.36
FMC: bought at 78.68, sold at 79.02
KIM: bought at 17.66
ALTR: bought at 43.94
No exit signals for Friday.
|
mdrobish
1 posts
msg #101205
- Ignore mdrobish |
6/11/2011 11:12:07 AM
Kevin, not sure if I'm missing something...I am trying to code this in NT to see if the backtesting correlates...I'm pretty close, but I think I'm missing the meaning of the thresholds. Are they use to actually trigger the buy? It seems they are only being set.
|
Kevin_in_GA
4,599 posts
msg #101208
- Ignore Kevin_in_GA |
6/11/2011 12:16:25 PM
Yes, the thresholds trigger both buys and sells. In an automated system this would happen intraday.
Also note that this is really only one half of a pair trade (go long the stock while simultaneously going short on the ^SPX). Since we are looking at the ratio of the stock to it's index you bet on both the numerator to rise and the denominator to fall. This week the long stocks have held up ok, but if you had also gone short by by buying SH you would be better off since most of the movement in the Z-score came from a large drop in the ^^SPX.
Kevin
|
jkinghome
7 posts
msg #101212
- Ignore jkinghome |
6/11/2011 3:23:13 PM
_______________________________________________________________________________________________
Also note that this is really only one half of a pair trade (go long the stock while simultaneously going short on the ^SPX). Since we are looking at the ratio of the stock to it's index you bet on both the numerator to rise and the denominator to fall. This week the long stocks have held up ok, but if you had also gone short by by buying SH you would be better off since most of the movement in the Z-score came from a large drop in the ^^SPX.
Kevin
_______________________________________________________________________________________________
So, just to confirm. For example. if we are trading with a total $100K, and having 7 long positions open at all times (replacing closed positions with new positions of score >2), we would always be equally short ^SPX via an ETF like SH ($50K). We will never be closing the SH position, because we are always long with the other pair? Is that correct?
|