Kevin_in_GA
4,599 posts
msg #124562
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7/30/2015 8:13:50 PM
Others may think this is achievable, but I am convinced that it is not.
I have personally run over 2 million different brute force combinations of indicators on SPY and no result ever even got close to that annual return level. I do not believe that any combination, including combinations of long and short trades, can meet that goal over any reasonable time frame (say the last 10 years).
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shillllihs
6,102 posts
msg #124566
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7/31/2015 2:48:33 PM
No, i agree with that. From my findings it is not possible. But i think i have come close
using spy/sh as a lead to trade xiv. Just not good at automating my system though.
I think it's good.
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shillllihs
6,102 posts
msg #124578
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8/3/2015 10:16:53 AM
In TAN for the long haul.
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shillllihs
6,102 posts
msg #124595
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8/4/2015 5:43:44 PM
Guggenheim Solar ETF (TAN) -NYSEArca
33.93 Down 0.29(0.85%) 4:00PM EDT
After Hours : 37.11 Up 3.18 (9.37%) 4:56PM EDT
what happened here
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karennma
8,057 posts
msg #125030
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9/17/2015 7:33:03 AM
IT IS CRITICAL!!
shillllihs
1,318 posts
msg #124561
- Ignore shillllihs
modified 7/30/2015 7:40:49 PM
I believe it is critical that all you folks concentrate on creating & sharing new filters
concentrating on entry & exit of SPY. Get away from the individual stocks & really
focus on this etf for safety & consistency.
A daily, or even monthly system producing 50% or better would be divine!!
====================
I agree re: "sharing" in general.
Most of my picks are posted on Intraday Alerts.
I think maybe a lot of peeps don't post because they're afraid they might be wrong, or they'll be criticized.
But everyone should understand, filters can be tweaked and picks are "at your own risk".
I am so appreciative to those who have the guts to share ...
Four, Mactheriverrat, JP, Kevin, mahkoh to name a few ... Thanks, guys!
After my recent AMBA loss, I need all the help I can get.
:>/
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Eman93
4,750 posts
msg #130802
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9/1/2016 11:43:13 PM
Kevin_in_GA
3,683 posts
msg #124562
- Ignore Kevin_in_GA 7/30/2015 8:13:50 PM
Others may think this is achievable, but I am convinced that it is not.
I have personally run over 2 million different brute force combinations of indicators on SPY and no result ever even got close to that annual return level. I do not believe that any combination, including combinations of long and short trades, can meet that goal over any reasonable time frame (say the last 10 years).
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I think you need to have 3 systems .. one for bullish trend, one for range bound and one for bear trend.
You see one system cant do it all, you don't want to be shorting in the bullish trend and vice versa. Use various market periods to back test and optimise the 3 systems.. then trade them.
I've seen long term weekly charts trading the 13/34 cross but you are going to have some serious draw downs at times and only 8 crosses since 09.
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StefanM
25 posts
msg #130829
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9/3/2016 7:57:48 AM
Kevin, as you wrote about StrataSearch: I am also running this, I simply run a brute force over the stocks within the S&P500. I found a combination which returns about 30% since 2005. Not that I would not be satisfied with 30% per average, but I would like to know how you think that the brute force results still could be improved.
Optimization strategy, walk forward analysys etc.. you know what I mean, as you know StrataSearch. Are you running something like this after your brute force search?
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Kevin_in_GA
4,599 posts
msg #130830
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9/3/2016 9:21:45 AM
What Shilllihs originally asked for was a system based solely on SPY or the ^SPX index. The obvious challenge there is trade frequency, which can be improved by using the entire S&P 500 but that is a different system from what was requested.
Only through the use of leveraged ETFs that are bought/sold BASED ON signals from the ^SPX do I think this is possible - what was not mentioned was the acceptable failure rate and maximum drawdown one should expect. Getting to 50% per year requires risk of equally large losses along the way.
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shillllihs
6,102 posts
msg #130840
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9/3/2016 3:57:08 PM
So we agree that by using leveraged etfs through spx as the indicator,
50% may be achievable assuming you have ballz of steel.
It seems we have enough information to make 10-15% in spy
which would translate to 50-60% in Spxl Xiv Spxu Tvix, so what
we should work on is intestinal fortitude.
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Kevin_in_GA
4,599 posts
msg #130842
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9/3/2016 4:19:42 PM
Or proper positional sizing and proper entry and exit criteria. Drawdowns are part of trading, but can be managed at the expense of some profitability. This is why I tend to look at both the Sharpe and Calmar ratios for any trading system I am evaluating.
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