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Post by simonsays on Aug 26, 2014 8:58:37 GMT -5
So....for some good news. I have been testing many many different moving average based systems over the last weeks and I have learned a tonne. First, market timing systems do work! Second, they work better if you can filter out the noise having to do with short term movements, as none of my shorter term timing systems returned well. That said, I have found a system that works well on pretty well every ETF I tested, which bodes well because it suggests that I am not going overboard with curve fitting. Anyway, the system returned 110% for GDX between 2007 and present, a time period during which GDX returned minus 40%. This occurred with only three round trip trades and avoided 2008 and the full bear market. Interestingly, under this system, a weak buy was generated in mid April and remains in effect. My interpretation of this is that we could easily get another sell signal before we resume a strong uptrend but the sell should not result in a large sell off. If it does, it would be the first time in the test period that it will occur. So the upshot is that we may get some wild fluctuations here for the next six months, but in all likelihood the next major move in this sector is up. I know, perhaps not earth shattering but the system also kicked the S&P's ass during this time period. I'm working on combining this with another system that I have been using but I think they will produce some very solid results!
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Post by simonsays on Aug 26, 2014 8:59:24 GMT -5
Shit, that should say August 26th. Oh well, you know what I mean!
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Post by platy on Aug 26, 2014 9:25:57 GMT -5
That's great Simon! Can't wait to see you putting this to use.
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Post by platy on Aug 26, 2014 10:07:36 GMT -5
KHC has no conviction?  Seriously, dude make $100K so far this year!! Just gotta laugh. |
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Post by simonsays on Aug 26, 2014 10:25:54 GMT -5
KHC has no conviction? Seriously, dude make $100K so far this year!! Just gotta laugh. Yeah, Tex refuses to acknowledge that his direct style ruffles feathers. Either that or he just doesn't care. WRT KHC, IMHO, it is poor form to say you made 100k because a) no one knows what that means in percentage terms, and b) it sounds like your bragging about the size of your book. Anyway, based on KHC's other posts, I think he is just expressing his own happiness and excitement, which is a good thing. So, all things considered, no big deal. |
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Post by platy on Aug 26, 2014 10:30:17 GMT -5
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Post by simonsays on Aug 26, 2014 10:34:32 GMT -5
My bad. Never saw that. Very impressive! |
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Post by daniel on Aug 26, 2014 10:36:49 GMT -5
So....for some good news. I have been testing many many different moving average based systems over the last weeks and I have learned a tonne. First, market timing systems do work! Second, they work better if you can filter out the noise having to do with short term movements, as none of my shorter term timing systems returned well. That said, I have found a system that works well on pretty well every ETF I tested, which bodes well because it suggests that I am not going overboard with curve fitting. Anyway, the system returned 110% for GDX between 2007 and present, a time period during which GDX returned minus 40%. This occurred with only three round trip trades and avoided 2008 and the full bear market. Interestingly, under this system, a weak buy was generated in mid April and remains in effect. My interpretation of this is that we could easily get another sell signal before we resume a strong uptrend but the sell should not result in a large sell off. If it does, it would be the first time in the test period that it will occur. So the upshot is that we may get some wild fluctuations here for the next six months, but in all likelihood the next major move in this sector is up. I know, perhaps not earth shattering but the system also kicked the S&P's ass during this time period. I'm working on combining this with another system that I have been using but I think they will produce some very solid results! Simon...that is very good news!! What is it currently telling you about s and p? I am assuming we are topping very soon here??, no? |
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Post by simonsays on Aug 26, 2014 10:49:38 GMT -5
Simon...that is very good news!! What is it currently telling you about s and p? I am assuming we are topping very soon here??, no? Despite being incredibly overbought in the long term, unfortunately the system is not close to signalling a sell in the S&P. That being said, there is one instance where the signal came a tad late and that was when the drop came very suddenly (recall the debt ceiling issue). All other notable instances of market turns where signalled well in advance. I've identified a separate parameter that would have gotten one out of the market in 2011 and it is also not close to triggering (although keep in mind this one can change very quickly). |
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Post by daniel on Aug 26, 2014 10:56:28 GMT -5
Simon...that is very good news!! What is it currently telling you about s and p? I am assuming we are topping very soon here??, no? Despite being incredibly overbought in the long term, unfortunately the system is not close to signalling a sell in the S&P. That being said, there is one instance where the signal came a tad late and that was when the drop came very suddenly (recall the debt ceiling issue). All other notable instances of market turns where signalled well in advance. I've identified a separate parameter that would have gotten one out of the market in 2011 and it is also not close to triggering (although keep in mind this one can change very quickly). OK.. sounds good..... anything on Oil?? a couple decades ago I created a system.. (based off what I learned from one of my finance professors who traded and ran a hedge fund at one time... i took as many classes as i could from this guy both undergrad and graduate but his health was failing and he was at times very cantankerous) anyway I bought a program to test systems but I had to program my system in and I was NO computer programmer.... so when I finished, my back tested results were pretty awe inspiring BUT i could not verify the program was even running the system correctly??? the system would work on anything but I tested it on futures contracts! It actually was not that difficult a system but I just never was sure the info was accurate and I really had nowhere to turn?? but it was fun stuff I must say!! |
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Post by simonsays on Aug 26, 2014 11:07:34 GMT -5
Oil is a tough one. Extreme volatility since 2011 would have kept one out of the market basically the whole time and right now it's a "no go", although keep in mind this is a long term indicator and on any short term chart oil is a "buy" for a trade.
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Post by simonsays on Aug 26, 2014 11:11:31 GMT -5
Yes Daniel, I also thought about purchasing a back testing system but decided I couldn't trust the black box, so I do all my testing in excel and then verify buys and sells visually on the chart. This way I can interpret the action leading up to each signal. It's the only way I can trust it.
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Post by daniel on Aug 26, 2014 11:15:43 GMT -5
Yes Daniel, I thought about purchasing a back testing system but decided I couldn't trust the black box, so I do all my testing in excel and then verify buys and sells visually on the chart. This way I can interpret the action leading up to each signal. It's the only way I can trust it. BINGO.... I remember programming in "my system" and then running it via the backtested data!! But the trust factor was not there!!! sucks. I later attempted to retry and papertrade it with current prices but the data collection and entry vie Excel was too time consuming! Would have loved to have a partner or company validate my results but then the major trust factor came into play again!! So I just try to get in on macrotrends (like Gold I thought) and ride them!!! i still believe this Gold Bull is nowhere near done... but I also still think we are in an equity secular bear market!! BUT, what the heck do I know? |
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Post by simonsays on Aug 26, 2014 11:23:44 GMT -5
Yes, It's of no value to me to enter parameters only to have a summary sheet spit out results. I need to visualize what happened. I have been looking at every trade individually on the charts. The spreadsheet is automated but the the data for each time period is all there to be reviewed. Time consuming but worth it in the end I figure.
Wrt to gold, looking back over the historical gold mining index there really are no examples where a secular bear market of any magnitude was not followed by a decent bull market. Such is the nature of markets. And gold is a great trender (up and down) to boot.
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Post by daniel on Aug 26, 2014 11:34:27 GMT -5
Yes, It's of no value to me to enter parameters only to have a summary sheet spit out results. I need to visualize what happened. I have been looking at every trade individually on the charts. The spreadsheet is automated but the the data for each time period is all there to be reviewed. Time consuming but worth it in the end I figure. Wrt to gold, looking back over the historical gold mining index there really are no examples where a secular bear market of any magnitude was not followed by a decent bull market. Such is the nature of markets. And gold is a great trender (up and down) to boot. From your lips to God's ears!!!  keep us updated on your progress simonsays!!! I commend your; effort, fortitude, and hopefully great results!! Godspeed!! |
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pkf
Junior Member
Posts: 52 
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Post by pkf on Aug 26, 2014 11:59:43 GMT -5
Yes, It's of no value to me to enter parameters only to have a summary sheet spit out results. I need to visualize what happened. I have been looking at every trade individually on the charts. The spreadsheet is automated but the the data for each time period is all there to be reviewed. Time consuming but worth it in the end I figure. Wrt to gold, looking back over the historical gold mining index there really are no examples where a secular bear market of any magnitude was not followed by a decent bull market. Such is the nature of markets. And gold is a great trender (up and down) to boot. That is the only way of doing things; it gives you a real "feel" of events. |
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Post by sb on Aug 26, 2014 16:01:46 GMT -5
As much as I like days like today and would welcome more every time, one look at the chart below (and my P+L) tells me we've mostly gone nowhere for the last 8-10 weeks: stockcharts.com/h-sc/ui?s=GDX&p=D&yr=0&mn=9&dy=0&id=p87288283119That said, if I were a short term betting man I'd say we're setting up for another trip to the high end on GDX near the $27-$28 level again in the near term. I still believe the bigger moves higher (or lower if that is the case) will take longer than most anticipate. Holding everything and even added a few shares here and there over the past couple days, not today though, I am only happy buying into weakness. Good luck! |
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Seriously, dude make $100K so far this year!! Just gotta laugh.
keep us updated on your progress simonsays!!! I commend your; effort, fortitude, and hopefully great results!! Godspeed!!
