S&P, NDX, VIX Models
The S&P model has made money on 4 out of 7 trades the average of all the winning and losing trades combined is 1.84% the compounded return is 10%. As a comparison the S&P 500 is down -6% since the first model signal on October 20th. Net net the S&P model has outperformed buy and hold by 16%. All of the entry and exit prices are based on the S&P 500 futures price. Signals can be verified in the archives here.
The NDX model has made money on 3 out of 4 trades the average of all winning and losing trades combined is 6.28% the compounded return is 26.81%. As a comparison the NDX is down 6.3% since the first model signal on October 21st. Net the NDX model has outperformed buy and hold by 33%. All of the entry and exit prices are based on the NDX futures price. Signals can be verified in the archives here.
The VIX model has only one signal since 12/9/08 which was a loss of 23.6%. This model is currently long as of December 29th and underwater on that position too.Signals can be verified in the archives here.
RIPE TRADESBelow you will find the real time out of sample performance of the Ripe Trades based on Level 1 and Level 2 entry prices. Based on Level 1 entry prices there were 23 wins out of 25 trades the average trade of all wins and loses combined made 7.6% and the compounded growth was 396%. Based on Level 2 entry prices there were 4 wins out of 6 trades the average trade made 12.8% and the compounded growth was 81%. There was only one short signal which made .85% Signals can be verified in the archives here.
BREAKOUT TRADESThis is the real time performance of the breakout trades posted on this blog there were 2 wins out of 5 trades the average trade of all wins and loses combined, made 1.85% the compounded returns was 8.72% since December 19th 2008. There are no open trades. Signals can be verified in the archives here.
SHORT TERM S&P TRADESThe Short term system has only traded 2 times. Out of the 2 short term trades that have hit since we started this blog, we lost17 pts on November 18th, but made 52 pts on the win from October 28th Net, the short term system is up 32 S&P points in 2 trades. None ofthe short term bond trades have hit as of this writing.
These results are not hypothetical, all of the entry and exit signals were given prior to this review.
14 comments:
Yes, Ive been watching and made a few bucks off trading a couple of the signals. I just left you a donation.Thanks for all the valuable insight.
Anonymous,
Thanks for the donation.
Well first I want to congratulate you, for your work building this system and publishing the results. I am gratified when a developer shares his superior work instead of charging for access. I stumbled onto your site from Market Roll last week and have been tracking since the twenty-sixth. I have a couple of discrepancies thou, on Dec. 26 MBI hit level one entry, GOK lowest price was $3.01 which was far from the entry price of $2.91. On Dec. 29 CWST, EPL, GOK, MBI, and SKH all should have entered on level one. I’m looking forward to implementing your research once I get a better understanding. Thank you, in advance
Thank you also for your work, I've been following and trading some signals.
For the Ripe Trades, some of the positions which you report as open should have closed, if I understand the rules correctly. For example, GOK should have closed on 31st December due to its 2-day RSI being greater than 50. There are others that should have closed for the same reason.
Hi Thinking Man,
Now I know how you got the name, I new I missed a few, probably more. The system wasn’t double counting so it missed all these positions because they were already long from the days prior. I will update the post and spreadsheet.
John,
Thanks Im not sure how I missed GOK, please let me know about the others. Last night was a long one and today probably wasnt a good day for this kind of work. VBG
BRKR should have closed on 31st December due to RSI > 50, making 13.17%. GPK should have entered and closed on 31st December, entered on Level 1 limit and closed due to RSI > 50, making 14.29%.
Also, AFP, NVAX and ARIA all entered level 1 on 31st December and are open.
Those are the ones I have traded - I did not check all symbols in your list.
I have taken 6 ripe trades, 5 winners and 1 loser. For me, the average return was 11.60% on each trade.
The RSI > 50 on market close exit is difficult to trade with an ordinary broker and I wondered if it would make much difference if the position was closed on market open the next day if the previous day's 2 period RSI > 50? This would make it much easier to trade this system because you could place all orders out of market hours. My guess is it would not make much difference or it might actually be better.
Thanks again.
John,
I just updated the post/ spreadsheet and will check the ones you mentioned.I happy to see you made a few bucks.
I just updated the Ripe Trade spread sheet for the 3rd time. I think I got them all but will update again if needed. John one thought on exiting MOC using RSI > 50, your software may allow you to pre claculate the RSI close by adjusting the close of todays bar, this will enable you to enter MOC limit orders for your exit.
What are the inputs (price, close, etc) you are using for the RSI?
Thank you, Victor
Victor,
The RSI exit is based on a 2 day RSI using closing prices.
Thanks for the idea about Limit On Close (LOC), I wasn't familiar with that order type. Also, my software does allow me to change the close price on a bar. I guess I could also use some math to work out what close price would be needed to cross over the RSI>50 limit. I'll post it if I work it out!
Thanks
What system trading software do you use? Just curious. Pax
Hey if anyone wants the rsi in spreadsheet form, you can download a copy here. Then could back out the close needed.
http://www.gstock.com/help/index.php/Help/TheRelativeStrengthIndexIndicator
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