| Mark17 |
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Member, TeleChart
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| Registered User |
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| Unsure |
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| Wednesday, July 1, 2009 |
| Sunday, July 15, 2012 9:37:19 AM |
97
[0.03% of all post / 0.02 posts per day] |
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Are DZZ or DGP going to be affected by options expiration by the rolling of forward futures contracts?
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Market holidays may affect the last day of trading before expiration.
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When price moves in X% in the opposite direction a point is plotted at the price that is X% away? Does "TimeSpan Bars" in the lower pane indicate how long it took for that next swing point to be plotted? What defines the time interval of one bar?
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Great posts in this thread--mammon, jas0501, and diceman.
jas0501, I agree with what you say about minimal stop-losses (IBD recommends a max 7% stop-loss, interestingly). However, I agree only anecdotally. When you say "that is a backtesting result," exactly what were your criteria for the backtest, what underlyings did you look at, and over what time frame?
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Thanks!
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"Pane," of course--sorry, it's Sunday morning. :)
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Great... now is there an easy way to create rules such as when price crosses above/below the AMA or when other MAs in that pain cross over it? When I open a rule box for either price history or the AMA, the AMA or price history, respectively, are not identified as rule triggers (I'm guessing the reason is because the AMA was synthetically created in RC).
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Searching for "adaptive moving average" returned "an error occurred in the database." Before I go into detail about what I'm looking for, can you tell me if there's a pre-existing thread on anything related to Perry Kaufman's AMA? Thanks.
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In Backscanner, my two rules are: 1. Exit at next open Trailing Stop 7%; 2. Buy at next open 200-MA moving up and price history new low (10). Using S&P 500 as my watch list from 1/1/01 to 10/6/09, the results are:
--Winners/losers: 5267 / 6018
--Return/trade: +8.55% / -4.27%
--Time/trade: 36.5 bars / 13.3 bars
--DD -8.56% / -9.66%
--Profit factor (my calculation): 1.752
That seems pretty solid to me. Is this 10-day low using just EOD prices or intraday prices? Is the price in question being compared to any price points in the previous 9 days or only EOD prices in the previous 9 days?
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Thanks Bruce!
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