Algokid

BUY ! : Market update

AMEX:SPY   SPDR S&P 500 ETF
a year ago
Just two months ago, a SELL signal was given and confirmed by my systems. September return was -2.54 % , but October was one the best trading month since 2011 with 8.51 % return . Because of this Huge momentum 2 out 3 systems gave a BUY signal. Let's take a closer look

System 1 : SPY             vs 200 ma

snapshot
This system has been very reliable for a long time. As you can see on the main chart ,The SPY             closed above it's 200 MA at the end of the month, singling a BUY signal.

System 2 : AK_Trend ID

I use the SPX500             ( CFD             ) with this indicator . At the end of the day , Friday, the signal was negative, but very close to cross above zero. Since the SPX             500 trades 24/6 , we got a BUY signal on Sunday night.

snapshot

System 3 : S1TH             or S&P             100 stocks above 200 ma

this is another reliable system to determine if one should invest or stay on the side line, This indicator is useful for conservative investors. As a rule , a reading above 65 % would confirm a BUY signal, which is not currently the case.

snapshot

2 out 3 systems confirm a BUY signal , so i will be opening a new position in SPY             in the morning,

Happy trading to you all and see you all.

Cheers

Algo
a year ago
Trade active: buy SPY
a year ago
Trade active: The trade is still open. SPY remains above its 200 ma and AK_ TREND ID is still positive.
11 months ago
Trade closed manually: SPY < 200 MA
AK TREND Indicator is still positive
S1TH < 65 %

t's been one of the most volatile quarters since 2008, but 2/3 systems are negative so we are closing this trade and the year with a small loss.

Happy New Year and all the best in 2016.

Cheers

Algo
11 months ago
Comment: aren't you glad we are in cash ? :D
www.passivestor.com

Related Ideas

Algokid
SELL !!
Algokid PRO about SPX500 1 a year ago
IanLip
a year ago
Thanks for posting, I always use/look my AK Trend ID charts but on my chart the Monthly is still Red (its one line that turns either Green or Red), is what I'm using different ? .... (on the weekly & daily its been green).
Reply
Algokid PRO IanLip
a year ago
Hi Ian,

are you looking at SPY or SPX 500 . I track the SPX 500 with the AK Trend ID.
Reply
IanLip Algokid
a year ago
On my AK Trend ID monthly, the SPX is still red but on the SPY its green
Reply
Algokid PRO IanLip
a year ago
the "SPX" uses EOD data. I use SPX 500 as it's in real time and follows the futures.
Reply
IanLip Algokid
a year ago
I see, thanks for pointing out the difference
Reply
Algyros PRO
a year ago
Thanks for posting these charts. They are, in my view, extremely useful (and not likely to be the products of curve-fitting, data mining, etc.).
+1 Reply
CosmicDust
a year ago
Very good. Subjected to whipsaws, but for the long run.
Reply
Algyros PRO
11 months ago
Thanks for the great ideas, and Happy New Year to you.

Do you have any data for the performance of this composite system? It would be very interesting to see, for example, its CAGR (trading SPY, for example). It would be also interesting to see how it performs as a long/short system (going short SPY instead of going to cash on a sell signs).
Reply
Algokid PRO Algyros
11 months ago
Hi Algyros

Thank you for your feedback, and i'm glad that you enjoyed my ideas. I will program a short script showing the results of this system as a long only and long/short strategy. Should be up sometime this weekend .

Happy New Year :)

Reply
Algyros PRO Algokid
11 months ago
That's very kind of you. I look forward to your results.
One thing that might be of interest is how the S1TH component works with a 50 threshold (which I've found to be more profitable than a 65 threshold in my crude, manual, backtests).
Again, many thanks.
Reply
Algokid PRO Algyros
11 months ago
SPX vs 10 month MA


Here 's SPX test , from 1971 till yesterday , long only
Reply
Algokid PRO Algokid
11 months ago
click on chart to see backtest data .
Reply
Algokid PRO Algyros
11 months ago
long/ short ..... i used spy for this one as the data is out of whack when using SPX.
long short 2
Reply
Algyros PRO Algokid
11 months ago
Thank you so much.

If you don't mind, could you answer two questions:

1. The chart says SPY vs. 10 mo. MA. Does that mean that the backtest is only for the 10 sma cross, and not for 2 out of the three indicators you mentioned?
2. Could you tell me what the initial investment was (in the backtest) and how much was invested with each signal?

Again, you're very generous to share this idea.
Reply
Algokid PRO Algyros
11 months ago
1. You wanted to see the backtest if we used the all three systems. This can be done ,will take me a bit more time. What you see is only the index vs its 10 months MA.
2. initial investment for this was $100,000 fully invested each time.

I will see if I code the whole system and posted later today.
Reply
Algyros PRO Algokid
11 months ago
Thank you.
Reply
Algyros PRO
11 months ago
Very glad! Thank you.
Reply
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