Algokid

BUY ! : Market update

AMEX:SPY   SPDR S&P 500
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
Trade active: buy SPY
Trade active: The trade is still open. SPY remains above its 200 ma and AK_ TREND ID is still positive.
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
Comment: aren't you glad we are in cash ? :D

Related Ideas

Very glad! Thank you.
Reply
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
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
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
SPX vs 10 month MA


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