Big Bamboo System Issues Short Signals
Highlightedﾃつabove in a pleasing green hue are theﾃつtwo system picks for the Big Bamboo. For the uninitiated, these diETFs are to be bought on the open. We will exit these positions the morning after RSI(2) closes above 80.
I have decided to begin tracking the system with an 8% stop and 2% at risk, instead of the 4% stop and 1% at risk. Recent volatility has made the 4% stop too tight. Had an 8% stop been used from the beginning, the system would be at a 77% win rate.
Those that have been following this system are aware of the work we have done on the stops, and other metrics. We are still working on stops that adapt to market conditions. I encourage those who are new to the Big Bamboo to check the archives, located here: Big Bamboo Archive. The archives have some cool posts such as equity curves for different stops and position sizes.
I have also updated the spreadsheet to be color coded. The light blue headings are for the pre-entry calculations, the yellow headings are for the post-entry calculations, and the green headings cover the calculations that happen post-exit.
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There are more picks for tomorrow, but the system will only take 2 a day, while holding a maximum of 4 positions. It will always take the top two most liquid diETFs, of all the choices.
Obviously, the system is looking to catch a pullback. Whether it materializes before the stops are hit is anyone’s guess. I will be taking the signals on the open, but I’m not sure yet about how much I’ll risk, or what type of stop (ATR or %) I’ll use.
Volatility is still running extremely high on these diETFs. For example, 1 ATR is equal to 12%, for QID. In other words, the QID daily average true range is spanning 12%. A more conservative stop strategy may choose to use an ATR multiple stop. Backtesting shows that 1.25ATR performs well.
Charts are included. I have added an ATR(10) indicator in case anyone wants to experiment with ATR stops.
(SDS: 31.27 +0.16%)
(QID: 17.06 -0.70%)
Looks like some knife catching there, Woodness.
Funny you should say that Jake. You said the exact same thing, almost word for word, right before trades 5 and 6 were put on. They went on to be the biggest winners yet, at 33 and 29%, respectively.
I would pull up your old comments, but right now Jeremy is having trouble importing old comments into Disqus.
1. Nice, I got into SDS right before the close.
2. You are the spreadsheet master. (send me the one i asked about the other day)
B-rad, dude, I'm sorry. I'm sending it right now!
Clearly, it was a rank libel.
What did I say before all those trades that ended in the red?
Rather, disqus may be buggy, when importing old comments. I didn't mean to imply Jeremy couldn't handle it.
Not one damn word!
That's right, because I felt sorry for your poor ostrich strangling self, especially with all the heat you were getting from the Fly.
No more.
You know what comes before a Fall right?
Wow those -4% stops sat u on the bench fast. I went from -15% on FXP short to +25% in two days. i think u can't depend on a magic number stop when the market is volatile. Maybe during 2003-2007 the old -7% stop would work. do you have relative stops for each individual stock?
-gio
lol. I don't pay no nevermind to the Fly.
Before a fall? What, a lot of JakeGint's chest thumpin'?
Gio, you can't think of the 4% stop as you are thinking of it. They way the system works, the smaller the stop, the larger the position. So those wins, at a 4% stop, were very large, due to the large position sizes.
That's why when I moved to the 8% stop, position sizes had to be increased.
No relative stops.
There are sort of magic numbers for stops. They are ATR stops, which will adapt to market volatility.
Fuck this Disqus shit. Only losers use it.
Answer my fucking question (looking at Wood very intently)
Are you a fucking loser?
Fly, don't be such a square…lol…In other words, get an avatar, and then get back to me.
What are you, like 45 years old? You sound like my g'ma trying to figure out email.
I'm canceling Disqus for your little bitch ass emails to Howard.
WTF? I asked Howard if there might be a patch coming out so that the comments can be imported, bug free.
Admit it. You're too old for disqus. I'll call up g'ma and get her to give you a tutorial.
Hmmmm…..
No nevermind, eh?
The Viking graphic would make a great avatar for Fly.
Such sauce!
Such insolence!
If he had any common sense, he'd just use his merlin avatar from his Twitter account.
Personally, I'd like to see some fake-baked guido with a receding hairline and lots of gold jewelry.
I think Father Quido Sarducci or his twin Prince Aliwadad [sic] might be appropriate….
oops, thought I was posting a comment there about a Merlin avatar but Disqus disappeared while I was posting.
Ummm time to go watch the rest of Heroes.
Poof!
Your bullshit disqus quackery is gone!
_______
ok woodrow, its time to quit fooling around and develop a system for the 3x long/short etf’s!, enough of this nickel & dime crap.
buylo, that should not be a problem. They just need to trade for a while longer, so some data can be gathered.
Holy shit! Wood is owning on this thread.
M, Fly trumped. As I have no admin privileges to my own blog, he just took his toys and went home.
Shitty, you gotta find a way to stick it to the man.
M, how about this?
http://woodshedder.wordpress.com/
Sorry Shed, but disqus is lame. Why the fuck do I need a “comment” profile? I have a reasonably well-trafficked blog. Why should I have to “legitimize” my rapier wit and unbridled intelligence with some faggy social ap?
Answer? I shouldn’t.
iBC doesn’t play that shit.
That looks great shed. Nice.
Danny, nothing wrong with Disqus, it’s an improvement over the current mess we find ourselves in. You guys need not be so fearful of change.
Danny, its not about you, or me.
Mainly, its a better system, imo, although I’m not the tech guy, so maybe its buggy or something. I don’t know.
Anyway, its about the other guys, who frequent our blogs and other blogs. If you are a racist, a lunatic, a genius, a stalker, whatever, it will show up on your profile. By checking someone’s profile, its easy to see whether or not someone is legit, or maybe they are a rookie, or maybe they are wise, or trustworthy. Who knows. But it certainly does help the self-policing, and in my opinion, keeps the comments more legit, which makes the blogs more legit.
Its about using a format that is 21st century. I can’t believe that you of all people would rather use the old comment format when there are improvments based on Web 2.0 and social networking premises.
M, the link you posted in the comments on my fake blog is really cool. What is the commenting software featured there?
That’s the failblog. I don’t know what the software is but it seems to work reasonably well and the nesting feature is helpful.
This setup isn’t bad either.
http://tinyurl.com/59j5g5
By the way…I LOVE the four wheeler treadmill! lol…WTF?
perhaps…
M, I like the fail blog nesting and layout a lot better. Thanks though. I’ve never thought about the fact that there are options for commenting programs.
See, we don’t know who Danny is responding to? Is it me? Is it to M’s comment about the setup not being bad? Who knows…
it’s a perhaps to you, you french ahole.
—–
actually, it was in response to this comment:
http://www.ibankcoin.com/woodshedderblog/index.php/2008/11/24/big-bamboo-system-issues-short-signals/#comment-4852
God, this is sooooooooo confusing
Danny, I know. I was just being, as you call it, a french ahole.
Hey Wood, do you by any chance know how often Yahoo updates the NAV? I’m looking at SDS now, and seeing it’s NAV at 128 with the current price at 100.
QID says price 79, NAV 99.
Might be an interesting study to buy when NAV is undervalued by 20% or more and short when overvalued by 20% or more if that is in fact accurate.If it is, SKF is undervalued by over 50%, and SRS even more so.
hahah
want a 21st century system that REAL geeks use? load up WP-OpenID.
whoa what happened to disqus Shed? Maybe it reminds Fly too much of TK’s site.
“Gio, you can’t think of the 4% stop as you are thinking of it. They way the system works, the smaller the stop, the larger the position . So those wins, at a 4% stop, were very large, due to the large position sizes.”
… I forgot about that important little detail. So maybe if the market is very volatile, would it matter if the position was smaller and the stop larger?
Wood: Why don’t you stick that spreadsheet up on Google docs, and then share it with everyone for read only access ? Then put a link on the site.
@ lol….interesting idea. I had noticed the same thing. Let me see what I can find out. I’m sure proshares has the correct nav.
Mudlips, WP-OpenID? I’ll ask our tech guy about it. I’m assuming its a wordpress product?
ShortBus, the damn spreadsheet is just so purty. I must have color on my blog. Must have it…
Okay, okay, enough of that.
I think it just makes it easier to have it right in front of the eyes. It will however get to big to print screen shots so I will eventually have to do google docs.
Gio, if the market is volatile, and stops are loosened to deal with it, then the position sizes should increase. This will keep the equity curve climbing at an acceptable pace. Basically, for an increased win %, one is accepting smaller profits, when using looser stops. To combat this, take on more risk.
“For the uninitiated, these diETFs are to be bought on the open”
And for those that are a member of the secret orginization so secret we can’t talk about it that have been initiated into this secret ritual?
Tyler, I assume you’re being sarcastic.
Read it this way: For those not familiar with the system, these diETFs are to be bought on the open.
From what I see right now, both trades are in the green.
Woody–
Nice call on the opening. When do you move the stop to breakeven? (8% gain?).
Alpha, never, if you trade the system as it is designed. Either stop is hit, or exit with RSI(2)>80
Have you tested it with a trailing stop, letting profits run? Maybe i missed those results…..
Alpha, I don’t have the patience for all that, what with the holding of positions for more than a week or so.
Seriously though, the system is designed to catch one swing. Nothing more or less. Because that is the concept, we have not tested trailing stops.
“We” meaning, you and your trader/servant?….or, you and young coonskin capped Boone?
We is myself and BHH, from ibdindex.blogspot.com
Don’t make him stop by here and get all scientific, and stuff.