I know many of you are becoming more interested in a trading a system, especially after what the markets have been doing over the past 1.5 years.
Henry Carstens over at Vertical Solutions is a phenomenal resource for systems traders. He recently published this simple pivot-based trading system. I like it because it demonstrates how traders can take a system that they trade discretionarily, use language to quantify the setup and exit, and voila! Describing the setup in terms that can be quantified is crucial, and any traders looking to build a system should spend some time describing their set ups in this way.
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A pivot based trading system defines a focus of trading action, the ‘pivot point’ and places support and resistance lines around that point where trades can are to be entered and, perhaps, exited.
Calculation of the pivot point can be quite intricate but using yesterday’s close is a simple place to start.
For support and resistance there are again a dizzingy array of choices, but the volatility over the last 10 days is another easy place to begin. So…
- Support is: pivot – volatility(10), and
- Resistance is: pivot + volatility(10)
The entry rule for pivot systems is simple:
- Buy at support, and
- Sell at resistance
The exit rule was a bit tougher, but this seems reasonable and works:
- Exit longs at the highest close of the last 3 days, and
- Exit shorts at the lowest close of the last 3 days
Results for the sp e-mini contract, daily bars, 01/01/98 – 02/24/09:
- 200/285, 70%, avg 7.0 pts, sd 26.0 pts, t 4.4
The system is profitable in all years since 1998, it trades both long and short (important for adaptability to market changes), and is statistically valid (t score).
All it lacks are stops. Which are a problem…but may only mean that pivot points are better indicator foundations than trading system foundations. Note also how well the simple choice worked at each decision point in designing the system.
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Please click over to Vertical Solutions to see the equity curve for this system.
thanks wood for the info…
Shed, you are a generous man.
I commend this post with ludicrous regard, and will be exploring this system very soon, since I was just balls deep in developing a pivot system of my own.
Also, props to RIPETRADE as well.
I’m heading out to Missouri to pay respects to a close relative who has passed.
Expect updates to be few over the next 3 days.
I will have internet access and will make every effort to update the site should the Big Bamboo signal a trade.
can you explain volatility(10) — what is this indexed to — 10 what?
Thanks
By volatility do you mean Average True Range so does Volatility(10) refer to ATR over the last 10 days : ATR(10)?
So sorry for your loss and hope you can just concentrate on your family this week.
God bless, Lindsay
Paul and Chris, I have not spoken to Mr. Carstens personally about volatility(10). However, my assumption is that you would just use the 10 day period of Average True Range, or ATR(10).
So…lets say that the support is the day’s low at 18 and resistance is at the day’s high of 20. You would then subtract the stocks ATR(10) from 18 and at it to 20 to get your levels.
When I get back in town I will look at coding this up and then we can all get a better idea of how it works.
Thanks for the condolences.
Thanks. It seems that you might as well say to go long at S1 or short at R1, which is pretty much the same thing (without looking in detail at the impact of the ATR(10).
Prices can just drop through S1 on their way to S2 (like the SP500 has done today) so there are probably plenty of drawdowns in this strategy.
However this has got me thinking, because there are some very promising trading strats based on pivot points and open and closing prices.
I’m sorry for your loss and wish the best for your family.
@Chris: If you follow VerSol, the values are ca. R2 and S2.
@ManuelStop: Ah OK, that makes a lot more sense 🙂 I’ll try and find some time to backtest that myself then
It’s nice that your presented his system to ibc.
I would have preferred more of your personal commentary.
My condolences to you for your loss.
Sorry to hear about the relative Wood, send the family my condolences.
Great post, btw!
So sorry to hear about your loss.
Have a safe trip.
Thanks all for the condolences.
For those of you who use pivot points, am I to assume that R2 and S2 are resistance 2 and support 2? Why give it the 2 designation?
While I understand pivot points, I’ve never really traded them and am therefore a little confused with the jargon.
Cuervo, not sure of your point about presenting his system. He presented it on his blog. I could have just linked to it, but then I thought it would make it hard to have a discussion about it since there would not be any code.
Vertical Solutions doesn’t have any sort of comments enable so it makes it hard to discuss things.
We are holed up in a hotel in Louisville… Its a nice room with high speed nets…
Shedder,
There are 9 pivot points, S1-4, the Pivot Point, and R1-4, thus the 2 designation.
Most of the time (80% give or take) a day’s trading range is contained within S2 and R2. Thus, fading the move to those pivot points is a high probability trade. Trend days can take the market higher or lower, but S2 & R2 usually provide at least a bounce or pullback before the trend continues.
Pivots can be used to trade stocks, but they are exceptionally good indicators for trading an index.
Forgot to add, yes, the S = Support and the R = Resistance.
Dog, good to see you around.
What makes it a 1, vs. 2, vs. 3, etc?
Trader (Classical) Pivot Points are calculated using the formulas found on this page.
The website linked above lets you choose between the three primary types of pivot points: Trader or Classical pivots, which is what I use; Woodie Pivots; and Camarilla Pivots. The three types are simply variations on a theme.
When the formula requires the Range, Range = high – low.
John Carter has an excellent explanation on using pivots in Mastering the Trade (see Chapter 7).
thanks Dogwood –
Wood, I was hoping for something along those lines.
I never really got behind the idea of reposting an entire article, there is always some kind of commentary that can be added.
Hi Wood;
love the site; am learning a lot. not to threadjack, but i have a question/issue about the RSI(2) system. I was scanning collective2 last week and saw a system that is doing well, and for some reason, i looked at it and said, its gotta be based on rsi(2). don’t know why. divine inspiration call it.
anyway, i downloaded ameritrade’s strategy tester and spent a week trying to back engineer what i was seeing. solely using rsi(2).
Anyway, on the QQQQ’s from 2001 to YTD, it returns 18% long, 22% short annually (can you add these together and say its 40% a year, sort of?). trading $30000 each time you would have made profits of 44109 (147%) going long and 54379 (181%) going short. these are not cumulative profits, just the sum of daily profits trading $30000 each time. You are always in the market with this system, with no stop loss. Worst loss was about 6% on the long side but 22% on the short side. Are these good or bad numbers? can’t tell.
Its EOD, buying or selling on the close. It does some strange stuff on QLD and QID
Anyone want to see the rules? 4 lines of code for buy and 4 lines of code for sell. I think I have completely curve fitted this thing and am so tire of RSI(2), but want someone to check this out and see if it has legs.
Thanks-sorry for the long post.
forgot to say
2009 YTD
long returned 10%, short 23% 83% correct signals on long, (5 out of 6) 100% correct signals on short (7 out of 7).
@ang, hell ya lets see the rules!
Ang…I would like to see that code – interesting idea.
Ang- post it. Would love to see it. It seems like you have thought of some adaptations I haven’t as your 2009 results are different from what I’m seeing with my system.
Cuervo, under ordinary circumstances, I would provide commentary. However, with everything going on with life/death right now, I’m just trying to keep the blog/discussion going. There will commentary once I can get things coded up and take a look at actual trades.
Thanks Dogwood for the extra help. I will take a look at all that sometime over the next week.
Ok-Here is my RSI(2) code…..no laughing please and would definitely appreciate someone trying to tweak it.
The basic idea was the simple system of RSI(2)50 sell at close. This is a promising start since many days you will open and close the trade the next day. But it doesn’t work extremely well so I started playing around with various conditions (i.e. coding the patterns I was trying to capture). The following is what I came up with. If my code is correct, starting with $30000 on 1/1/01 you would have $319757 on 1/30/09 (by going long and short when warranted). Not counting commissions.
Here we go:
fyi RSI[RSI,2,D] = today’s RSI(2)
RSI[RSI,2,D,1] = yesterday’s RSI(2)and so on.
Buy at the close if
((RSI[RSI,2,D,1]+RSI[RSI,2,D])/2 50 AND RSI[RSI,2,D] <30 AND RSI[RSI,2,D,2]<50 ) OR
RSI[RSI,2,D] 50 AND RSI[RSI,2,D] 50 ))
Note, ((RSI[RSI,2,D,1]+RSI[RSI,2,D])/2 50 AND RSI[RSI,2,D,1]<50 ) OR
((RSI[RSI,2,D]5)OR
(RSI[RSI,2,D]>10 AND RSI[RSI,2,D,1]<5)
Note-no explanation of where this rule came from. Just staring at numbers. Instead of 0.7 I have tried 0.6 and again you get similar results.
Ang, what is the “50”?
Can’t quite figure that one out. Looks like you are adding up the past 2 days of RSI2, and if they total is less than 30, and today’s RSI2 is less than 30, then you buy? Do you buy the next open? And you are selling the close?
Thanks for posting the code!
dang; someone on one of these blogs also had trouble with “<” signs. i will try again.
We are Buying and selling the close. Reverse the rules for shorting and covering.
BUY at the close of the day if
1) The two day average of rsi(2) is less than 50
AND at least one of the following is true
a)rsi(2) yesterday greater than 50, rsi(2) today less than 30 and rsi(2) from two days ago is less than 50
OR
b) todays rsi(2) is less than 5
OR
c) rsi(2) yesterday greater than 50, rsi(2) today less than 50 and rsi(2) from two days ago is greater than 50
SELL at the close of today if at least one of the following is true:
a)rsi(2) today is greater than 50 and rsi(2) yesterday is less than 50
OR
b) rsi(2) today is less than 70% of yesterday’s rsi(2) and also today’s rsi(2) is larger than 5
OR
c) today’s rsi(2) is greater than 10and yesterday’s rsi(2) was less than 5.
phew.
I think i translated the code back into english correctly. again, this was human data mining.
BTW, my initial idea was a system that bought and sold on the next day’s open so it would be super easy to trade. but i couldn’t find it, so this is an EOD system. theoretically today’s rsi(2) is calculated right before the close so a trade can be placed if needed.
Ang, yes, the less than or greater than signs are part of .html code and so they will do wierd things.
This is very interesting and not something I have thought of, re: taking the average of x days RSI2 to signal an entry, or taking a percentage of an RSI move and using that to signal a trade. Very cool!
For those testing at home, the last few trades I have are
Buy 2/23 sell 2/24 for 3.3% (all EOD)
Short 2/24 and cover 3/2 for 7.44% (all EOD)
Buy QQQQ EOD on 3/2/09 and sell EOD on 3/4/09 for a 2.59% gain
Short QQQQ EOD on 3/4/09 and Cover EOD on 3/5/09 for a 3% gain.
Buy EOD on 3/5/09 and still holding. There was a sell signal on this buy all day until the last 15 minutes or so.
Ang thanks for sharing all this. What was the ticker for the 2/23 trade? Applying all 6 thumbs to get tradestation going with etickr excel quotes and mess around. Head to explode shortly//
Ugh. etickr bad
Ang it looks to me like 3/5 gives both buy and sell signal, using rsi values 4.2776, 68.6889, 26.8915
Um, you’re right mantrader. too tired of this to figure out why that is happening. BUT, here is the interesting part. If you just do what the signals say, it seems to be illogical but works. Assuming we are not starting the system on 3/5, we are already in a short position from 3/4, so we don’t initiate a new one, and the 3/5 buy signal tells us to cover the short, and open a long position. W should be able to fix this oddity though.
Also, a quick look shows the same thing happening on 12/1/08. And here are the strange stats (i don’t even think this would have been legal to do-short against the box or something like that?)
12/1/08 Buy at close sell 12/3/08 for a 6.28% profit
12/1/08 Short at close cover 12/11 for a 8% loss. However, the system recovers and 12/1/08 to YTD, the short system would be up 11% and the long system up 17%.am
So this is definitely somethine we need to try to fix.
Thanks for looking.
Hope this shows up correctly. The signals from 1/3/206 to YTD. Compounding, returns 525%, annual 23% for long, 33% for short. Note the 16% loss one one trade (ouch); that is the worst one.
Symbol Signal Date Quantity Price Profit-Loss %
QQQQ Short 1/3/2006 726 41.31 0
QQQQ Cover 1/17/2006 726 42.7 -3.36
QQQQ Buy 1/17/2006 702 42.7 0
QQQQ Short 1/19/2006 705 42.52 0
QQQQ Sell 1/19/2006 702 42.52 -0.42
QQQQ Cover 2/2/2006 705 41.43 2.56
QQQQ Buy 2/2/2006 724 41.43 0
QQQQ Short 2/3/2006 733 40.92 0
QQQQ Sell 2/3/2006 724 40.92 -1.23
QQQQ Cover 2/7/2006 733 40.63 0.71
QQQQ Buy 2/7/2006 738 40.63 0
QQQQ Short 2/8/2006 729 41.1 0
QQQQ Sell 2/8/2006 738 41.1 1.16
QQQQ Cover 2/13/2006 729 40.49 1.48
QQQQ Buy 2/13/2006 740 40.49 0
QQQQ Short 2/14/2006 733 40.9 0
QQQQ Sell 2/14/2006 740 40.9 1.01
QQQQ Cover 3/9/2006 733 40.52 0.93
QQQQ Buy 3/9/2006 740 40.52 0
QQQQ Short 3/10/2006 739 40.56 0
QQQQ Sell 3/10/2006 740 40.56 0.1
QQQQ Cover 3/21/2006 739 41.11 -1.36
QQQQ Buy 3/21/2006 729 41.11 0
QQQQ Short 3/23/2006 730 41.09 0
QQQQ Sell 3/23/2006 729 41.09 -0.05
QQQQ Cover 3/28/2006 730 41.14 -0.12
QQQQ Buy 3/28/2006 729 41.14 0
QQQQ Short 3/29/2006 715 41.92 0
QQQQ Sell 3/29/2006 729 41.92 1.9
QQQQ Cover 4/17/2006 715 41.66 0.62
QQQQ Buy 4/17/2006 720 41.66 0
QQQQ Short 4/18/2006 706 42.46 0
QQQQ Sell 4/18/2006 720 42.46 1.92
QQQQ Cover 4/21/2006 706 42 1.08
QQQQ Buy 4/21/2006 714 42 0
QQQQ Short 4/25/2006 716 41.87 0
QQQQ Sell 4/25/2006 714 41.87 -0.31
QQQQ Cover 5/11/2006 716 40.74 2.7
QQQQ Buy 5/11/2006 736 40.74 0
QQQQ Short 5/19/2006 762 39.35 0
QQQQ Sell 5/19/2006 736 39.35 -3.41
QQQQ Cover 6/5/2006 762 38.78 1.45
QQQQ Buy 6/5/2006 773 38.78 0
QQQQ Short 6/7/2006 780 38.46 0
QQQQ Sell 6/7/2006 773 38.46 -0.83
QQQQ Cover 6/9/2006 780 38.15 0.81
QQQQ Buy 6/9/2006 786 38.15 0
QQQQ Short 6/14/2006 797 37.63 0
QQQQ Sell 6/14/2006 786 37.63 -1.36
QQQQ Cover 6/19/2006 797 38.03 -1.06
QQQQ Buy 6/19/2006 788 38.03 0
QQQQ Short 6/21/2006 775 38.68 0
QQQQ Sell 6/21/2006 788 38.68 1.71
QQQQ Cover 6/27/2006 775 37.53 2.97
QQQQ Buy 6/27/2006 799 37.53 0
QQQQ Short 6/29/2006 770 38.96 0
QQQQ Sell 6/29/2006 799 38.96 3.81
QQQQ Cover 7/10/2006 770 37.36 4.11
QQQQ Buy 7/10/2006 802 37.36 0
QQQQ Short 7/11/2006 797 37.64 0
QQQQ Sell 7/11/2006 802 37.64 0.75
QQQQ Cover 7/14/2006 797 35.94 4.52
QQQQ Buy 7/14/2006 834 35.94 0
QQQQ Short 7/17/2006 832 36.03 0
QQQQ Sell 7/17/2006 834 36.03 0.25
QQQQ Cover 11/1/2006 832 42 -16.57
QQQQ Buy 11/1/2006 714 42 0
QQQQ Short 11/3/2006 715 41.93 0
QQQQ Sell 11/3/2006 714 41.93 -0.17
QQQQ Cover 11/27/2006 715 43.66 -4.13
QQQQ Buy 11/27/2006 687 43.66 0
QQQQ Short 11/29/2006 680 44.07 0
QQQQ Sell 11/29/2006 687 44.07 0.94
QQQQ Cover 12/1/2006 680 43.66 0.93
QQQQ Buy 12/1/2006 687 43.66 0
QQQQ Short 12/4/2006 677 44.26 0
QQQQ Sell 12/4/2006 687 44.26 1.37
QQQQ Cover 12/7/2006 677 43.7 1.27
QQQQ Buy 12/7/2006 686 43.7 0
QQQQ Short 12/11/2006 680 44.06 0
QQQQ Sell 12/11/2006 686 44.06 0.82
QQQQ Cover 12/12/2006 680 43.8 0.59
QQQQ Buy 12/12/2006 684 43.8 0
QQQQ Short 12/14/2006 676 44.37 0
QQQQ Sell 12/14/2006 684 44.37 1.3
QQQQ Cover 12/21/2006 676 43.38 2.23
QQQQ Buy 12/21/2006 691 43.38 0
QQQQ Short 12/26/2006 695 43.11 0
QQQQ Sell 12/26/2006 691 43.11 -0.62
QQQQ Cover 2/26/2007 695 45.04 -4.48
QQQQ Buy 2/26/2007 666 45.04 0
QQQQ Short 2/28/2007 692 43.33 0
QQQQ Sell 2/28/2007 666 43.33 -3.8
QQQQ Cover 3/2/2007 692 42.48 1.96
QQQQ Buy 3/2/2007 706 42.48 0
QQQQ Short 3/6/2007 700 42.85 0
QQQQ Sell 3/6/2007 706 42.85 0.87
QQQQ Cover 3/16/2007 700 42.83 0.05
QQQQ Buy 3/16/2007 700 42.83 0
QQQQ Short 3/19/2007 693 43.27 0
QQQQ Sell 3/19/2007 700 43.27 1.03
QQQQ Cover 6/7/2007 693 46.34 -7.09
QQQQ Buy 6/7/2007 647 46.34 0
QQQQ Short 6/8/2007 639 46.91 0
QQQQ Sell 6/8/2007 647 46.91 1.23
QQQQ Cover 6/22/2007 639 47.29 -0.81
QQQQ Buy 6/22/2007 634 47.29 0
QQQQ Short 6/25/2007 637 47.09 0
QQQQ Sell 6/25/2007 634 47.09 -0.42
QQQQ Cover 7/27/2007 637 47.99 -1.91
QQQQ Buy 7/27/2007 625 47.99 0
QQQQ Short 7/30/2007 617 48.55 0
QQQQ Sell 7/30/2007 625 48.55 1.17
QQQQ Cover 8/3/2007 617 47.42 2.33
QQQQ Buy 8/3/2007 632 47.42 0
QQQQ Short 8/6/2007 625 47.97 0
QQQQ Sell 8/6/2007 632 47.97 1.16
QQQQ Cover 8/16/2007 625 45.45 5.25
QQQQ Buy 8/16/2007 660 45.45 0
QQQQ Short 8/17/2007 647 46.31 0
QQQQ Sell 8/17/2007 660 46.31 1.89
QQQQ Cover 8/28/2007 647 46.74 -0.93
QQQQ Buy 8/28/2007 641 46.74 0
QQQQ Short 8/29/2007 623 48.08 0
QQQQ Sell 8/29/2007 641 48.08 2.87
QQQQ Cover 9/7/2007 623 48.23 -0.31
QQQQ Buy 9/7/2007 622 48.23 0
QQQQ Short 9/11/2007 613 48.93 0
QQQQ Sell 9/11/2007 622 48.93 1.45
QQQQ Cover 10/25/2007 613 53.05 -8.42
QQQQ Buy 10/25/2007 565 53.05 0
QQQQ Short 10/26/2007 556 53.93 0
QQQQ Sell 10/26/2007 565 53.93 1.66
QQQQ Cover 11/7/2007 556 53.35 1.08
QQQQ Buy 11/7/2007 562 53.35 0
QQQQ Short 11/8/2007 579 51.73 0
QQQQ Sell 11/8/2007 562 51.73 -3.04
QQQQ Cover 11/9/2007 579 50 3.34
QQQQ Buy 11/9/2007 600 50 0
QQQQ Short 11/13/2007 591 50.74 0
QQQQ Sell 11/13/2007 600 50.74 1.48
QQQQ Cover 11/26/2007 591 48.98 3.47
QQQQ Buy 11/26/2007 612 48.98 0
QQQQ Short 11/27/2007 600 49.96 0
QQQQ Sell 11/27/2007 612 49.96 2
QQQQ Cover 12/3/2007 600 50.88 -1.84
QQQQ Buy 12/3/2007 589 50.88 0
QQQQ Short 12/4/2007 592 50.67 0
QQQQ Sell 12/4/2007 589 50.67 -0.41
QQQQ Cover 12/17/2007 592 49.73 1.86
QQQQ Buy 12/17/2007 603 49.73 0
QQQQ Short 12/18/2007 601 49.89 0
QQQQ Sell 12/18/2007 603 49.89 0.32
QQQQ Cover 1/2/2008 601 50.45 -1.12
QQQQ Buy 1/2/2008 594 50.45 0
QQQQ Short 1/3/2008 592 50.62 0
QQQQ Sell 1/3/2008 594 50.62 0.34
QQQQ Cover 1/4/2008 592 48.4 4.39
QQQQ Buy 1/4/2008 619 48.4 0
QQQQ Short 1/9/2008 626 47.92 0
QQQQ Sell 1/9/2008 619 47.92 -0.99
QQQQ Cover 1/11/2008 626 47.05 1.82
QQQQ Buy 1/11/2008 637 47.05 0
QQQQ Short 1/14/2008 626 47.87 0
QQQQ Sell 1/14/2008 637 47.87 1.74
QQQQ Cover 1/15/2008 626 46.55 2.76
QQQQ Buy 1/15/2008 644 46.55 0
QQQQ Short 1/16/2008 651 46.05 0
QQQQ Sell 1/16/2008 644 46.05 -1.07
QQQQ Cover 1/22/2008 651 44.18 4.06
QQQQ Buy 1/22/2008 679 44.18 0
QQQQ Short 1/24/2008 668 44.91 0
QQQQ Sell 1/24/2008 679 44.91 1.65
QQQQ Cover 1/25/2008 668 43.99 2.05
QQQQ Buy 1/25/2008 681 43.99 0
QQQQ Short 1/29/2008 675 44.41 0
QQQQ Sell 1/29/2008 681 44.41 0.95
QQQQ Cover 2/21/2008 675 43.52 2
QQQQ Buy 2/21/2008 689 43.52 0
QQQQ Short 2/25/2008 683 43.9 0
QQQQ Sell 2/25/2008 689 43.9 0.87
QQQQ Cover 2/29/2008 683 42.95 2.16
QQQQ Buy 2/29/2008 698 42.95 0
QQQQ Short 3/5/2008 695 43.12 0
QQQQ Sell 3/5/2008 698 43.12 0.4
QQQQ Cover 3/6/2008 695 42.17 2.2
QQQQ Buy 3/6/2008 711 42.17 0
QQQQ Short 3/11/2008 700 42.83 0
QQQQ Sell 3/11/2008 711 42.83 1.57
QQQQ Cover 3/27/2008 700 43.71 -2.05
QQQQ Buy 3/27/2008 686 43.71 0
QQQQ Short 4/1/2008 658 45.59 0
QQQQ Sell 4/1/2008 686 45.59 4.3
QQQQ Cover 4/8/2008 658 45.41 0.39
QQQQ Buy 4/8/2008 660 45.41 0
QQQQ Short 4/9/2008 668 44.9 0
QQQQ Sell 4/9/2008 660 44.9 -1.12
QQQQ Cover 4/11/2008 668 44.28 1.38
QQQQ Buy 4/11/2008 677 44.28 0
QQQQ Short 4/16/2008 661 45.37 0
QQQQ Sell 4/16/2008 677 45.37 2.46
QQQQ Cover 5/21/2008 661 48.18 -6.19
QQQQ Buy 5/21/2008 622 48.18 0
QQQQ Short 5/22/2008 620 48.35 0
QQQQ Sell 5/22/2008 622 48.35 0.35
QQQQ Cover 6/11/2008 620 47.38 2.01
QQQQ Buy 6/11/2008 633 47.38 0
QQQQ Short 6/13/2008 620 48.37 0
QQQQ Sell 6/13/2008 633 48.37 2.09
QQQQ Cover 6/18/2008 620 48.02 0.72
QQQQ Buy 6/18/2008 624 48.02 0
QQQQ Short 6/19/2008 615 48.77 0
QQQQ Sell 6/19/2008 624 48.77 1.56
QQQQ Cover 6/20/2008 615 47.42 2.77
QQQQ Buy 6/20/2008 632 47.42 0
QQQQ Short 6/25/2008 630 47.57 0
QQQQ Sell 6/25/2008 632 47.57 0.32
QQQQ Cover 6/26/2008 630 45.65 4.04
QQQQ Buy 6/26/2008 657 45.65 0
QQQQ Short 6/30/2008 664 45.17 0
QQQQ Sell 6/30/2008 657 45.17 -1.05
QQQQ Cover 7/2/2008 664 44.71 1.02
QQQQ Buy 7/2/2008 670 44.71 0
QQQQ Short 7/8/2008 652 45.97 0
QQQQ Sell 7/8/2008 670 45.97 2.82
QQQQ Cover 7/11/2008 652 44.56 3.07
QQQQ Buy 7/11/2008 673 44.56 0
QQQQ Short 7/14/2008 678 44.23 0
QQQQ Sell 7/14/2008 673 44.23 -0.74
QQQQ Cover 7/28/2008 678 44.42 -0.43
QQQQ Buy 7/28/2008 675 44.42 0
QQQQ Short 7/29/2008 661 45.34 0
QQQQ Sell 7/29/2008 675 45.34 2.07
QQQQ Cover 8/1/2008 661 44.88 1.01
QQQQ Buy 8/1/2008 668 44.88 0
QQQQ Short 8/4/2008 675 44.43 0
QQQQ Sell 8/4/2008 668 44.43 -1
QQQQ Cover 8/18/2008 675 47.6 -7.13
QQQQ Buy 8/18/2008 630 47.6 0
QQQQ Short 8/19/2008 638 47.01 0
QQQQ Sell 8/19/2008 630 47.01 -1.24
QQQQ Cover 8/25/2008 638 46.49 1.11
QQQQ Buy 8/25/2008 645 46.49 0
QQQQ Short 8/27/2008 641 46.73 0
QQQQ Sell 8/27/2008 645 46.73 0.52
QQQQ Cover 8/29/2008 641 46.12 1.31
QQQQ Buy 8/29/2008 650 46.12 0
QQQQ Short 9/2/2008 658 45.55 0
QQQQ Sell 9/2/2008 650 45.55 -1.24
QQQQ Cover 9/4/2008 658 43.66 4.15
QQQQ Buy 9/4/2008 687 43.66 0
QQQQ Short 9/10/2008 700 42.8 0
QQQQ Sell 9/10/2008 687 42.8 -1.97
QQQQ Cover 9/15/2008 700 42.08 1.68
QQQQ Buy 9/15/2008 712 42.08 0
QQQQ Short 9/17/2008 746 40.21 0
QQQQ Sell 9/17/2008 712 40.21 -4.44
QQQQ Cover 10/6/2008 746 34.86 13.31
QQQQ Buy 10/6/2008 860 34.86 0
QQQQ Short 10/13/2008 853 35.13 0
QQQQ Sell 10/13/2008 860 35.13 0.77
QQQQ Cover 10/15/2008 853 30.6 12.89
QQQQ Buy 10/15/2008 980 30.6 0
QQQQ Short 10/16/2008 929 32.26 0
QQQQ Sell 10/16/2008 980 32.26 5.42
QQQQ Cover 10/27/2008 929 28.69 11.07
QQQQ Buy 10/27/2008 1045 28.69 0
QQQQ Short 10/28/2008 941 31.86 0
QQQQ Sell 10/28/2008 1045 31.86 11.05
QQQQ Cover 11/12/2008 941 28.71 9.89
QQQQ Buy 11/12/2008 1044 28.71 0
QQQQ Short 11/13/2008 984 30.46 0
QQQQ Sell 11/13/2008 1044 30.46 6.1
QQQQ Cover 11/20/2008 984 25.56 16.09
QQQQ Buy 11/20/2008 1173 25.56 0
QQQQ Short 11/21/2008 1124 26.67 0
QQQQ Sell 11/21/2008 1173 26.67 4.34
QQQQ Cover 12/1/2008 1124 26.93 -0.97
QQQQ Buy 12/1/2008 1113 26.93 0
QQQQ Short 12/3/2008 1048 28.62 0
QQQQ Sell 12/3/2008 1113 28.62 6.28
QQQQ Cover 12/11/2008 1048 29.09 -1.64
QQQQ Buy 12/11/2008 1031 29.09 0
QQQQ Short 12/12/2008 1010 29.68 0
QQQQ Sell 12/12/2008 1031 29.68 2.03
QQQQ Cover 12/18/2008 1010 29.66 0.07
QQQQ Buy 12/18/2008 1011 29.66 0
QQQQ Short 12/22/2008 1027 29.21 0
QQQQ Sell 12/22/2008 1011 29.21 -1.52
QQQQ Cover 1/9/2009 1027 30.07 -2.94
QQQQ Buy 1/9/2009 997 30.07 0
QQQQ Short 1/12/2009 1016 29.52 0
QQQQ Sell 1/12/2009 997 29.52 -1.83
QQQQ Cover 1/14/2009 1016 28.63 3.01
QQQQ Buy 1/14/2009 1047 28.63 0
QQQQ Short 1/15/2009 1030 29.1 0
QQQQ Sell 1/15/2009 1047 29.1 1.64
QQQQ Cover 1/20/2009 1030 27.96 3.91
QQQQ Buy 1/20/2009 1072 27.96 0
QQQQ Short 1/21/2009 1029 29.15 0
QQQQ Sell 1/21/2009 1072 29.15 4.26
QQQQ Cover 2/19/2009 1029 28.79 1.23
QQQQ Buy 2/19/2009 1042 28.79 0
QQQQ Short 2/20/2009 1039 28.87 0
QQQQ Sell 2/20/2009 1042 28.87 0.28
QQQQ Cover 2/23/2009 1039 27.86 3.5
QQQQ Buy 2/23/2009 1076 27.86 0
QQQQ Short 2/24/2009 1042 28.78 0
QQQQ Sell 2/24/2009 1076 28.78 3.3
QQQQ Cover 3/2/2009 1042 26.64 7.44
QQQQ Buy 3/2/2009 1126 26.64 0
QQQQ Short 3/4/2009 1097 27.33 0
QQQQ Sell 3/4/2009 1126 27.33 2.59
QQQQ Cover 3/5/2009 1097 26.51 3
QQQQ Buy 3/5/2009 1131 26.51 0
Ok the offending signal is
(rsi2[day] less than .7*rsi2[day-1])
take it out!
new results are then from jan1/2000 to ytd
annual return 15.91% for long
annual return 24.23% for short.
YTD (profits NOT reinvested)
long up 7% (80% winning signals)
short up 21.3% (100% winning signals)
starting at jan 1/2008
81% winning signals for long
83% winning signals for short
going back to 1/2005
77% long winners
70% short winners
someone please check this out and see if this is correct and/or any good
mana, have you got some work around that will allow excel and tradestation to test portfolio level?
Hey Wood, no, I had wanted to get a tradestation setup going but then just set Ang’s rules up in excel and checked the most recent trades to see if it matched
Hey wood, the verticalsolutions link is no longer valid, do you know where the pivot system code is at? Wonder where’s Ang’s at too, building more amazingly complex systems no doubt..