How can I test this...? - Stocks and ETFs Trading | futures io social day trading
futures io futures trading


How can I test this...?
Updated: Views / Replies:189 / 8
Created: by Volt Attachments:9

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

How can I test this...?

  #1 (permalink)
Whitehall, NY
 
Trading Experience: Advanced
Platform: TOS, Market Delta
Broker/Data: Infinity, TOS, IB
Favorite Futures: es
 
Posts: 251 since Aug 2012
Thanks: 117 given, 360 received

How can I test this...?

I'm trying to find a platform ( can't do it on Portfolio Analyzer as they don't have enough data) that can can test this idea:

It's simply testing various moving average lengths so ....

If the SPX is above a certain moving average then we stay long the spx but if we get a monthly close below our moving average. Then we exit the spx and go long 30 year bonds and stay long until we get a monthly close in SPX above the moving average. Then we exit the bonds and get back into the SPX long. I want to test this from 1970 to present day.

Portfolio Visualizer I thought was going to work but it is limited. I like their metrics though.


any help would be appreciated.

Volt

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
hillsborough nj
 
Trading Experience: Advanced
Platform: TradeStation
Broker/Data: TradeStation
Favorite Futures: emini
 
Posts: 26 since Sep 2018
Thanks: 9 given, 21 received


I specialize in indicators that can be expressed as a positive negative number versus stock prices, use Excel VBA, and look at daily weekly and monthly time frames. I've written some articles on above and below conditions. For example, https://seekingalpha.com/article/4276462-finite-state-accounting-improves-strategy-evaluation

The idea you present is quite bad, mainly because the market does not typically do better above a given moving average than below. Below has decisively outperformed above conditions since about 1998. I haven't specifically tested to the 1970s but I'd bet that there isn't any special insight in going back that far.

The going long bonds issue is complicated because then you have to consider dividends more seriously. However, since one makes substantial money being long in below conditions, it is possible to ignore that possibility. If there was an edge in selling below a given moving average, don't you think someone would have noticed that in the last 100 years?

My seeking alpha article deals with the 43 week moving average. The table below shows the results of trading $10K worth of SPY whenever the current price is either above or below the 73 day moving average.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


FProf is 10,340 indicating one would have doubled their money by doing this from 2007. HProf is the buy and hold profit - one would have 13,915 in profit with buy and hold.

The table below shows the results of only investing $10,000 when the price is Above the average.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


The next table shows the results of only investing $10,000 when the price is Below the average.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


This shows a higher fixed profit number for being long above the average but note TLen is 2138 above versus 878 below, so the cost of the extra above profit was the longer holding period. HProf below is 6265 - there is no way you could get a return like that from bonds.

Also note that if we start at 2009, below will actually earn more money than above in less than half the time.

Excel VBA is an excellent platform for this type of analysis.

The portfolio allocation question is important and interesting, that gets into quantitative finance though.

Reply With Quote
 
  #4 (permalink)
Whitehall, NY
 
Trading Experience: Advanced
Platform: TOS, Market Delta
Broker/Data: Infinity, TOS, IB
Favorite Futures: es
 
Posts: 251 since Aug 2012
Thanks: 117 given, 360 received

Thanks Semi open. The interest rates starting rising in the 1970's so excluding that period of time would not be wise. Testing during only a falling interest rate environment is curve fitting to me but that is just my opinion. Here are the results of a very simple method...we go long on a monthly close in VFINX when it is above the 200 moving average and exit and get long bonds when we get a monthly close below the 200 MA. What am I missing here? This does better then any you are showing but that isn't the point here. I just want to test that period of time in the 1970's. I'm sorry but I'm a newbie to system testing so this may be way off but using a monthly close as a filter seems like a good idea.


Perhaps this Portfolio Visualizer has some bugs in it.......certainly not trying to be a wise guy here but I need to find something simple to use...I will read your seeking alpha posts. I appreciate you taking a crack at this and the suggestion of Excel VBA

Attached Thumbnails
How can I test this...?-model_test.png  
Reply With Quote
 
  #5 (permalink)
hillsborough nj
 
Trading Experience: Advanced
Platform: TradeStation
Broker/Data: TradeStation
Favorite Futures: emini
 
Posts: 26 since Sep 2018
Thanks: 9 given, 21 received

I'm pretty sure of my numbers but think the ones you posted are also correct. I go from 10/11/2007, start price of 104.58 on dividend adjusted SPY until yesterday. That is the 13,915 number. That is the profit so the total amount would be 23,195 with the original investment added in. Your image shows 27,000 but that presumably starts at the beginning of 2007.

The timing result of 43,000 is probably also correct but of dubious value. I also wrote an article about 200 day performance but it might be for premium members of seekingalpha.

Here is some 200 day analysis from that analysis -

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


This assumes reinvestment of profits instead of a fixed amount. That corresponds to the column RProf on the stuff I posted above. I've analyzed each of the listed trades closely, they are also based on rebalancing once a month - once a month rebalancing is pretty dumb but it does beat buy and hold if you cherry pick the start date and rebalancing day to avoid disasters like the first trading day of December last year. You buy at the big trade dispute solution weekend gap up and sell just before the 2019 rally starts and stay flat until about ES 2750.

Reinvested profits are unsound for long periods, the article I referenced was in reply to a guy who suggested starting this investment program in 1932 or something and reinvesting profits for the subsequent 88 years. Reinvested profits are reasonable in some kind of strategies but ludicrously long term growth analysis is silly from a strategy development point of view.

It's possible to download from the 1970s using yahoo but that would be ^gspc (I think) to download (S&P 500 cash).

I wasn't recommending Excel VBA simply mentioned that I use it.

Also not to be wise guy, but you asked a question and I answered it. I wasn't taking a "crack" at it.

Reply With Quote
 
  #6 (permalink)
Whitehall, NY
 
Trading Experience: Advanced
Platform: TOS, Market Delta
Broker/Data: Infinity, TOS, IB
Favorite Futures: es
 
Posts: 251 since Aug 2012
Thanks: 117 given, 360 received

yeah, the 200 day is certainly not an optimal length and I only put that there to try to convey what the method does. I don't think you actually answered the original post. I'm looking to test an idea not have somebody tell me it doesn't work. Also you never address the concept of moving into Bonds when you get out of the SPX......you are testing a moving average without parking the money while out of the market. You really need to read over post one then you would understand while the 1970's matters and interest rates rising might affect my results.

Thank you for trying though but I need to get into a different asset class while sitting out drawdowns in the SPX. That isn't addressed in your replies and if you are NOT suggesting Excel VBA for testing then I am not sure of the meaning of your post.

Volt

Reply With Quote
 
  #7 (permalink)
hillsborough nj
 
Trading Experience: Advanced
Platform: TradeStation
Broker/Data: TradeStation
Favorite Futures: emini
 
Posts: 26 since Sep 2018
Thanks: 9 given, 21 received

I ran an analysis with $SPX daily from 7/29/1999 through the close today.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


This shows profit numbers for 200 day indicators.

A = Above, B = Below

E200 = EMA
L200 = Least Square MA
M200 = Simple MA
P200 = Price in Range (similar to Stochastic Oscillator)
R200 = Rate of Change

Note that M200A outperforms E200A - that's not unusual. Note L200B makes more than all the A numbers except for R200A.

If one seriously wants to play this it seems like R200A is better than the M200A. Why not Buy R200A and L200B. R200A has fewer trades than M200A.

Also note the crappiness of the entries and exits. That is quantified by AMax and AMin. The average max value of a position in M200A is 605 but by the time the average is penetrated that becomes 157.

This is a pleasant fantasy, but why not concentrate on the performance over the last 10 years?

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


From 2009, RProf is 10,728. That is the orange line on the graph.

M200B has been no slouch over the past decade either.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Here is the 200 day data from 2009.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


M200B makes about 2700 less than M200A but the holding period is only 380 days below while you have to hold 2226 above.

Thought I'd take another crack at it.

It is an interesting issue.

Reply With Quote
 
  #8 (permalink)
Whitehall, NY
 
Trading Experience: Advanced
Platform: TOS, Market Delta
Broker/Data: Infinity, TOS, IB
Favorite Futures: es
 
Posts: 251 since Aug 2012
Thanks: 117 given, 360 received

ten years is too short for me......I encourage you to check out the gobs of research Antonacci did for his Duel Momentum approach.........He goes back to the 1950's..Testing in historic bull markets is so limited. I suggest a new thread if you want to post just results. This thread should really be about finding a way to test the idea posted at the start and we aren't getting anywhere towards that.

Reply With Quote
 
  #9 (permalink)
hillsborough nj
 
Trading Experience: Advanced
Platform: TradeStation
Broker/Data: TradeStation
Favorite Futures: emini
 
Posts: 26 since Sep 2018
Thanks: 9 given, 21 received


Volt View Post
ten years is too short for me......I encourage you to check out the gobs of research Antonacci did for his Duel Momentum approach.........He goes back to the 1950's..Testing in historic bull markets is so limited. I suggest a new thread if you want to post just results. This thread should really be about finding a way to test the idea posted at the start and we aren't getting anywhere towards that.

Sorry, the post title was how can I test this...

I was trying to show you how to test this, You're right numbers are so confusing.

Reply With Quote

Reply



futures io > > > > How can I test this...?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

futures io is celebrating 10-years w/ over $18,000 in prizes!

Right now
 

$250 Amazon Gift Cards with our "Thanks Contest" challenge!

Right now
 

Webinar: The Seven Most Effective Trading Setups w/Peter Davies @ Jigsaw

Oct 17
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Can I test a stretegy using MY datafeed But ANOTHER broker demo account? Dvdkite MultiCharts 14 August 3rd, 2018 11:57 AM
speed reading test to see if you can beat the national average kbit Off-Topic 20 May 23rd, 2012 07:13 AM
Europe's Banks Face Test on Whether They Can Borrow Quick Summary News and Current Events 0 September 5th, 2011 05:10 AM
Paint bar blind test Zoethecus NinjaTrader 22 December 25th, 2009 11:42 AM


All times are GMT -4. The time now is 02:12 PM. (this page content is cached, log in for real-time version)

Copyright © 2019 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts