tag:blogger.com,1999:blog-2676650858658561710.post7672087419173693510..comments2023-11-02T06:14:07.871-04:00Comments on Quantifiable Edges: Some Simple Shorting SystemsRob Hannahttp://www.blogger.com/profile/07596674657839065754noreply@blogger.comBlogger10125tag:blogger.com,1999:blog-2676650858658561710.post-31672796268765829202009-04-16T11:00:00.000-04:002009-04-16T11:00:00.000-04:00Nice work, Rob. I've been thinking the same but g...Nice work, Rob. I've been thinking the same but good to see your numbers agree. Keep up the great work here. Thank you, Sir!Simple Investinghttp://www.jamesfowlkes.comnoreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-24076302215271258172009-04-08T12:40:00.000-04:002009-04-08T12:40:00.000-04:00Thanks for sharing this system. I wonder if the ob...Thanks for sharing this system. I wonder if the obverse works : going long SPY when $SPX above 200 MA and at a 10 (or whatever) day low.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-31978906977415830862009-04-08T05:23:00.000-04:002009-04-08T05:23:00.000-04:00Yesterday, I divided my short position into two ha...Yesterday, I divided my short position into two halves. Rode one out on an exit signal on the 8-day ema as stop. Rode the other out, a little deeper, on the 10-day, later in the afternoon.<BR/><BR/>As posted above, neither was "better", a matter of preference-- and both within Rob's study parameters.<BR/><BR/>--The kind of realtime 'usage' of a system which is hard to work into backtestings...<BR/><BR/>DanielDanielnoreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-47055666546896639822009-04-06T23:29:00.000-04:002009-04-06T23:29:00.000-04:00Good stuff Rob. Very cool. I like them simple like...Good stuff Rob. Very cool. I like them simple like that.<BR/><BR/>I have one suggestion...<BR/><BR/>SPX is not tradeable. Thus, one might have to use Profunds or an equivalent fund that is highly correlated to the SPX in order to get results that are close to what is presented here.<BR/><BR/>Did you run the same tests on the SPY? I'm curious to see how much of the edge is traded out vs. SPX.<BR/><BR/>Thanks!Jeffhttps://www.blogger.com/profile/03267918585202497489noreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-78257455600951281672009-04-05T03:15:00.000-04:002009-04-05T03:15:00.000-04:00Rob,I'm confused about the example you give of a l...Rob,<BR/><BR/>I'm confused about the example you give of a losing exit signal. According to my charts, I do indeed see a 10-day spx high on 3/12. The high that day was 753. However, using the 10-day SMA, in appears to go above 753 on 3/23. Please help me understand and tell me what I'm missing here.bestefarhttps://www.blogger.com/profile/09049389961992034501noreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-30543384040535292342009-04-03T16:22:00.000-04:002009-04-03T16:22:00.000-04:00Anon, I don’t think this is really a trading syste...Anon, I don’t think this is really a trading system in the common understanding of the term. I think it’s a guidance system.<BR/><BR/>We have here a big bouncy juicy market datapoint headed for Jupiter. Eventually like all rocket shots it will come back to Earth and contract.<BR/><BR/>At some point anyone LONG will be looking to place a STOP. This is one very intelligent and quantatively-justifiable way of going about this process. You cannot help but exit. And a Trader can actually make a realtime FEEL decision as to whether he wants to use a slower or faster responding filter even as he absorbs the minor news events of the day.<BR/><BR/>Today for example I used an 8day ema, a 5day ema, and a 10day ema at various points, depending on my outlook. All three fall within the System concept paraments.<BR/><BR/>DanielAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-16333907086691892932009-04-03T14:39:00.000-04:002009-04-03T14:39:00.000-04:00Would you be able to provide return statistics as ...Would you be able to provide return statistics as if this was a trading system? Annualized Return, Risk, Sharpe, Largest Drawdown etc? Just to get a feel of the system.<BR/><BR/>As always, thanks for sharing your insights and good work.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-25929662517399998772009-04-03T13:51:00.000-04:002009-04-03T13:51:00.000-04:00Thank you, Rob.Thank you, Rob.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-32339188017088336102009-04-03T13:26:00.000-04:002009-04-03T13:26:00.000-04:00The exit signal is always a cross below the Y peri...The exit signal is always a cross below the Y period moving average. Losers occur when the trade goes against you long enough that the average moves above your entry point.<BR/><BR/>For instance the 10 high entry 10 avg exit would have triggered a short on 3/12 and would have covered on 3/30 for a loss of 4.90%. Incidentally this was the worst loss for the 10/10 system over the time period shown (2002-present).<BR/><BR/>RobRob Hannahttps://www.blogger.com/profile/07596674657839065754noreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-51777443886081731502009-04-03T13:09:00.000-04:002009-04-03T13:09:00.000-04:00Rob,How do you define a losing trade as per the si...Rob,<BR/><BR/>How do you define a losing trade as per the simple shorting systems? Do you have a stop-loss that gets executed? How would that be?<BR/><BR/>Thanks, JoeAnonymousnoreply@blogger.com