Past Picks
Long:
, GOLD/GOLD-W, ELN, DOW, SQM, WYE ,
, LLY, CCJ, CDE, TER, CIEN, GGB, CBS, WTW, AMLN, HEV
, CME(230-235 entry 229 stop, target 200ema) , AAPL(below 125), AMZN (below 75), BIDU
, MOS, DRYS, GNK,
Short:
, DE, VFC, NUE, TRA, PTEN, CMG, NSC ,
, UTHR, PEP, ADI,
, NSC , FCX, AKS , CLF, BOOM
-----------------------------------------------------------------------------------------------
How to follow QJ's trading?
1) You should have two most powerful Quad-core Intel-processor desktops and THREE 30-inch, screens. monitor over 30 stocks/ETFs, and 6 main future symbols that QJ normally trade.
2) If you only have 50K acct, 2 contracts is about the right size. if you only have 25K or below, 1 contract is about the right size, unless you keep 10 wining day in a row, then you can increase to 2.
20 ES contracts is a full position for 500K account. each lot is 5 contracts count for 1/4 of full. As you can see, if I am not so sure, I only trade 1-2 lots. hedged position will depends on what and how much I need to hedge.
3) You should know this trick
I think I tell you the trick, during the day when I flip/flop ES around 50ema, you don't have to follow maybe it will be difficult for you to handle. But if (1) I wake up in the morning and immediatly sense something wrong and take action, or (2) I do something near close say I want something for tonight, you can follow those two.
because case (1) my brain is clean and should work well (2) after watch mkt for a day, the final conclusion that makes me take action normally is the safest one or have good reward/risk ratio.
4) The last thing is everyone can do. Read QJ's watchlist and comments seriously and take action without QJ holding your hands
note: QJ pick up many stocks based on optionsXpress option alerts. If you want to get alerts, you can call them and ask how to subscribe Xpound from optionsXpress Equity Team
I think I will mark strong (buy back dip) stocks in GREEN, and weak/short candidate on right panel, plus update SWING TRADE panel above every night. Just follow the trigger condition set in the chart. You should remember I am trading high risk Futures during the day that I need concentrate. I am not an stock/option trader. my 80% profit comes from future trades. I will review stocks/options at night.
Wednesday, May 6, 2009
Sunday, May 3, 2009
Option Trading Tips - Collar
Wahaa said...
If you want to just buy straight options (calls/puts), always buy deep-in-money ones. The common mistake that people tend to make is to buy the cheap out-money options, they end up to expire worthless.
Like Palm. It is a cheap stock. You could either buy stock or sell covered call. Use the premium to buy put to reduce the downside risk. It is called “Collar”. For more information, see : http://www.optiontradingtips.com/strategies/collar.html
But if you are really bullish about PALM, you could just buy 2010 $7.5 call. (I would not buy strike at $10 or $15 myself) Set some stop. If you feel like that the price of Palm is going to just be flat at this level, you could do Calendar spread, otherwise don’t do it.
Goog’s options are too expensive. I don’t like the spread of bid and ask. It’s better selling its options than buying them. You could do put bull spread june $330->$340. That is the bullish bet that GOOG will not go below $340 by June expiration date.
QJ said...
I have a question, what if GOOG goes 450 and PALM goes 12 before June 1?
Wahaa said...
In that case, buying deep-in-the-money calls will make more than bull put spread which reward/risk is capped.
Then your deep-in-money calls makes more money than your out-money calls. I believe that deep-in-the-money call options get the same move with the stocks with less money. The downside is that what happens if they don't move to your target? Your wonderful stop-loss action will minimize your loss (That is where I need to improve)
lite1067 said...
wahaa, QJ
buying deep ITM option is not good choice because:
1) less leverage but more capital at risk (why to buy option? the reason is right the opposite - to gain leverage and reduce the potential maximum capital loss)
2) the volatility skew is against you
Wahaa said...
right, usually I prefer to sell option spread to make a little money.
Well, on the other hand, it depends how long you hold the options. ITM options are still good choice if you speculate something. But it looks like that future trading is more fun!
I want PALM jan 2010 15C to 20C leaps, GOOG June Calls anywhere from 400C to 450C. If I see 82x/81x spx or where ever mkt shows end of this correction
If you want to just buy straight options (calls/puts), always buy deep-in-money ones. The common mistake that people tend to make is to buy the cheap out-money options, they end up to expire worthless.
Like Palm. It is a cheap stock. You could either buy stock or sell covered call. Use the premium to buy put to reduce the downside risk. It is called “Collar”. For more information, see : http://www.optiontradingtips.com/strategies/collar.html
But if you are really bullish about PALM, you could just buy 2010 $7.5 call. (I would not buy strike at $10 or $15 myself) Set some stop. If you feel like that the price of Palm is going to just be flat at this level, you could do Calendar spread, otherwise don’t do it.
Goog’s options are too expensive. I don’t like the spread of bid and ask. It’s better selling its options than buying them. You could do put bull spread june $330->$340. That is the bullish bet that GOOG will not go below $340 by June expiration date.
QJ said...
I have a question, what if GOOG goes 450 and PALM goes 12 before June 1?
Wahaa said...
In that case, buying deep-in-the-money calls will make more than bull put spread which reward/risk is capped.
Then your deep-in-money calls makes more money than your out-money calls. I believe that deep-in-the-money call options get the same move with the stocks with less money. The downside is that what happens if they don't move to your target? Your wonderful stop-loss action will minimize your loss (That is where I need to improve)
lite1067 said...
wahaa, QJ
buying deep ITM option is not good choice because:
1) less leverage but more capital at risk (why to buy option? the reason is right the opposite - to gain leverage and reduce the potential maximum capital loss)
2) the volatility skew is against you
Wahaa said...
right, usually I prefer to sell option spread to make a little money.
Well, on the other hand, it depends how long you hold the options. ITM options are still good choice if you speculate something. But it looks like that future trading is more fun!
I want PALM jan 2010 15C to 20C leaps, GOOG June Calls anywhere from 400C to 450C. If I see 82x/81x spx or where ever mkt shows end of this correction
TRIN and TICK
TRIN Overview:
Richard Arms developed the TRIN, or Arms index, as a contrarian indicator to detect overbought and oversold levels in the market. Because of its calculation method, the TRIN has an inverse relationship with the market. Generally, a rising TRIN is bearish and a falling TRIN is bullish. Sometimes you will see the scale of the TRIN inverted to reflect this inverse relationship.
Calculation
The TRIN is the advance/decline ratio divided by the advance volume/decline volume ratio:
TRIN 5 min The direction (not the level) is the most important. If the trend is up, then it is bearish. For example, if it's the middle of the day and the market is falling, but the TRIN begins to trend upwards, then it is very likely that the market intra day downtrend will reverse and trend up - and vice versa.
TRIN 60 min Greater then 1 is bearish, while less then 1 is bullish. However, extremely high levels, such as above and especially 2.5 are rare and are a bullish contrarian indicator.
TRIN 3 month For example, the longer the TRIN remains above 2, the more likely the market is to experience a strong rally
http://breakpointtrades.com/indicator_TRIN.htm
-----------------------------------------------------------------------------------
NYSE TRIN (Trading Index):
The NYSE TRIN (Trading Index) shows the relationship between stocks that are advancing or declining in price and the volume associated with these stocks. It is calculated by dividing the Advance/Decline Ratio by the Upside/Downside Ratio. The TRIN Index is a short-term trading tool. The goal of the indicator is to determine if volume is flowing into advancing or declining stocks and by what magnitude. The TRIN Index was first published by Richard W. Arms, Jr. in 1967. Generally, the TRIN Index is interpreted as bullish when it is below 1.0 and bearish when it is above 1.0.
TRIN rule:
1. If the trin is trending higher and making higher highs on the day, I will ignore all long setups.
If the trin is trending lower and making lower lows on the day, I will ignore all short setups.
2. If the trin closes above 2.0. the market has an 80% chance of rallying the next day. If the trin closes below 0.60. the market has an 80% chance of selling off the next day.
John Cater's Tick rule:
1. If I am long and the markets hit +1000 ticks, I will use that as a signal to exit the remainder of my position. If I am short and the markets hit -1000 ticks, I will use that as a signal to exit the remainder of my position.
2. I setup audio alerts at all the key tick levels (600, 800, 1000 levels)
3. When the ticks spend 90% of their time above zero with repeated extreme high tick readings, I ignore all day trading short setups and focus on longs, and vice visa.
bayliner1979 于 2009-4-21 16:54 :
stockhq的观察是对的。我用IB的5-min TICK, TRIN chart.
比如今天3:00pm左右850的高点，TICK进入了高于1000的extreme area，这时TRIN<1.0是个confirmation>1.0的话，就不是confirmation，多半3:30pm就趴窝了(i.e., throw back to the support line underneath)。
Bearish state正相反，TICK enters <-1000 extreme area, at this moment TRIN > 1.0 is a confirmation (of bear). Otherwise, likely throw up to the resistance line above.
http://www.quote.com/us/stocks/quote.action?s=$TRIN
http://www.quote.com/us/stocks/quote.action?s=$TICK
Richard Arms developed the TRIN, or Arms index, as a contrarian indicator to detect overbought and oversold levels in the market. Because of its calculation method, the TRIN has an inverse relationship with the market. Generally, a rising TRIN is bearish and a falling TRIN is bullish. Sometimes you will see the scale of the TRIN inverted to reflect this inverse relationship.
Calculation
The TRIN is the advance/decline ratio divided by the advance volume/decline volume ratio:
TRIN 5 min The direction (not the level) is the most important. If the trend is up, then it is bearish. For example, if it's the middle of the day and the market is falling, but the TRIN begins to trend upwards, then it is very likely that the market intra day downtrend will reverse and trend up - and vice versa.
TRIN 60 min Greater then 1 is bearish, while less then 1 is bullish. However, extremely high levels, such as above and especially 2.5 are rare and are a bullish contrarian indicator.
TRIN 3 month For example, the longer the TRIN remains above 2, the more likely the market is to experience a strong rally
http://breakpointtrades.com/indicator_TRIN.htm
-----------------------------------------------------------------------------------
NYSE TRIN (Trading Index):
The NYSE TRIN (Trading Index) shows the relationship between stocks that are advancing or declining in price and the volume associated with these stocks. It is calculated by dividing the Advance/Decline Ratio by the Upside/Downside Ratio. The TRIN Index is a short-term trading tool. The goal of the indicator is to determine if volume is flowing into advancing or declining stocks and by what magnitude. The TRIN Index was first published by Richard W. Arms, Jr. in 1967. Generally, the TRIN Index is interpreted as bullish when it is below 1.0 and bearish when it is above 1.0.
TRIN rule:
1. If the trin is trending higher and making higher highs on the day, I will ignore all long setups.
If the trin is trending lower and making lower lows on the day, I will ignore all short setups.
2. If the trin closes above 2.0. the market has an 80% chance of rallying the next day. If the trin closes below 0.60. the market has an 80% chance of selling off the next day.
John Cater's Tick rule:
1. If I am long and the markets hit +1000 ticks, I will use that as a signal to exit the remainder of my position. If I am short and the markets hit -1000 ticks, I will use that as a signal to exit the remainder of my position.
2. I setup audio alerts at all the key tick levels (600, 800, 1000 levels)
3. When the ticks spend 90% of their time above zero with repeated extreme high tick readings, I ignore all day trading short setups and focus on longs, and vice visa.
bayliner1979 于 2009-4-21 16:54 :
stockhq的观察是对的。我用IB的5-min TICK, TRIN chart.
比如今天3:00pm左右850的高点，TICK进入了高于1000的extreme area，这时TRIN<1.0是个confirmation>1.0的话，就不是confirmation，多半3:30pm就趴窝了(i.e., throw back to the support line underneath)。
Bearish state正相反，TICK enters <-1000 extreme area, at this moment TRIN > 1.0 is a confirmation (of bear). Otherwise, likely throw up to the resistance line above.
http://www.quote.com/us/stocks/quote.action?s=$TRIN
http://www.quote.com/us/stocks/quote.action?s=$TICK
Breadth Indicator
TA Tip (6) Use Breadth Indicator
Overall mkt: from FX to future to Cash, to VIX, $CPC, $ADD, $VOLD, when put everything together, will see better picture.
VIX keeps dropping even when market declines. What does it tell us?
well, mkt is still within the acsending triangle. $VIX is down because of no fear. as long as SPX remains at current level, above triangle up trend line, there is no fear.
$CPC means put/call ratio. $CPC raising normally has two means (1) Buy to open puts (2) sell to close calls.
http://www.cboe.com/publish/ScheduledTask/MktData/datahouse/totalpc.csv
$ADD = Advance decline indicator, Above 0 means more stocks advances than declines
The link for $ADD http://www.quote.com/us/stocks/quote.action?s=$ADD
Overall mkt: from FX to future to Cash, to VIX, $CPC, $ADD, $VOLD, when put everything together, will see better picture.
VIX keeps dropping even when market declines. What does it tell us?
well, mkt is still within the acsending triangle. $VIX is down because of no fear. as long as SPX remains at current level, above triangle up trend line, there is no fear.
$CPC means put/call ratio. $CPC raising normally has two means (1) Buy to open puts (2) sell to close calls.
http://www.cboe.com/publish/ScheduledTask/MktData/datahouse/totalpc.csv
$ADD = Advance decline indicator, Above 0 means more stocks advances than declines
The link for $ADD http://www.quote.com/us/stocks/quote.action?s=$ADD
$VOLD = NYSE $UVOL MINUS $DVOL 60 min chart (NYSE Up vol - Down vol).
Take a gook and compare how SPX moves while $VOLD start above 0 and remains upside moves. Other wise, when $VOLD remains read, indicates the down day ahead.
The link for $VOLD http://www.quote.com/us/stocks/quote.action?s=$VOLD
OIL contract expire
Case Study - OIL May contract exp April 21, 2009
Here is the link for OIL exp date http://www.nymex.com/CL_term.aspx
QQQ said... April 21, 2009 1:45 PM
boys and girls, be careful around 2:30PM when OIL May contract exp. USO trick could cause XLE move. and we already see how OIH did, big boys were OUT puts yesterday,
QQQ said...
KEEP eyes on CLM9 OIL June Contract around 2:30 for mkt direction. and XLF of course.
QQQ said... April 21, 2009 2:21 PM
waiting for 845-850, I am think if they get enough shorts here, they can sqeeze them to get it pass 842 for target 850. if 842 was real top, the sell off would have been bigger, not 5 points and supported by 50ema NOW, let's see.
remember this mkt needs shorts to go up. I will at least wait after 2:30
bokchoy said... April 21, 2009 2:36 PM
HOHO, QJ is niu, 2:30 bounce right on time
WhoAmI said...
market jumped after QJ's commends. I can not believe my eyes!!!
but i trust QJ, So I longed for a couple of minutes and took profit already.
QQQ said...
for DT ES, XLF, XLE, QQQQ, you at least see 2-3 red 5mins bars in a row on any 2 of these 3, to do a quick short, if not, stay long or flat.
QQQ said...
By the way, I am serious, My today's real time comments worth 10 year trading experiences. Please found time print out ES or SPX 5min charts and print out my comments with timing. Especially the comments on 2:30PM OIL and its impact, and when ES touches 50ema, remember what I said. Yes, try remember that in the rest of trading life. I am not kidding. It is very important to GET that mkt sense! Remember you NEEDs to standOUT to WIN this game!
This camp is not just for ES, I will cover a few concepts on Index Future (SPX/ES, NDX/NQ, DOW/YM, RUT/TF), Energy Futures (OIL/CL/QM), Metal Futures (Gold/GC/YG, Copper/HG), and Grain Futures (Wheat/W, Soybean/S, Corn/C) and currency future (EUR:USD, GBP:USD, AUD:USD). So after you complete the camp, you shall know the big picture of future trading world.
QQQ said... February 13, 2009 3:09 PM
OIL is now having a typical action on rolling contracts. to prove that, you can see march CL OI magically went down after today, and Apirl Contract CL's OI went up. the gap now around $5, which was the normal gap,
Here is the link for OIL exp date http://www.nymex.com/CL_term.aspx
QQQ said... April 21, 2009 1:45 PM
boys and girls, be careful around 2:30PM when OIL May contract exp. USO trick could cause XLE move. and we already see how OIH did, big boys were OUT puts yesterday,
QQQ said...
KEEP eyes on CLM9 OIL June Contract around 2:30 for mkt direction. and XLF of course.
QQQ said... April 21, 2009 2:21 PM
waiting for 845-850, I am think if they get enough shorts here, they can sqeeze them to get it pass 842 for target 850. if 842 was real top, the sell off would have been bigger, not 5 points and supported by 50ema NOW, let's see.
remember this mkt needs shorts to go up. I will at least wait after 2:30
bokchoy said... April 21, 2009 2:36 PM
HOHO, QJ is niu, 2:30 bounce right on time
WhoAmI said...
market jumped after QJ's commends. I can not believe my eyes!!!
but i trust QJ, So I longed for a couple of minutes and took profit already.
QQQ said...
for DT ES, XLF, XLE, QQQQ, you at least see 2-3 red 5mins bars in a row on any 2 of these 3, to do a quick short, if not, stay long or flat.
QQQ said...
By the way, I am serious, My today's real time comments worth 10 year trading experiences. Please found time print out ES or SPX 5min charts and print out my comments with timing. Especially the comments on 2:30PM OIL and its impact, and when ES touches 50ema, remember what I said. Yes, try remember that in the rest of trading life. I am not kidding. It is very important to GET that mkt sense! Remember you NEEDs to standOUT to WIN this game!
This camp is not just for ES, I will cover a few concepts on Index Future (SPX/ES, NDX/NQ, DOW/YM, RUT/TF), Energy Futures (OIL/CL/QM), Metal Futures (Gold/GC/YG, Copper/HG), and Grain Futures (Wheat/W, Soybean/S, Corn/C) and currency future (EUR:USD, GBP:USD, AUD:USD). So after you complete the camp, you shall know the big picture of future trading world.
QQQ said... February 13, 2009 3:09 PM
OIL is now having a typical action on rolling contracts. to prove that, you can see march CL OI magically went down after today, and Apirl Contract CL's OI went up. the gap now around $5, which was the normal gap,
WWW day sell off
WWW day ( Weird Wally Wednesday) refer to the Wednesday before OE week. This is the day normally sell off to kill calls before OE week. The wednesday usually have its job to wash off calls prepare for OE next week.WWW week behavior normally have Monday and Friday high and wednesday low.
Weird wally week is the week before options expiration week. Wednesday is actually weird wally wednesday. This is optionspositioning. This is done to run the call options down and then up on options expirations week. Often you will see a runup early in WeirdWally Week and then selloff the rest of the week. Options expiration is the 3rd friday of the week. Go back and check and you will seethis happens over and over. The markets job is take or make the most amount of money in the shortest time. Thats also why on Optionsexpiration friday you will see tremendous volatility up and down. Options at that point are extremely cheap and turn into 100-400%gains. By oex friday all the time premium has been taken out of the puts and calls and they are real cheap. You also see at least onebig up on OEX to run the calls up. Big money often becomes active then.
Weird wally week is the week before options expiration week. Wednesday is actually weird wally wednesday. This is optionspositioning. This is done to run the call options down and then up on options expirations week. Often you will see a runup early in WeirdWally Week and then selloff the rest of the week. Options expiration is the 3rd friday of the week. Go back and check and you will seethis happens over and over. The markets job is take or make the most amount of money in the shortest time. Thats also why on Optionsexpiration friday you will see tremendous volatility up and down. Options at that point are extremely cheap and turn into 100-400%gains. By oex friday all the time premium has been taken out of the puts and calls and they are real cheap. You also see at least onebig up on OEX to run the calls up. Big money often becomes active then.
MA crossover systems
Trading System (1): 5min BB MA and 15min MA
3/1 Sunday TA Class Text and MP3
3/2 Can positive divergence end this 5 of 3 of 5 o...
3/24 Pull back target?
Similar EMA crossing systems compared to Qj
http://breakpointtrades.com/controls/preview.php?la_id=603
http://breakpointtrades.com/controls/preview.php?la_id=667
QQQ said...
breakpointtrades.com is a good site, I like Steve Nelson's nightly mkt comments. MA cross trading systems are widely used many trading groups and funds, that was I mentioned many times in this blog, if you IN SRS position, do not wait after 3:45PM. from 3:45PM to 4:00PM is the Mechinical system EXIT time such as breakpointtrades.com's system. We sometine can use this trick to beat those machines.
What's the pros and cons between EMA and SMA (moving average)?
Take a look at these two charts: http://i39.tinypic.com/2rc5ses.png and http://i43.tinypic.com/73nk2w.png
How to fix the lag issue on MA crossover system (e.g 5min EMA7^21, 15min EMA16^34)by using other indicators?
The most important that you might want to move ahead of MA cross system is: volume action, trading pattern, and support/resistance zones with your 3:1 reward/risk assessment.
Sun's back-testing on MA crossing system
Trading System Test Result Summary (15 Min Chart)
Rules:
1. Long Only
2. Entry when EMA-No1/EMA-No2 Crossing Up
3. Exit when EMA-No1/EMA-No2 Crossing Down
4. Closing Any Position at EOD
5. Commission cost per trade: $9.99
Results:
a. Test Results using SPY (04/23/07 to 04/23/09):
EMA7/EMA21: Accumulative Return from 04/23/07 to 04/23/09: -39.44%
EMA8/EMA21: Accumulative Return from 04/23/07 to 04/23/09: -20.70%
EMA16/EMA39: Accumulative Return from 04/23/07 to 04/23/09: +16.76%
EMA13/EMA34: Accumulative Return from 04/23/07 to 04/23/09: +21.20%
b. Test Results using SSO (04/23/07 to 04/23/09):
EMA13/EMA34: Accumulative Return from 04/23/07 to 04/23/09: +57.93% (29%/Year)
QQQ said...
Thanks SUN888, how about add conditions say
(1) always exit positions at the end of day, no matter when to enter the position
(2) always set 3% stops, once it stops out, wait for next cross
that means the system always maintain cash position after 4PM and before 9:30AM
From 2007 to 2009 mainly bear mkt.
I heard people talking about SRS made 400% plus profit by using that system
SUN888 said...
1. The system I am using can only go back to 2 years.
2. We do not need to use trailing stop for this system. Test indicates 5% stop produces a better results than 3%. No stop has a better results than 3%.
3. I have not figured it out how to program to short. I am old... and hope some yang men to do more test...using their program skill.
4. For different stock, one needs to adjust ema ratio to produce a better result.
I sincerely hope someone to perform some more test and using different ema/sma ratios.
Anita said...
In TDAmeritrade "strategy setup", under "Action", there are two choices: buy, or sell short. You can set up either long or short. I never tried their automatic trading setups though.
SUN888 said...
Anita or others:
Thanks. Please see if you could comment below for Short. It does not work well for short, but I have not located the error in below.
Entry:
ExpMovingAverage[EMA,Close,9,0,15,1] > ExpMovingAverage[EMA,Close,39,0,15,1] AND ExpMovingAverage[EMA,Close,9,0,15] <> ExpMovingAverage[EMA,Close,39,0,15] OR (Bar[Hour,1] * 100) + (Bar[Minute,1]) >= 1558
SUN888 said...
I am using the below(using TD's StrtegyDesk) to test EMA7 and EMA21-15 Min crossing system with no sucess (lost money)up to now. If any one find any error from below, please let me know. Thanks.
Entry:
ExpMovingAverage[EMA,Close,7,0,15,1] <> ExpMovingAverage[EMA,Close,21,0,15]
Exit:
ExpMovingAverage[EMA,Close,7,0,15,1] > ExpMovingAverage[EMA,Close,21,0,15,1] AND ExpMovingAverage[EMA,Close,7,0,15] < ExpMovingAverage[EMA,Close,21,0,15]
StariX said...
Sun,I am not using TD so do not know the exact syntax .But I think you should use "-1" instead of "1" in the parameter. And you also need to consider close the position EOD. Some backtests are also necessary before u apply it into real trading.
QQQ said...
SUN888, on 15min chart, MA cross system works well when you EXIT every trade at CLOSING BELL. These days, almost every day we have GAPS, that kills the MA cross system if you carry overnight to next day.
90ufo said...
sun888, In TD Strategy Desk, you can add a "trailing stop" to the option of "Exit".
I tried backtest with a fixed (such as $1) trailing stop on SPY, it gives better result than without trailing stop. This makes sense, trailing stop keeps loss limited. ----- However, I have never used the mechanical MA cross system in my real trade.
SUN888 said...
Cautions and Comments on Using MTS based on EMANo1/EMANo2 and EOD:
Due to my time limit, I could not come here often. However, I feel I should have this post. In the last one week and weekend, I have done many tests(100+) related to this system using different ETFs(SSO/SDS, SRS, QLD/QID, DGP/DZZ, DIG/DUG, SKF/UYG, DTO/DXO, etc), EMANo1/EMANo2 ratios (7/21, 13/34, 9/39, 8/21, 16/143, etc), Time Periods(1, 2 year, 4 months), Minute System(30, 15, 5 or 3 min etc) and Long/Short. Although, I am still working on understanding this system/outcome and to evaluate the trading system. Cautions need be given using this system as below,
The outcome could be fully depend on,
1. The stock/ETF movement behavior for a given time frame. Therefore, the trend is critical to decide to use long/short.
2. EMANo1/EMANo2 Ratio
3. Time Frame (long/short term) for the back testing and the Minute System (30, 15, 5 or 3 min etc).
4. Any back testing not presents future outcome.
5. The outcome could be very volatile. It could produce a profit or lost in term of the above.
3/1 Sunday TA Class Text and MP3
3/2 Can positive divergence end this 5 of 3 of 5 o...
3/24 Pull back target?
Similar EMA crossing systems compared to Qj
http://breakpointtrades.com/controls/preview.php?la_id=603
http://breakpointtrades.com/controls/preview.php?la_id=667
QQQ said...
breakpointtrades.com is a good site, I like Steve Nelson's nightly mkt comments. MA cross trading systems are widely used many trading groups and funds, that was I mentioned many times in this blog, if you IN SRS position, do not wait after 3:45PM. from 3:45PM to 4:00PM is the Mechinical system EXIT time such as breakpointtrades.com's system. We sometine can use this trick to beat those machines.
What's the pros and cons between EMA and SMA (moving average)?
Take a look at these two charts: http://i39.tinypic.com/2rc5ses.png and http://i43.tinypic.com/73nk2w.png
How to fix the lag issue on MA crossover system (e.g 5min EMA7^21, 15min EMA16^34)by using other indicators?
The most important that you might want to move ahead of MA cross system is: volume action, trading pattern, and support/resistance zones with your 3:1 reward/risk assessment.
Sun's back-testing on MA crossing system
Trading System Test Result Summary (15 Min Chart)
Rules:
1. Long Only
2. Entry when EMA-No1/EMA-No2 Crossing Up
3. Exit when EMA-No1/EMA-No2 Crossing Down
4. Closing Any Position at EOD
5. Commission cost per trade: $9.99
Results:
a. Test Results using SPY (04/23/07 to 04/23/09):
EMA7/EMA21: Accumulative Return from 04/23/07 to 04/23/09: -39.44%
EMA8/EMA21: Accumulative Return from 04/23/07 to 04/23/09: -20.70%
EMA16/EMA39: Accumulative Return from 04/23/07 to 04/23/09: +16.76%
EMA13/EMA34: Accumulative Return from 04/23/07 to 04/23/09: +21.20%
b. Test Results using SSO (04/23/07 to 04/23/09):
EMA13/EMA34: Accumulative Return from 04/23/07 to 04/23/09: +57.93% (29%/Year)
QQQ said...
Thanks SUN888, how about add conditions say
(1) always exit positions at the end of day, no matter when to enter the position
(2) always set 3% stops, once it stops out, wait for next cross
that means the system always maintain cash position after 4PM and before 9:30AM
From 2007 to 2009 mainly bear mkt.
I heard people talking about SRS made 400% plus profit by using that system
SUN888 said...
1. The system I am using can only go back to 2 years.
2. We do not need to use trailing stop for this system. Test indicates 5% stop produces a better results than 3%. No stop has a better results than 3%.
3. I have not figured it out how to program to short. I am old... and hope some yang men to do more test...using their program skill.
4. For different stock, one needs to adjust ema ratio to produce a better result.
I sincerely hope someone to perform some more test and using different ema/sma ratios.
Anita said...
In TDAmeritrade "strategy setup", under "Action", there are two choices: buy, or sell short. You can set up either long or short. I never tried their automatic trading setups though.
SUN888 said...
Anita or others:
Thanks. Please see if you could comment below for Short. It does not work well for short, but I have not located the error in below.
Entry:
ExpMovingAverage[EMA,Close,9,0,15,1] > ExpMovingAverage[EMA,Close,39,0,15,1] AND ExpMovingAverage[EMA,Close,9,0,15] <> ExpMovingAverage[EMA,Close,39,0,15] OR (Bar[Hour,1] * 100) + (Bar[Minute,1]) >= 1558
SUN888 said...
I am using the below(using TD's StrtegyDesk) to test EMA7 and EMA21-15 Min crossing system with no sucess (lost money)up to now. If any one find any error from below, please let me know. Thanks.
Entry:
ExpMovingAverage[EMA,Close,7,0,15,1] <> ExpMovingAverage[EMA,Close,21,0,15]
Exit:
ExpMovingAverage[EMA,Close,7,0,15,1] > ExpMovingAverage[EMA,Close,21,0,15,1] AND ExpMovingAverage[EMA,Close,7,0,15] < ExpMovingAverage[EMA,Close,21,0,15]
StariX said...
Sun,I am not using TD so do not know the exact syntax .But I think you should use "-1" instead of "1" in the parameter. And you also need to consider close the position EOD. Some backtests are also necessary before u apply it into real trading.
QQQ said...
SUN888, on 15min chart, MA cross system works well when you EXIT every trade at CLOSING BELL. These days, almost every day we have GAPS, that kills the MA cross system if you carry overnight to next day.
90ufo said...
sun888, In TD Strategy Desk, you can add a "trailing stop" to the option of "Exit".
I tried backtest with a fixed (such as $1) trailing stop on SPY, it gives better result than without trailing stop. This makes sense, trailing stop keeps loss limited. ----- However, I have never used the mechanical MA cross system in my real trade.
SUN888 said...
Cautions and Comments on Using MTS based on EMANo1/EMANo2 and EOD:
Due to my time limit, I could not come here often. However, I feel I should have this post. In the last one week and weekend, I have done many tests(100+) related to this system using different ETFs(SSO/SDS, SRS, QLD/QID, DGP/DZZ, DIG/DUG, SKF/UYG, DTO/DXO, etc), EMANo1/EMANo2 ratios (7/21, 13/34, 9/39, 8/21, 16/143, etc), Time Periods(1, 2 year, 4 months), Minute System(30, 15, 5 or 3 min etc) and Long/Short. Although, I am still working on understanding this system/outcome and to evaluate the trading system. Cautions need be given using this system as below,
The outcome could be fully depend on,
1. The stock/ETF movement behavior for a given time frame. Therefore, the trend is critical to decide to use long/short.
2. EMANo1/EMANo2 Ratio
3. Time Frame (long/short term) for the back testing and the Minute System (30, 15, 5 or 3 min etc).
4. Any back testing not presents future outcome.
5. The outcome could be very volatile. It could produce a profit or lost in term of the above.
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