Monday, 31 March 2008
Filled!
Just updated my Portfolio page to reflect trades as of today. These are based on new signals for the open this morning from my trading setups based on the Commitments of Traders reports issued weekly by the U.S. Commodity Futures Trading Commission. Speaking of which, I've also posted several news items on my News page about the White House's latest plans to save the economy and crack down on the financial markets, which include merging the CFTC with other agencies. I'll be following that with great interest, including how it relates to the COTs reports. Good luck this week!
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8 comments:
Alex-
Two questions:
1) Do you use/can you recommend any commercial software for testing and optimizing the COTS set-ups? (Tradestation, Metastock, etc.)
2) Your Latest Signals page used to display setups with both a high and low standard deviation range for each set up but now only has 1 std dev point (i.e. the set-up for the S&P500 of 9 (-1)). How do you generate buy and sell signals from a std dev of -1?
Hi Brian,
Thanks for your question. I rely on Excel and proprietary software developed and shared by a generous reader. Can't give any thoughts on other software, unfortunately. Sorry. Make sure if you are evaluating something that it can access the futures-and-options combined COTs data. Some platforms use the futures-only data, which I've found gives inferior results in most cases.
See the S&P 500 spreadsheet on the DIY Guide page for how that works. The setup is on "sell" when the net % position is at -1 standard deviations from the moving average or lower and "buy" if at -1 SD or above.
Regards,
Alex
Hi Alex,
Just curious your signal is giving different direction for gold/silver and crude oil. I have observed they have been moving in tandem for a long time. care to comment!
David
From Singapore
Alex,
Has it crossed your mind that the extreme volatility of your recent signals i.e. Gold, Silver, S&P 500 etc is just an expression of the turbulence in the markets and perhaps, regardless of the signals, this is a time to step aside and remain in cash until stability returns?
Hi David,
You're right they usually move in tandem, but not always. More importantly, those setups work on different time horizons and with different sensitivities to the data. That helps me have a more diversified portfolio.
Regards,
Alex
Hello,
I have absolutely no knowledge of the stock market, but would love to learn. Can you possibly reconmend any reading material for the extreme novice?
Jesse
Hi Jesse,
Wow, good question. Edwin Lefevre's Reminiscences of a Stock Operator is one classic that lots of traders swear by. Might have to read it a few times to get all the lessons. On the web, I learned a lot from Don Vialoux's free site DVTechTalk.com, the free daily briefs from BCAResearch.com and trader Stephen Vita's free blog. (Can't remember the url, but he also has a subscription site, AlchemyOfTrading.com.) Maybe other readers have suggestions too?
Best regards,
Alex
Hi Anonymous,
I don't believe most of my setups have been showing 'extreme volatility' in their recent signals. Gold is an exception, but if you notice the gold stocks setup, it's been on a bullish signal since May 2007. In fact, the average holding period for most of my recently revised setups is a few weeks, and there are lots of past periods where there are shorter holding periods than that.
The trading system was devised using several different market conditions over the entire dataset - including bull, bear and congested periods - so that it can be traded even when market conditions change. If those differing conditions aren't considered, you need some kind of other filter based perhaps on price to tell you when conditions have changed. I believe a robust strategy can be devised, however, that doesn't require such a filter and keeps you in the market making money more of the time.
Regards,
Alex
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