haha definitely not as volatile as GDX. But ERX/ERY have definitely put in some 10-15% swings in a day recently. They used to be more inline with TNA/TZA, but not since oil started falling. For example, ERX/ERY are down/up 11% right now.
How often does it change? Daily? If there is no limit on the date (i.e. computation time is largely independent of time length), I'd say two years (So Feb 2014 onward). If that is too long, maybe the last 6 months.
I'd be most interested in how it performs during extended bull trends (anywhere beginning of 2012 to beginning of 2015). sideways action (First half of 2015). And the volatility of last 6 months. How it fared in 2008 would be of interest too, but I'm not trying to bite off more than I can chew haha.
I did notice oil was volatile. I figure it could be a possible replacement for GDX if GDX flattens out.
Interesting. I did my tests the same way: Bull year, flat year, bear year.
I'll do all of the time frames. It backtests pretty quickly. It's the optimal parameter search that takes a long while.
Which leads to this explanation: It is currently optimized based upon recent price history. I re-optimize every weekend. But, when backtesting, the optimization is not updated at all. So, I suspect the real performance would be even better than the backtesting suggests.
I will set it to TSP mode. This limits it two two trades per month and it can't short. I'll post 2008 first. Then I'll give a quick explanation of the column headings.
[COLOR=#0000ff][FONT=comic sans ms][I]"In the land of idiots, the moron is King."--Unknown[/I][/FONT][/COLOR]
It did 41% in 2008.
Reads from bottom to top.
In this mode:
Signal: 1=long, 0=hold, -1=exit
Position: 1=in equity fund, 0,-1=cash
Trades: The number of trades this month the system wanted to do.
Actual: The number of trades this month that actually happened (due to 2 trades per month restriction)
Balance: Balance starts at $1,000
Last edited by userque; 02-09-2016 at 01:17 PM. Reason: This is the Equity TSP Model
[COLOR=#0000ff][FONT=comic sans ms][I]"In the land of idiots, the moron is King."--Unknown[/I][/FONT][/COLOR]
This Equity TSP Model turned $1000 into $2700 from 2012 to 2015.
Reads from bottom to top.
In this mode:
Signal: 1=long, 0=hold, -1=exit
Position: 1=in equity fund, 0,-1=cash
Trades: The number of trades this month the system wanted to do.
Actual: The number of trades this month that actually happened (due to 2 trades per month restriction)
Balance: Balance starts at $1,000
[COLOR=#0000ff][FONT=comic sans ms][I]"In the land of idiots, the moron is King."--Unknown[/I][/FONT][/COLOR]
quite impressive userque!
For 2008, I gathered:
7 positive trades (Max was 13.2%)
3 negative trades (Max was -3.89%)
Doesn't include last buy since it wasn't completed (but was currently positive)
105 days in the market, 148 days out.
for 2012 to 2015:
39 positive (max was 11.24%)
3 negative (max was -1.1%)
456 days in the market, 550 days out.
Post the backtest of GDX when you get a chance, would ya? Thx
Sure, no problem.
It turned $1,000 into $5,000 for 2015 using only GDX. Using NUGT/DUST (3xETF's of GDX), it would be about $15,000.
In this mode:
Signal: 1=long, 0=hold, -1=short
Position: 1=long, 0=cash, -1=short
Trades: The number of trades this month the system wanted to do.
Actual: The number of trades this month that actually happened
Balance: Balance starts at $1,000
EDIT: Like the other model, it is re-trained every weekend. But these backtests aren't re-trained, so I suspect the actual performance would be even better.
[COLOR=#0000ff][FONT=comic sans ms][I]"In the land of idiots, the moron is King."--Unknown[/I][/FONT][/COLOR]
The trades on 02-04-16 are the first trades I made with the current system.
Code:02-04-16 ENTER NUGT AT 36.78 02-02-16 ENTER DUST AT 13.05---02-04-16 EXIT DUST AT 08.77* 01-26-16 ENTER TNA AT 44.93---01-27-16 EXIT TNA AT 44.85 01-25-16 ENTER TZA AT 61.15---01-26-16 EXIT TZA AT 60.51 01-20-16 ENTER TNA AT 42.98---01-25-16 EXIT TNA AT 44.79
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DISCLAIMER: Userque's trading signals are not affiliated with TSP Talk or Buy Low Sell High, Inc. The information is for educational purposes only! The information is not advice or recommendations. The information may be revised at anytime. Userque does not give investment advice. Do not act on this data. Do not buy, sell or trade any stocks, ETF's, indices, funds, or any other instruments/vehicles based on this information. Userque may trade differently than discussed or posted in this forum.
Last edited by userque; 02-10-2016 at 05:59 AM. Reason: Short answer: I am *currently* LONG
[COLOR=#0000ff][FONT=comic sans ms][I]"In the land of idiots, the moron is King."--Unknown[/I][/FONT][/COLOR]
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