Kudos to MMs

Discussion in 'Chit Chat' started by nitro, Oct 23, 2008.

  1. nitro

    nitro

    The original versions were very bad. The new version ("NFV") which I have been running for a few months are jaw dropping accurate in that it rarely takes more than a week for full convergence, and the convergence is most often SPX converges in the direction of "NFV".

    I have always regarded as the ultimate test of a "system" a quality called "recovery rate", or how fast it recovers from losses. If you follow simple rules of position sizing, such as for example, do one contract when NFV and SPX diverge by seven or more, add n contracts more if they continue to diverge by 14 or more, then add p more contracts if the divergence continues for 24+, you will have 1 + n + p contracts, at which time on convergence you will have a healthy profit. n and p can be progressive, such as n = 2 and p = 6, so that if SPX and NFV diverge by more than 24, you will have 9 contracts on (or some multiple of whatever your units are) with the highest weight on the lowest price in your entry sequence. Alternatively, you can use S/R levels to add, but that is very conservative, imo.

    I have an idea for a high frequency version that is always (except in extremely rare cases of 1 or less divergence in which case position is zero) in the market on some position weight based on divergence gradient. The only way to use it as posted on ET is as a swing system.

    FWIW, there are several dozen people that have PM'ed me to say that follow NFV, and many of them say it is very helpful to them. In rising markets I think it loses some predictability although still viable. We will have to wait and see.
     
    #1551     Jun 4, 2010
  2. nitro

    nitro

    "NFV" 1089.29. SPX 1074.07. That is > 14, so we would add contracts long here based on our risk tolerance. 1072 is also a known support point.
     
    #1552     Jun 4, 2010
  3. Daal

    Daal

    Why didnt you run an historical test first before doing this real-time testing
     
    #1553     Jun 4, 2010
  4. nitro

    nitro

    "NFV" 1085.54. SPX 1063.03. Divergence is 22 and we add or initiate at 24+ so no add or initializing of new positions.
     
    #1554     Jun 4, 2010
  5. nitro

    nitro

    Access to data.
     
    #1555     Jun 4, 2010
  6. nitro

    nitro

    "NFV" 1090.02. SPX 1064.88.
     
    #1556     Jun 4, 2010
  7. nitro

    nitro

    "NFV" 1087.41.
     
    #1557     Jun 7, 2010
  8. nitro

    nitro

    "NFV" 1090.82. SPX 1066.43. Normally I don't post NFV again during the day unless the value has changed by five or more. In this case, since the volatility has been somewhat disconcerting, it often helps to see that NFV is holding steady to slightly higher.
     
    #1558     Jun 7, 2010
  9. nitro

    nitro

    "NFV" 1087.87. SPX 1058.61. Big edge long.
     
    #1559     Jun 7, 2010
  10. SPX closed at 1050.21, S&P futures are slightly lower. Have you seen more long edge than this with the current NFV incarnation?

     
    #1560     Jun 7, 2010