QQQ crash system

Discussion in 'Strategy Development' started by bhds, May 11, 2004.

  1. bhds


    Any comments on the qqq crash system that was backtested in the june issue of Active Trader?
    I was mostly curious about the 20 day exit with a loss. Was that a typo? I'm not an expert or pro so maybe someone can explain to me how you would avoid a catastrophic loss with that type of exit. :confused:

  2. bhds


    Anyone :confused:
  3. Tony98


    It works!
  4. %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%


    Twenty days wouldnt be considered long term by many swing position traders/investors;

    read rule #1 for long exit & its just above rule #2.

    In a multitude of counselors ther is safety
    Solomon,trader king
  5. bhds


    I guess what I am saying is that I did not know that leaving 100% or your equity tied up in one stock/instrument for up to 20 days was considered good money management. Whether you are a swing or position trader. Like I said, I'm not a pro:)
  6. Tony98


    Trade the highest percentage of your equity that you are prepared to lose.
  7. jeffstr


    I coded the EFS and attached if anyone interested. Tested and verified the data from 05/25/99. My results were 94.44 percent profitable. I did change one parameter and that was to enter at the close and not next day's opening. Forgot the numbers but it increased the return. Also tried quite a few other stocks and this system does seem to work under all conditions.

    Now the negative. As an example, No signal between 8/7/03 to 02/04/04. Ya gotta have a lot of patience to babysit something and wait 6 months for a signal. Not me, but it was fun coding anyway.

    FWIW, I tried the opposite theory for shorting and this system does not work at all. When I get some time, I would still like to understand why.

  8. Vishnu


    Perhaps the QQQ Crash was coded differently than the version I mentioned in my book (which the article was based on) "Trade Like a Hedge Fund" since I played the system 6 times in the period you mentioned.

    In terms of shorting, most systems just simply do not work. Shorting is not the opposite of going long. In fact, short-term long-only mean reversion systems often do better in bear markets than bull markets. Its never healthy to fade passion, but punishing fear is usually worthwhile.

    - James Altucher
  9. jeffstr


    Hi James and thanks for responding and sharing the concept. I sure would like to know how you got those extra signals in that timeframe.

    My Bands were set at 10 and std dev of 1.5 calculated using the Low as per the article. The only time the close was less than the lower BB was on 08/05/03 and next was 02/04/04. I honestly like the system and would like to find my error. Could you please review your settings against these. Appreciate any help. BTW, I'll buy the book if I can get this program tradeable. Thanks.

  10. jeffstr


    OK, I spent some more time on this and you identifying 6 trades during that period I was able to back into the right BB and std dev settings. After the changes the profitability got much better even though it was good to begin with. Outstanding system and look forward to getting the book. Thanks again. This really is a cool contribution you made.

    #10     May 13, 2004