Friday, November 20, 2009

TZA System Stats


8 comments:

Anonymous said...

What time frame is being used to make these trades?

Matt

Allan said...

60 minutes

Anonymous said...

Any particular reason for using small cap?

Would strategy be as effective with SPX or NDX?

Matt

Allan said...

Matt - strategy works.

Plug in whatever two, three, four lettered symbol you want. It's rule-based, objective, trend following, tweaked only at user's discretion in my case, to attempt early entries, but unnecessary for longer term success.

That's the theory, anyway and so far its working.

Anonymous said...

Thanks for sharing this interesting mechanical system.

We've yet to offer you interesting possible improvements on this system yet in return.

However, here's to FUTURE COLLABORATION

Lucky Luciano

T said...

just from the data it looks like the series of trades whipped back and forth producing small losers,small winners,breakeven, and then a few good winners followed by equally bad losers,continuing to be break even,until the most recent trade,a good winner and thats where it stands.The next trade could be either or,and bring it all back to break even.
Meanwhile,ONE TRADE entered on november 2 at the Full Moon (reversal ) time and closing it on nov 16 at the New Moon (reversal) time would have netted how much ??

Ed said...

Hi T

Curious, what value of risk do you apply to being invested in the market overnight 15 days straight? What is your risk to reward ratio? What would the next trade be for your system? Can you guarantee it will be profitable? What is your winning percentage. Please do not read this as an attack or criticism, it is just that your question is out of context. The only way to really answer your question would be to put the 2 systems in place for a period of time and perform the analysis at the end including your time exposed to risk. One trade as you mentioned is not a valid comparison.

Ed

T said...

good points,Ed. I neglected to be specific enough.
given this vehicle is a 3 x etf,I might hesitate. but as to risk reward I follow the basic indicators including elliott wave,and I also include following the 'timing' factor of the new and full moon.
which was new on nov.17 and next full moon is december 1.
I like what Allan is doing. my comment wasnt trying to be chiding,just exploring thoughts.
I dont day trade etfs like Allan does.