Comments on: S&P Overnight Trading Model

By: JeffM

JeffM — Thu, 24 Aug 2017 17:43:09 +0000

My testing shows if you use RSI(2) as a weakness filter instead of the daily range you get better results. The short side of this system also works.
//Trigger = (Close – Low)/(High – Low) < Trigger_Level;
Trigger_long = RSI(Close,RSI_Lookback) < RSI_Lower;

By: Jeff Swanson

Jeff Swanson — Wed, 31 Aug 2016 14:55:56 +0000

In reply to Agustin Gonzalez. Hello Agustin. I'll have to look into this, but I think you simply use the regular session for stocks. This is the period without the pre-market or post market sessions. When I get some time today, I'll take a look at this strategy on a stock.

By: Agustin Gonzalez

Agustin Gonzalez — Fri, 26 Aug 2016 00:03:47 +0000

Hi Jeff,

I find this article very interesting and I wanted to test it my self, I have one issue though. I can´t get TradeStation to make daily bars that have the session times of a stock, meaning 9:30 to 16:00. if I use daily bars TradeStation doesn´t allow to make a custom session. E-mini has a 24 hour session so if I use the code I downloaded here the difference from the close of a bar to the open of the next is just an hour difference. I can code it with times but then the filters become very complicated, the ideal thing would be to use it like you in you example screen. Can you help me ? It´s probably something simple but I can´t seem to find how…

By: Rick

Rick — Sat, 13 Sep 2014 09:23:35 +0000

In reply to Jeff Swanson. Then I look forward to your article on position sizing.

By: Jeff Swanson

Jeff Swanson — Fri, 12 Sep 2014 12:38:53 +0000

In reply to Rick. The short answer is no. Correct position sizing will most often increase returns. In some cases, dramatically.

By: Rick

Rick — Fri, 12 Sep 2014 12:31:10 +0000

In reply to Jeff Swanson. I understand that position sizing will tell me how much to wager on a given equity. So if I wager more, I will have a larger profit (or larger loss) but won't it still be 2.5% annualized?

By: Jeff Swanson

Jeff Swanson — Thu, 11 Sep 2014 18:00:22 +0000

In reply to Rick. That's a good question and one that I get on occasion. The confusion has to do with believing the trading rules, as stated above in this example, are all that determines rate of return. However what's missing is a position sizing model. A position sizing model can dramatically improve the return of the system. It's completely possible to have two identical trading systems, thinking the same trades on the same market yet, produce different returns. The only difference between the two systems is the position sizing model. This would actually make for a great topic in a future article. Thanks!

By: Rick

Rick — Thu, 11 Sep 2014 17:58:10 +0000

In reply to Rick. Nevermind. You kinda-sorta answered it in your previous reply.

By: Rick

Rick — Thu, 11 Sep 2014 16:03:41 +0000

I have had similar questions for quite some time looking at the various strategy models you have presented, but I finally have to voice it –

Why would I want to use a model that provides an annualized return of only 2.5%?

By: Marco

Marco — Tue, 09 Sep 2014 14:40:00 +0000

In reply to Jeff Swanson.

I would use 15-minute data to backtest the entries and exit better. If it’s better taking the night trade 15 minutes or half an hour before or exiting a quarter or half an hour later than the open. Just to better fine tuning my trades.
I just lack the 15 minutes historycal data set for SPY.
Could you send it to me if you have it? Maybe in a zipped cvs file? It would be a great help for me.
And if you have any advice/questions on my trading just ask!
Bests,
Marco