On Friday I alluded that I has some big plans in the works forthe systems, here's a brief discussion of it.
This year as you know I started sharing trade signals for ESalong with the SPY signals. I use the same 21 systems across bothinstruments in order to catch the most trade opportunities. And ifyou look at the trades for SPY and ES - there's been 43 trades between the 2 instruments that I'vecalled out
In the past I've discussed adding more ETF's to this mix, like abasket, however a big problem with has been execution i.e. would Ibe able to reliably track trade signals for 5 or 10 ETFs and getthem out before or at the close? As you know the SPY and ESsystems give trade signals for the closing bar. That's always beena bit of a struggle for me to communicate these trade signalsquickly enough for you guys to act on them - especially theoptions, which are limited to 15 min after the close. The issuescome from a variety of reasons: 1. at times the trades are so closeto the edge of triggering or not triggering that I have to waituntil the close to confirm them. 2. As you know, Tradestation isprone to locking up and there have been times when my TS was lockedup until well after the close, and having more charts andworkspaces open makes it more prone to locking up.
What I've always wanted to do was have a basket of ETF's andplace these 20 sub systems on those ETF's and send trade signalsfor those; so instead of just SPY and ES, we'd have a basketof say SPY, ES, QQQ, IWM, and a handful of other ETF's. What hasstopped me from doing this is that I don't think Tradestation canhandle me having all these workspaces with all those systems on adozen ETF's without having issues such as lockups etc. Plus, evenwith just SPY, whenever there's a trade signal, I'm scramblingtrying to get that out and communicated in time for youguys.
HOWEVER, over the weekend I added a very simple thing to thestrategies that would make this easy as pie. To all the systems Iadded a flag for next bar open - basically when the systems wouldtrigger - I would get the trigger alert on my side - BUT the systemwould execute on the next day's open instead of the close that day!This solves everything because I can have 10 or 15 ETFsystems and instead of having them trigger their trades at theclose - the trades would be for the next day's open, but I wouldget the signal that day. I could simply leave the workspaces closedduring the day for these other systems - then open them after thecash market is closed, see if any of the systems are triggered forthe next day - then email those out. You would have the tradesignal that afternoon/evening, and would simply enter the trade thenext morning on the open. This solves the frantic chicken with headcutoff trying to scramble to get signals and trades out.
You may ask what effect the next day's open has on the currentSPY and ES systems? In most cases the statics fall a bit, but notdramatically. For example, on the CCI, the last SPY system thattrigger - the PF falls from 70 to 40 - but if you know anythingabout systems, the difference from a PF of 70 - 40 is trivial. Alsothat's without backtesting, simply having our currently SPY systemstrigger the following day without changing any of the othersettings.
Anyway, I would probably just leave the SPY and ES systems astheir our now, since the stats are optimized for entering at theclose
However for the ETF basket that I would build - I would optimizeall of these strategies for those ETF's with the next day's barentries and exits.
So there you go. I'm going to start this process of buildingthese new systems out. It will take some time as you know. Thatsaid, since we are in a bear market, I could focus more finishingthe systems that trigger in bear markets and leave the bull systemsuntil last.
tonight I started some tests on the QQQ, running tests on theBear Long currently (which is a bitch to run backtests for -testing can take 20 and 30 hrs for a few tests alone
