Ebb's Account Talk

[ebbnflow]

The 1st day of double pattern 8-8 had a win percentage 56% (14/25), so even though it was a long pattern, it was on the cusp of being cash with just one loss. And, it did lose today, so it's now a cash pattern at 53.8% (14/26). On the other hand, tomorrow's 2nd day of pattern 8-8 is our most bullish pattern at 71% (17/24). :toung:

Tuesday: Pattern 8/red-grn-red. Win Percentage (CSI 54.9%): C 55.6%, S 52.4% (DP WP: 56%), I 56.9%.
Result: long C-fund was wrong; long S-fund was wrong; long I-fund was wrong.

Unofficial (May 20, 2014): C -0.65%; S -1.16%; I -0.23%.

Short Patterns (S-fund): 2/grn-grn-red (51.9%); 8/red-grn-red (52.1%).
Cash Patterns (S-fund): 4/grn-red-grn (53.9%); 6/red-red-grn (53.4%); 7/red-grn-grn (53.1%).
Long Patterns (S-fund): 1/grn-grn-grn (56.3%); 3/grn-red-red (57.0%); 5/red-red-red (60.0%).

S&P 500: 55.0% (7-yr. win percentage).
Strategy: short <= 53%; cash > 53% and <= 55.0%; long > 55.0%.
Accuracy: 18/29 (62%). Long: 12/18 (67%). Short: 6/11 (55%). Cash: green (3 up, 2 down); red (2 up, 3 down).

Wednesday: Pattern 8/red-grn-red. Win Percentage (CSI 54.7%): C 55.4%, S 52.1% (DP WP: 71%), I 56.7%.
Forecast: long C-fund; long S-fund; long I-fund.

Wednesday is the 2nd day of double pattern 8-8. DP Win Percentage (S-fund): 71% (17/24). Strategy: Long > 55.0%.

Our most bullish pattern, 2nd day of double pattern 8-8 (WP: 72% 18/25), did not disappoint.

Wednesday: Pattern 8/red-grn-red. Win Percentage (CSI 54.7%): C 55.4%, S 52.1% (DP WP: 71%), I 56.7%.
Result: long C-fund was right; long S-fund was right; long I-fund was right.

Unofficial (May 21, 2014): C +0.81%; S +0.58%; I +0.09%.

Short Patterns (S-fund): 2/grn-grn-red (51.9%); 8/red-grn-red (52.3%).
Cash Patterns (S-fund): 4/grn-red-grn (53.9%); 6/red-red-grn (53.4%); 7/red-grn-grn (53.1%).
Long Patterns (S-fund): 1/grn-grn-grn (56.3%); 3/grn-red-red (57.0%); 5/red-red-red (60.0%).

S&P 500: 55.1% (7-yr. win percentage).
Strategy: short <= 53%; cash > 53% and <= 55.1%; long > 55.1%.
Accuracy: 19/30 (63%). Long: 13/19 (68%). Short: 6/11 (55%). Cash: green (3 up, 2 down); red (2 up, 3 down).

Thursday: Pattern 5/red-red-red. Win Percentage (CSI 59.6%): C 60.6%, S 60.0%, I 58.3%.
Forecast: long C-fund; long S-fund; long I-fund.

Thursday has bullish pattern 5/red-red-red. Win Percentage (S-fund): 60% (W 129, L 86). Strategy: Long > 55.1%.

 

[userque]

Re: Simple to understand

Ebb,

How did you come to using 2007 as your starting year for stats?

 

[ebbnflow]

Re: Simple to understand

Ebb,

How did you come to using 2007 as your starting year for stats?

I only tracked the buy and sell signals for the I-fund before 2007. But when I incorporated the C and S-fund into the mix (Jan. 16, 2007), I soon realized that the eight different patterns formed by the C, S, and I-fund signals can be used to record or take "snapshots" of the market. That's possible only because these patterns are quantifiable (I could tally the wins and losses with each pattern).

At first, I didn't think the patterns were contrarian in nature, but as it turned out, it was (as it should). Now, after 7 years of data, we can easily gauge market sentiment just by looking at the patterns' win percentages.

 

[userque]

Re: Simple to understand

I only tracked the buy and sell signals for the I-fund before 2007. But when I incorporated the C and S-fund into the mix (Jan. 16, 2007), I soon realized that the eight different patterns formed by the C, S, and I-fund signals can be used to record or take "snapshots" of the market. That's possible only because these patterns are quantifiable (I could tally the wins and losses with each pattern).

At first, I didn't think the patterns were contrarian in nature, but as it turned out, it was (as it should). Now, after 7 years of data, we can easily gauge market sentiment just by looking at the patterns' win percentages.

Wow, ok, so you've been processing the data manually all this time! You can't just use a spreadsheet (for example) to have it automate the pattern recognition and go back even further...to say, 2003, for example? Or is it too subjective? Or do you think having more data is not so good?

 

[ebbnflow]

Re: Simple to understand

Wow, ok, so you've been processing the data manually all this time! You can't just use a spreadsheet (for example) to have it automate the pattern recognition and go back even further...to say, 2003, for example? Or is it too subjective? Or do you think having more data is not so good?

Inputting the daily data is easy moving forward. What takes time is generating the red/green signals for the C, S, and I-fund. I don't think i can automate the process of using my cycles with the spreadsheet. Sure, I can go back to 2003, but it's going to take months to finish. And besides, all the patterns from 2007 to present have been posted and documented, but if I start adding patterns way back from 2003, then that would constitute backtesting.

 

[userque]

Re: Simple to understand

Inputting the daily data is easy moving forward. What takes time is generating the red/green signals for the C, S, and I-fund. I don't think i can automate the process of using my cycles with the spreadsheet. Sure, I can go back to 2003, but it's going to take months to finish. And besides, all the patterns from 2007 to present have been posted and documented, but if I start adding patterns way back from 2003, then that would constitute backtesting.

Understood.

I have a local maximum on the S-Fund on or about May 28, does that jibe with the Ebbcharts?

 

[ebbnflow]

Re: Simple to understand

Understood.

I have a local maximum on the S-Fund on or about May 28, does that jibe with the Ebbcharts?

My TSP system entered the S-fund on May 9 using a double pattern entry point and the exit point should be next week on May 28. So far, the entry has a net gain of +1.35% with two more trading days to go (this Friday and next Tuesday).

 

[ebbnflow]

Our most bullish pattern, 2nd day of double pattern 8-8 (WP: 72% 18/25), did not disappoint.

Wednesday: Pattern 8/red-grn-red. Win Percentage (CSI 54.7%): C 55.4%, S 52.1% (DP WP: 71%), I 56.7%.
Result: long C-fund was right; long S-fund was right; long I-fund was right.

Unofficial (May 21, 2014): C +0.81%; S +0.58%; I +0.09%.

Short Patterns (S-fund): 2/grn-grn-red (51.9%); 8/red-grn-red (52.3%).
Cash Patterns (S-fund): 4/grn-red-grn (53.9%); 6/red-red-grn (53.4%); 7/red-grn-grn (53.1%).
Long Patterns (S-fund): 1/grn-grn-grn (56.3%); 3/grn-red-red (57.0%); 5/red-red-red (60.0%).

S&P 500: 55.1% (7-yr. win percentage).
Strategy: short <= 53%; cash > 53% and <= 55.1%; long > 55.1%.
Accuracy: 19/30 (63%). Long: 13/19 (68%). Short: 6/11 (55%). Cash: green (3 up, 2 down); red (2 up, 3 down).

Thursday: Pattern 5/red-red-red. Win Percentage (CSI 59.6%): C 60.6%, S 60.0%, I 58.3%.
Forecast: long C-fund; long S-fund; long I-fund.

Thursday has bullish pattern 5/red-red-red. Win Percentage (S-fund): 60% (W 129, L 86). Strategy: Long > 55.1%.

Just goes to show you can't keep a good pattern down. Pattern 5/red-red-red is our most bullish single pattern with a win percentage of 60.2% in the S-fund. Its last outing was a loss, so today is payback time.

Thursday: Pattern 5/red-red-red. Win Percentage (CSI 59.6%): C 60.6%, S 60.0%, I 58.3%.
Result: long C-fund was right; long S-fund was right; long I-fund was right.

Unofficial (May 22, 2014): C +0.24%; S +0.68%; I +0.45%.

Short Patterns (S-fund): 2/grn-grn-red (51.9%); 8/red-grn-red (52.3%).
Cash Patterns (S-fund): 4/grn-red-grn (53.9%); 6/red-red-grn (53.4%); 7/red-grn-grn (53.1%).
Long Patterns (S-fund): 1/grn-grn-grn (56.3%); 3/grn-red-red (57.0%); 5/red-red-red (60.2%).

S&P 500: 55.1% (7-yr. win percentage).
Strategy: short <= 53%; cash > 53% and <= 55.1%; long > 55.1%.
Accuracy: 20/31 (65%). Long: 14/20 (70%). Short: 6/11 (55%). Cash: green (3 up, 2 down); red (2 up, 3 down).

Friday: Pattern 6/red-red-grn. Win Percentage (CSI 53.1%): C 52.2%, S 53.4%, I 53.7%.
Forecast: short C-fund; cash S-fund; cash I-fund.

Friday has cash pattern 6/red-red-grn. Win Percentage (S-fund): 53.4% (W 132, L 115). Strategy: Cash > 53% and <= 55.1%.

 

[userque]

Re: Simple to understand

My TSP system entered the S-fund on May 9 using a double pattern entry point and the exit point should be next week on May 28. So far, the entry has a net gain of +1.35% with two more trading days to go (this Friday and next Tuesday).

Interesting, ... it's been saying the 28th for a couple of days now. Today, it just switched to Jun 2. It ebbs and flows based on price action (as it should). In theory, its forecasts should get more accurate as the target date approaches.

 

[JTH]

Re: Simple to understand

I will be making an IFT before noon today (Thursday), so I can be in the S-fund by tomorrow (Friday). The ebbcharts have a double pattern 3-3 from May 08-09. The 1st day of the DP has a WP of 50% (11/22), so the system remains in the F-fund. But the 2nd day on Friday has a high WP of 68% (15/22), so this becomes our entry point. Next Monday, we have pattern 4, which is a neutral/cash pattern. Then on Tuesday and Wednesday, double pattern 6-6 shows up, and both days have bullish win percentages -- 61% (17/28) and 57% (16/28), respectively. The TSP system will be in the S-fund from May 09-14.

My TSP system entered the S-fund on May 9 using a double pattern entry point and the exit point should be next week on May 28. So far, the entry has a net gain of +1.35% with two more trading days to go (this Friday and next Tuesday).

From 9-14 May, 2 closed up, with 2 closing down, for roughly a .68% gain. Did the system change its mind by staying in?

 

[ebbnflow]

Re: Simple to understand

From 9-14 May, 2 closed up, with 2 closing down, for roughly a .68% gain. Did the system change its mind by staying in?

No, the TSP system didn't change its mind. The system generates 3 to 7 patterns ahead of time. Once the double-pattern entry was established, it's just a matter of when to exit. By the way, the system was up +6.14% before the entry, and now it's up +7.55%. I had +5.66% coming into this month (gained 3% last month, maybe 2% this month), so everything's fine and dandy.

Strategy: Short if less than or equal to 53%. Cash if greater than 53% but less than 55%. Long if greater than 55%.

May 15: Pattern 5 (WP: 60%). Bullish, so stayed in S-fund.
May 16-19: Double pattern 1-1 (WP: 69% & 63%). Stayed.
May 20-21: Double pattern 8-8 (WP: 56% & 71%). Stayed.
May 22: Pattern 5 (WP: 60%). Stayed.
May 23: Pattern 6 (WP: 53.4%). It's a cash/neutral pattern, but it's red so stayed to catch next pattern.
May 27: Pattern 5 (WP: 60%). Last good pattern to catch.
May 28: Pattern 4 (WP: 53.9%). Cash pattern, but I won't stay just to catch next pattern.
May 29: Pattern 1 (WP: 56.3%). Not a double pattern 1-1, and next pattern is short, so I'm out.
May 30: Pattern 8 (WP: 52.3%). Short pattern. If this was another long pattern, then I'd stay.

So as you can see, I'm just trading by the numbers. I sense a book in there somewhere.

 

[userque]

After this last tweak, the S-Fund exit forecast is now May 29...back on the original target. (Also, the last tweak has me SHORT for today.)

 

[ebbnflow]

Just goes to show you can't keep a good pattern down. Pattern 5/red-red-red is our most bullish single pattern with a win percentage of 60.2% in the S-fund. Its last outing was a loss, so today is payback time.

Thursday: Pattern 5/red-red-red. Win Percentage (CSI 59.6%): C 60.6%, S 60.0%, I 58.3%.
Result: long C-fund was right; long S-fund was right; long I-fund was right.

Unofficial (May 22, 2014): C +0.24%; S +0.68%; I +0.45%.

Short Patterns (S-fund): 2/grn-grn-red (51.9%); 8/red-grn-red (52.3%).
Cash Patterns (S-fund): 4/grn-red-grn (53.9%); 6/red-red-grn (53.4%); 7/red-grn-grn (53.1%).
Long Patterns (S-fund): 1/grn-grn-grn (56.3%); 3/grn-red-red (57.0%); 5/red-red-red (60.2%).

S&P 500: 55.1% (7-yr. win percentage).
Strategy: short <= 53%; cash > 53% and <= 55.1%; long > 55.1%.
Accuracy: 20/31 (65%). Long: 14/20 (70%). Short: 6/11 (55%). Cash: green (3 up, 2 down); red (2 up, 3 down).

Friday: Pattern 6/red-red-grn. Win Percentage (CSI 53.1%): C 52.2%, S 53.4%, I 53.7%.
Forecast: short C-fund; cash S-fund; cash I-fund.

Friday has cash pattern 6/red-red-grn. Win Percentage (S-fund): 53.4% (W 132, L 115). Strategy: Cash > 53% and <= 55.1%.

This is icing on the cake. Have a great Memorial Day weekend!

Friday: Pattern 6/red-red-grn. Win Percentage (CSI 53.1%): C 52.2%, S 53.4%, I 53.7%.
Result: short C-fund was wrong; cash S-fund was safe; cash I-fund was safe.

Unofficial (May 23, 2014): C +0.42%; S +0.81%; I +0.20%.

Short Patterns (S-fund): 2/grn-grn-red (51.9%); 8/red-grn-red (52.3%).
Cash Patterns (S-fund): 4/grn-red-grn (53.9%); 6/red-red-grn (53.6%); 7/red-grn-grn (53.1%).
Long Patterns (S-fund): 1/grn-grn-grn (56.3%); 3/grn-red-red (57.0%); 5/red-red-red (60.2%).

S&P 500: 55.1% (7-yr. win percentage).
Strategy: short <= 53%; cash > 53% and <= 55.1%; long > 55.1%.
Accuracy: 20/31 (65%). Long: 14/20 (70%). Short: 6/11 (55%). Cash: green (3 up, 2 down); red (3 up, 3 down).

Tuesday: Pattern 5/red-red-red. Win Percentage (CSI 59.8%): C 60.7%, S 60.2%, I 58.5%.
Forecast: long C-fund; long S-fund; long I-fund.

Tuesday has pattern 5/red-red-red. Win Percentage (S-fund): 60.2% (W 130, L 86). Strategy: Long > 55.1%.

 

[ebbnflow]

This is icing on the cake. Have a great Memorial Day weekend!

Friday: Pattern 6/red-red-grn. Win Percentage (CSI 53.1%): C 52.2%, S 53.4%, I 53.7%.
Result: short C-fund was wrong; cash S-fund was safe; cash I-fund was safe.

Unofficial (May 23, 2014): C +0.42%; S +0.81%; I +0.20%.

Short Patterns (S-fund): 2/grn-grn-red (51.9%); 8/red-grn-red (52.3%).
Cash Patterns (S-fund): 4/grn-red-grn (53.9%); 6/red-red-grn (53.6%); 7/red-grn-grn (53.1%).
Long Patterns (S-fund): 1/grn-grn-grn (56.3%); 3/grn-red-red (57.0%); 5/red-red-red (60.2%).

S&P 500: 55.1% (7-yr. win percentage).
Strategy: short <= 53%; cash > 53% and <= 55.1%; long > 55.1%.
Accuracy: 20/31 (65%). Long: 14/20 (70%). Short: 6/11 (55%). Cash: green (3 up, 2 down); red (3 up, 3 down).

Tuesday: Pattern 5/red-red-red. Win Percentage (CSI 59.8%): C 60.7%, S 60.2%, I 58.5%.
Forecast: long C-fund; long S-fund; long I-fund.

Tuesday has pattern 5/red-red-red. Win Percentage (S-fund): 60.2% (W 130, L 86). Strategy: Long > 55.1%.

It's a slam dunk for pattern 5/red-red-red, our most bullish single pattern. A win percentage of 60.4% may not be that overwhelming, but if we consider the flip side, its failure rate is only at 39.6%.

Tuesday: Pattern 5/red-red-red. Win Percentage (CSI 59.8%): C 60.7%, S 60.2%, I 58.5%.
Result: long C-fund was right; long S-fund was right; long I-fund was right.

Unofficial (May 27, 2014): C +0.60%; S +0.97%; I +0.64%.

Short Patterns (S-fund): 2/grn-grn-red (51.9%); 8/red-grn-red (52.3%).
Cash Patterns (S-fund): 4/grn-red-grn (53.9%); 6/red-red-grn (53.6%); 7/red-grn-grn (53.1%).
Long Patterns (S-fund): 1/grn-grn-grn (56.3%); 3/grn-red-red (57.0%); 5/red-red-red (60.4%).

S&P 500: 55.1% (7-yr. win percentage).
Strategy: short <= 53%; cash > 53% and <= 55.1%; long > 55.1%.
Accuracy: 21/32 (66%). Long: 15/21 (71%). Short: 6/11 (55%). Cash: green (3 up, 2 down); red (3 up, 3 down).

Wednesday: Pattern 4/grn-red-grn. Win Percentage (CSI 54.5%): C 55.7%, S 53.9%, I 53.8%.
Forecast: long C-fund; cash S-fund; cash I-fund.

Wednesday has pattern 4/GRG. Win Percentage (S-fund): 53.9% (W 125, L 107). Strategy: Cash > 53% and <= 55.1%.

Note: Added a digit to percentages on the ebbtally chart below to reflect same values as above.

 

[ebbnflow]

It's a slam dunk for pattern 5/red-red-red, our most bullish single pattern. A win percentage of 60.4% may not be that overwhelming, but if we consider the flip side, its failure rate is only at 39.6%.

Tuesday: Pattern 5/red-red-red. Win Percentage (CSI 59.8%): C 60.7%, S 60.2%, I 58.5%.
Result: long C-fund was right; long S-fund was right; long I-fund was right.

Unofficial (May 27, 2014): C +0.60%; S +0.97%; I +0.64%.

Short Patterns (S-fund): 2/grn-grn-red (51.9%); 8/red-grn-red (52.3%).
Cash Patterns (S-fund): 4/grn-red-grn (53.9%); 6/red-red-grn (53.6%); 7/red-grn-grn (53.1%).
Long Patterns (S-fund): 1/grn-grn-grn (56.3%); 3/grn-red-red (57.0%); 5/red-red-red (60.4%).

S&P 500: 55.1% (7-yr. win percentage).
Strategy: short <= 53%; cash > 53% and <= 55.1%; long > 55.1%.
Accuracy: 21/32 (66%). Long: 15/21 (71%). Short: 6/11 (55%). Cash: green (3 up, 2 down); red (3 up, 3 down).

Wednesday: Pattern 4/grn-red-grn. Win Percentage (CSI 54.5%): C 55.7%, S 53.9%, I 53.8%.
Forecast: long C-fund; cash S-fund; cash I-fund.

Wednesday has pattern 4/GRG. Win Percentage (S-fund): 53.9% (W 125, L 107). Strategy: Cash > 53% and <= 55.1%.

Note: Added a digit to percentages on the ebbtally chart below to reflect same values as above.

Great timing on my TSP exit -- avoided a loss in the S-fund, and gained a chunk in the F-fund.

Wednesday: Pattern 4/grn-red-grn. Win Percentage (CSI 54.5%): C 55.7%, S 53.9%, I 53.8%.
Result: long C-fund was wrong; cash S-fund was safe; cash I-fund was safe.

Unofficial (May 28, 2014): C -0.11%; S -0.31%; I -0.04%.

Short Patterns (S-fund): 2/grn-grn-red (51.9%); 8/red-grn-red (52.3%).
Cash Patterns (S-fund): 4/grn-red-grn (53.6%); 6/red-red-grn (53.6%); 7/red-grn-grn (53.1%).
Long Patterns (S-fund): 1/grn-grn-grn (56.3%); 3/grn-red-red (57.0%); 5/red-red-red (60.4%).

S&P 500: 55.1% (7-yr. win percentage).
Strategy: short <= 53%; cash > 53% and <= 55.1%; long > 55.1%.
Accuracy: 21/32 (66%). Long: 15/21 (71%). Short: 6/11 (55%). Cash: green (3 up, 3 down); red (3 up, 3 down).

Thursday: Pattern 1/grn-grn-grn. Win Percentage (CSI 52.9%): C 53.4%, S 56.3%, I 49.0%.
Forecast: cash C-fund; long S-fund; short I-fund.

Thursday has pattern 1/grn-grn-grn. Win Percentage (S-fund): 56.3% (W 147, L 114). Strategy: Long > 55.1%.

 

[ebbnflow]

Great timing on my TSP exit -- avoided a loss in the S-fund, and gained a chunk in the F-fund.

Wednesday: Pattern 4/grn-red-grn. Win Percentage (CSI 54.5%): C 55.7%, S 53.9%, I 53.8%.
Result: long C-fund was wrong; cash S-fund was safe; cash I-fund was safe.

Unofficial (May 28, 2014): C -0.11%; S -0.31%; I -0.04%.

Short Patterns (S-fund): 2/grn-grn-red (51.9%); 8/red-grn-red (52.3%).
Cash Patterns (S-fund): 4/grn-red-grn (53.6%); 6/red-red-grn (53.6%); 7/red-grn-grn (53.1%).
Long Patterns (S-fund): 1/grn-grn-grn (56.3%); 3/grn-red-red (57.0%); 5/red-red-red (60.4%).

S&P 500: 55.1% (7-yr. win percentage).
Strategy: short <= 53%; cash > 53% and <= 55.1%; long > 55.1%.
Accuracy: 21/32 (66%). Long: 15/21 (71%). Short: 6/11 (55%). Cash: green (3 up, 3 down); red (3 up, 3 down).

Thursday: Pattern 1/grn-grn-grn. Win Percentage (CSI 52.9%): C 53.4%, S 56.3%, I 49.0%.
Forecast: cash C-fund; long S-fund; short I-fund.

Thursday has pattern 1/grn-grn-grn. Win Percentage (S-fund): 56.3% (W 147, L 114). Strategy: Long > 55.1%.

Pattern 1/grn-grn-grn knows best.

Thursday: Pattern 1/grn-grn-grn. Win Percentage (CSI 52.9%): C 53.4%, S 56.3%, I 49.0%.
Result: cash C-fund was safe; long S-fund was right; short I-fund was wrong.

Unofficial (May 29, 2014): C +0.54%; S +0.45%; I +0.29%.

Short Patterns (S-fund): 2/grn-grn-red (51.9%); 8/red-grn-red (52.3%).
Cash Patterns (S-fund): 4/grn-red-grn (53.6%); 6/red-red-grn (53.6%); 7/red-grn-grn (53.1%).
Long Patterns (S-fund): 1/grn-grn-grn (56.5%); 3/grn-red-red (57.0%); 5/red-red-red (60.4%).

S&P 500: 55.1% (7-yr. win percentage).
Strategy: short <= 53%; cash > 53% and <= 55.1%; long > 55.1%.
Accuracy: 22/33 (67%). Long: 16/22 (73%). Short: 6/11 (55%). Cash: green (3 up, 3 down); red (3 up, 3 down).

Friday: Pattern 8/red-grn-red. Win Percentage (CSI 54.9%): C 55.6%, S 52.3%, I 56.8%.
Forecast: long C-fund; short S-fund; long I-fund.

Friday has pattern 8/red-grn-red. Win Percentage (S-fund): 52.3% (W 123, L 112). Strategy: Short <= 53%.

 

[userque]

... short I-fund was wrong.
...

I've seen where you make adjustments when your system is wrong sometimes. Do you always adjust the numbers (cash upper and lower limits) when it is wrong? Or does there have to be a certain number of times it is wrong before you adjust? Or does it have to be wrong by a certain amount? Or a combination? Or do you run a (spreadsheet?) simulation over historical prices to find the sweet spot? Or something else? Or is it subjective and simply a judgment call?

I would think a spreadsheet set up to simulate trades (including trading cost) since from any date you choose and have data; until now would be best at finding that sweet spot. You would simply plug in your "cash" upper and lower limits--it would calculate the trades and results in a fraction of a second!

PS:

I understand (of course!) everyone's holy grail is either secret/proprietary, or encrypted (like yours--whatever makes up the "patterns" is not public knowledge) as it should be. I only ask about what I think is OK for you to talk about without allowing me or other readers to steal your system:notrust:. So I do understand it if I ask about something you are not willing to talk about. I ask questions about your system because I find it interesting and simply want to help if possible (like I did/do for the S-Fund Challenge)--not to use it for myself or replicate it (if that is even possible:blink. If I did want to use someone elses system, I would simply pay for it (yours or a different premium service)--much easier that way.

Also, your system (I could be wrong) seems to be hard-wired for the CSI funds:blink:. I'm developing a system that can be used for anything.

Finally, I'm not sure how well your (frequently in/out of the market) system will hold up under the pressure of having to pay trading fees (a feature coming soon to the S-Fund Challenge!) without trading with six/seven figures (to minimize the effect of fees). So what I'm saying is:

I'm simply and only just curious.

 

[ebbnflow]

I've seen where you make adjustments when your system is wrong sometimes. Do you always adjust the numbers (cash upper and lower limits) when it is wrong? Or does there have to be a certain number of times it is wrong before you adjust? Or does it have to be wrong by a certain amount? Or a combination? Or do you run a (spreadsheet?) simulation over historical prices to find the sweet spot? Or something else? Or is it subjective and simply a judgment call?

Right now, we're doing the S-fund Challenge, so I only have a double-patterns chart for it. But nothing for the C and I-fund, so those funds are not fully optimized.

Nothing is subjective about the strategy. It has a hard-set of rules.

S&P 500: 55.1% (7-yr. win percentage).
Strategy: Pattern is short if <= 53%, cash if > 53% and <= 55.1%, and long if > 55.1%.

As you can see from the strategy above, the only thing that can change in time will be the S&P 500's win percentage. So it can affect the cash (upper limit) and long (lower limit) patterns.

A pattern can change from its short, cash, or long position. For example: Cash pattern 7 currently has a win percentage of 53.1% (S-fund). A loss would drop its win percentage to 52.9%, and switch it to a short pattern. Thus, making it dynamic.

I would think a spreadsheet set up to simulate trades (including trading cost) since from any date you choose and have data; until now would be best at finding that sweet spot. You would simply plug in your "cash" upper and lower limits--it would calculate the trades and results in a fraction of a second!

I would love to run the strategy in a spreadsheet and find the sweet spot with these patterns. I've always thought that anything above 53% is bullish. Same as Vegas, 53% is break even point.

PS:

I understand (of course!) everyone's holy grail is either secret/proprietary, or encrypted (like yours--whatever makes up the "patterns" is not public knowledge) as it should be. I only ask about what I think is OK for you to talk about without allowing me or other readers to steal your system:notrust:. So I do understand it if I ask about something you are not willing to talk about. I ask questions about your system because I find it interesting and simply want to help if possible (like I did/do for the S-Fund Challenge)--not to use it for myself or replicate it (if that is even possible:blink. If I did want to use someone elses system, I would simply pay for it (yours or a different premium service)--much easier that way.

Don't you just hate the word proprietary? If you're proprietary of something that doesnt work, then what the heck. Anyway, you don't have to tiptoe your way around me, userque. I don't have a chip on my shoulder.

Also, your system (I could be wrong) seems to be hard-wired for the CSI funds:blink:. I'm developing a system that can be used for anything.

I often wondered if I had gotten signals for let's say IBM, MSFT, and CSCO instead. Would the red and green patterns behave the same way?

Finally, I'm not sure how well your (frequently in/out of the market) system will hold up under the pressure of having to pay trading fees (a feature coming soon to the S-Fund Challenge!) without trading with six/seven figures (to minimize the effect of fees). So what I'm saying is:

I'm simply and only just curious.

Can't wait. Add another 10,000? Maybe, I'm just gonna have to stay on top of the leaderboard.

 

[userque]

Right now, we're doing the S-fund Challenge, so I only have a double-patterns chart for it. But nothing for the C and I-fund, so those funds are not fully optimized.

Nothing is subjective about the strategy. It has a hard-set of rules.

S&P 500: 55.1% (7-yr. win percentage).
Strategy: Pattern is short if <= 53%, cash if > 53% and <= 55.1%, and long if > 55.1%.

As you can see from the strategy above, the only thing that can change in time will be the S&P 500's win percentage. So it can affect the cash (upper limit) and long (lower limit) patterns.

A pattern can change from its short, cash, or long position. For example: Cash pattern 7 currently has a win percentage of 53.1% (S-fund). A loss would drop its win percentage to 52.9%, and switch it to a short pattern. Thus, making it dynamic.



I would love to run the strategy in a spreadsheet and find the sweet spot with these patterns. I've always thought that anything above 53% is bullish. Same as Vegas, 53% is break even point.



Don't you just hate the word proprietary? If you're proprietary of something that doesnt work, then what the heck. Anyway, you don't have to tiptoe your way around me, userque. I don't have a chip on my shoulder.



I often wondered if I had gotten signals for let's say IBM, MSFT, and CSCO instead. Would the red and green patterns behave the same way?



Can't wait. Add another 10,000? Maybe, I'm just gonna have to stay on top of the leaderboard.

Good to hear about the hard rules and your system being dynamic!

That 53% number is very suspect to me.:suspicious: We've seen in the Challenge where lower winning (or less-than-even) percentages were profitable and even more so than higher percentages. It's way to simplistic. There are many factors involved. That number may be specific to casinos, a particular casino, a particular game in a particular casino in a particular time frame...I'll look more into to...gotta link, btw?:blink:

If you were serious about optimizing your numbers, I'd have to know exactly what it is you do. (Not now though, other things on my todo list to complete first.) And even though you didn't think so, I'd bet that your system can be reduced to numbers and automated in order to use data from prior to your manually recording it--prior to 2007. This ability would also allow you to apply your system to any vehicle where you have access to its historical data.

I respect proprietary. Capitalism at work. I'll talk more about that when I'm higher up in the challenge. Anywho, thanks for the nod.

We can use whatever initial balance you like. I would suggest that it be realistic relative to most viewers/participants of The Challenge. I have such a real-world spreadsheet (discussed above) that I use to automate/compare trading simulations for my latest (this past weekend--total revamp!). I've seen losing strategies becoming winning strategies simply by increasing the initial account balance--offsetting the effect of trading fee costs.

My current system has a parameter that I can set. (Similar to some technical indicators with parameters. Like the SMA or RSI. Those can be set for 9 days, 12 days, or any value.) I set the parameter in the sheet; and see the results. I can't figure out the logic behind why one parameter works better than the other, but the sheet lets me test them all (1-42. The sheet chokes after 42...haven't investigated why yet.). Some are profitable, some not. One is most profitable. The optimized value changed as I went further back in time. Amazing! What's best for one time-frame may not be best for another. So I can test daily; going back only so far; and adjust/tune! Wonderful! I'm coming for your leaderboard position. Eventually, you will be assimilated.

 

[ebbnflow]

Good to hear about the hard rules and your system being dynamic!

That 53% number is very suspect to me.:suspicious: We've seen in the Challenge where lower winning (or less-than-even) percentages were profitable and even more so than higher percentages. It's way to simplistic. There are many factors involved. That number may be specific to casinos, a particular casino, a particular game in a particular casino in a particular time frame...I'll look more into to...gotta link, btw?:blink:

If you were serious about optimizing your numbers, I'd have to know exactly what it is you do. (Not now though, other things on my todo list to complete first.) And even though you didn't think so, I'd bet that your system can be reduced to numbers and automated in order to use data from prior to your manually recording it--prior to 2007. This ability would also allow you to apply your system to any vehicle where you have access to its historical data.

I respect proprietary. Capitalism at work. I'll talk more about that when I'm higher up in the challenge. Anywho, thanks for the nod.

We can use whatever initial balance you like. I would suggest that it be realistic relative to most viewers/participants of The Challenge. I have such a real-world spreadsheet (discussed above) that I use to automate/compare trading simulations for my latest (this past weekend--total revamp!). I've seen losing strategies becoming winning strategies simply by increasing the initial account balance--offsetting the effect of trading fee costs.

My current system has a parameter that I can set. (Similar to some technical indicators with parameters. Like the SMA or RSI. Those can be set for 9 days, 12 days, or any value.) I set the parameter in the sheet; and see the results. I can't figure out the logic behind why one parameter works better than the other, but the sheet lets me test them all (1-42. The sheet chokes after 42...haven't investigated why yet.). Some are profitable, some not. One is most profitable. The optimized value changed as I went further back in time. Amazing! What's best for one time-frame may not be best for another. So I can test daily; going back only so far; and adjust/tune! Wonderful! I'm coming for your leaderboard position. Eventually, you will be assimilated.

Userque, 53% works for the patterns. Here's a link:

Winning Percentages

Although there are, indeed, propositions that offer more than a 60% expectation of winning, such propositions are relatively few and far between, and are only a very small part of the overall picture. With the break-even point at about 53%, genuine professional bettors know there is no tenable excuse to pass up propositions offering expectations of higher than, say, 55 percent. A small advantage applied over and over is awesomely effective. Mathematicians will confirm that a profit is more assured from a group of 200 bets with a 55% expectation-per-bet than from a group of 50 bets with a 60% expectation-per-bet. In other words, the more bets placed, the more predictable the outcome. (See our article, Binomial Distribution.)