userque & NUGT/DUST

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burrocrat said:
i like your style and confidence.

but now that you've cracked the markets, can you please 'uncrack' them because whatever you did is causing it to drop by about 15% and there is no end in sight. please put the markets back like you found them, thanks.
Click to expand...

Ha...I can't move them, only predict them with greater accuracy than anyone else I've seen.
 
k0nkuzh0n said:
Do you have any charts or tables for results for TSP? Or TNA/TZA. Whichever you track performance on.
Click to expand...

I can provide a spreadsheet showing the trades the system would have made for the SP500, AGG, or GDX. This backtesting code uses a simulated balance to keep track of the performance.

Generally, you could take the SP500 results and multiply them by about 3 to get some idea of what TNA/TZA would have done. you could take the GDX results and multiply them by exactly 3 to get some idea of what NUGT/DUST would have done.

I can do this for any security.
 
userque said:
I can provide a spreadsheet showing the trades the system would have made for the SP500, AGG, or GDX. This backtesting code uses a simulated balance to keep track of the performance.

Generally, you could take the SP500 results and multiply them by about 3 to get some idea of what TNA/TZA would have done. you could take the GDX results and multiply them by exactly 3 to get some idea of what NUGT/DUST would have done.

I can do this for any security.
Click to expand...
That would be great, to see the SP500 performance. I haven't been following gold recently; Have you tracked its performance with energy, given the recent volatility with oil? IXE would be the energy index.
 
k0nkuzh0n said:
That would be great, to see the SP500 performance. I haven't been following gold recently; Have you tracked its performance with energy, given the recent volatility with oil? IXE would be the energy index.
Click to expand...

What start date and end date to use for the backtest?

Nah...haven't done anything with oil. You think it's more volatile than GDX?
 
userque said:
What start date and end date to use for the backtest?

Nah...haven't done anything with oil. You think it's more volatile than GDX?
Click to expand...

haha definitely not as volatile as GDX. But ERX/ERY have definitely put in some 10-15% swings in a day recently. They used to be more inline with TNA/TZA, but not since oil started falling. For example, ERX/ERY are down/up 11% right now.

How often does it change? Daily? If there is no limit on the date (i.e. computation time is largely independent of time length), I'd say two years (So Feb 2014 onward). If that is too long, maybe the last 6 months.

I'd be most interested in how it performs during extended bull trends (anywhere beginning of 2012 to beginning of 2015). sideways action (First half of 2015). And the volatility of last 6 months. How it fared in 2008 would be of interest too, but I'm not trying to bite off more than I can chew haha.
 
k0nkuzh0n said:
haha definitely not as volatile as GDX. But ERX/ERY have definitely put in some 10-15% swings in a day recently. They used to be more inline with TNA/TZA, but not since oil started falling. For example, ERX/ERY are down/up 11% right now.

How often does it change? Daily? If there is no limit on the date (i.e. computation time is largely independent of time length), I'd say two years (So Feb 2014 onward). If that is too long, maybe the last 6 months.

I'd be most interested in how it performs during extended bull trends (anywhere beginning of 2012 to beginning of 2015). sideways action (First half of 2015). And the volatility of last 6 months. How it fared in 2008 would be of interest too, but I'm not trying to bite off more than I can chew haha.
Click to expand...

I did notice oil was volatile. I figure it could be a possible replacement for GDX if GDX flattens out.

Interesting. I did my tests the same way: Bull year, flat year, bear year.

I'll do all of the time frames. It backtests pretty quickly. It's the optimal parameter search that takes a long while.

Which leads to this explanation: It is currently optimized based upon recent price history. I re-optimize every weekend. But, when backtesting, the optimization is not updated at all. So, I suspect the real performance would be even better than the backtesting suggests.

I will set it to TSP mode. This limits it two two trades per month and it can't short. I'll post 2008 first. Then I'll give a quick explanation of the column headings.
 
It did 41% in 2008.

Reads from bottom to top.

In this mode:

Signal: 1=long, 0=hold, -1=exit
Position: 1=in equity fund, 0,-1=cash
Trades: The number of trades this month the system wanted to do.
Actual: The number of trades this month that actually happened (due to 2 trades per month restriction)
Balance: Balance starts at $1,000
 

Attachments

Last edited:
This Equity TSP Model turned $1000 into $2700 from 2012 to 2015.

Reads from bottom to top.

In this mode:

Signal: 1=long, 0=hold, -1=exit
Position: 1=in equity fund, 0,-1=cash
Trades: The number of trades this month the system wanted to do.
Actual: The number of trades this month that actually happened (due to 2 trades per month restriction)
Balance: Balance starts at $1,000
 

Attachments

quite impressive userque!

For 2008, I gathered:
7 positive trades (Max was 13.2%)
3 negative trades (Max was -3.89%)
Doesn't include last buy since it wasn't completed (but was currently positive)
105 days in the market, 148 days out.

for 2012 to 2015:
39 positive (max was 11.24%)
3 negative (max was -1.1%)
456 days in the market, 550 days out.
 
k0nkuzh0n said:
quite impressive userque!

For 2008, I gathered:
7 positive trades (Max was 13.2%)
3 negative trades (Max was -3.89%)
Doesn't include last buy since it wasn't completed (but was currently positive)
105 days in the market, 148 days out.

for 2012 to 2015:
39 positive (max was 11.24%)
3 negative (max was -1.1%)
456 days in the market, 550 days out.
Click to expand...

Thanks. I expected you would do some sort of analysis on it. :)
 
berline said:
Post the backtest of GDX when you get a chance, would ya? Thx
Click to expand...

Sure, no problem.

It turned $1,000 into $5,000 for 2015 using only GDX. Using NUGT/DUST (3xETF's of GDX), it would be about $15,000.

In this mode:

Signal: 1=long, 0=hold, -1=short
Position: 1=long, 0=cash, -1=short
Trades: The number of trades this month the system wanted to do.
Actual: The number of trades this month that actually happened
Balance: Balance starts at $1,000

EDIT: Like the other model, it is re-trained every weekend. But these backtests aren't re-trained, so I suspect the actual performance would be even better.
 

Attachments

Thx. With that being said, where do you stand with GDX right now (long/short)?

userque said:
Sure, no problem.

It turned $1,000 into $5,000 for 2015 using only GDX. Using NUGT/DUST (3xETF's of GDX), it would be about $15,000.

In this mode:

Signal: 1=long, 0=hold, -1=short
Position: 1=long, 0=cash, -1=short
Trades: The number of trades this month the system wanted to do.
Actual: The number of trades this month that actually happened
Balance: Balance starts at $1,000
Click to expand...
 
The trades on 02-04-16 are the first trades I made with the current system.

Code: 
02-04-16 ENTER NUGT AT 36.78
02-02-16 ENTER DUST AT 13.05---02-04-16 EXIT DUST AT 08.77*
01-26-16 ENTER TNA  AT 44.93---01-27-16 EXIT TNA  AT 44.85
01-25-16 ENTER TZA  AT 61.15---01-26-16 EXIT TZA  AT 60.51
01-20-16 ENTER TNA  AT 42.98---01-25-16 EXIT TNA  AT 44.79







_________________________________________________________________________
DISCLAIMER: Userque's trading signals are not affiliated with TSP Talk or Buy Low Sell High, Inc. The information is for educational purposes only! The information is not advice or recommendations. The information may be revised at anytime. Userque does not give investment advice. Do not act on this data. Do not buy, sell or trade any stocks, ETF's, indices, funds, or any other instruments/vehicles based on this information. Userque may trade differently than discussed or posted in this forum.
 
Last edited:
While I'm here.

Though I believe I've cracked the markets; I still haven't addressed the STOP LOSS question. (Had to do things in order.) If there is a way to improve performance even more, I have to look into it.

It won't be trivial to code. The combinations off the top of my head include:


  • Using a stop-loss based upon past data. For example, stopping out when the previous high/low is hit?/crossed?
  • Using a stop-loss based upon a percentage value. For example, stopping out when the price retreats from the current extreme?(high/low)/a previous extreme? a certain percentage (0.1? 0.5? 1.0? 2.0? a function of recent volatility?)
  • Using a stop-loss based upon conditions. For example, using one of the above stop systems ONLY when the stop results in a profit.

These would all have to be coded and tested. The ones with parameters (% stop) would all have to be 'brute forced' to test 'all' of the possible and reasonable percentages.

Also, I eventually want to look into the calculus of utilizing options to increase the reward drastically while also limiting/reducing risk.
 
Your recent post says you are currently LONG. where you only talking for GDX?

What is the system currently for SP500? or is that long too?
 
k0nkuzh0n said:
Your recent post says you are currently LONG. where you only talking for GDX?

What is the system currently for SP500? or is that long too?
Click to expand...

Yeah, I was talking GDX.

The last TSP Equity Model (SP500) signal was EXIT. I'm in the G-Fund.
 
Here's the latest SP500 data:

[TABLE="width: 745"]
[TR]
[TD]Date[/TD]
[TD]Open[/TD]
[TD]High[/TD]
[TD]Low[/TD]
[TD]Close[/TD]
[TD]Volume[/TD]
[TD]signal
[/TD]
[TD]position[/TD]
[TD]trades[/TD]
[TD]actual[/TD]
[TD]balance[/TD]
[/TR]
[TR]
[TD]2/9/2016[/TD]
[TD]1848.46[/TD]
[TD]1868.25[/TD]
[TD]1834.94[/TD]
[TD]1852.21[/TD]
[TD][/TD]
[TD](1)
[/TD]
[TD](1)[/TD]
[TD]0[/TD]
[TD]0[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]2/8/2016[/TD]
[TD]1873.25[/TD]
[TD]1873.25[/TD]
[TD]1828.46[/TD]
[TD]1853.44[/TD]
[TD]1012876097.00
[/TD]
[TD]0[/TD]
[TD](1)[/TD]
[TD]0[/TD]
[TD]0[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]2/5/2016[/TD]
[TD]1913.07[/TD]
[TD]1913.07[/TD]
[TD]1872.65[/TD]
[TD]1880.05[/TD]
[TD]4929940000.00[/TD]
[TD]0[/TD]
[TD](1)[/TD]
[TD]0[/TD]
[TD]0[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]2/4/2016[/TD]
[TD]1911.67[/TD]
[TD]1927.35[/TD]
[TD]1900.52[/TD]
[TD]1915.45[/TD]
[TD]5193320000.00[/TD]
[TD]0[/TD]
[TD](1)[/TD]
[TD]0[/TD]
[TD]0[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]2/3/2016[/TD]
[TD]1907.07[/TD]
[TD]1918.01[/TD]
[TD]1872.23[/TD]
[TD]1912.53[/TD]
[TD]5172950000.00[/TD]
[TD](1)[/TD]
[TD](1)[/TD]
[TD]0[/TD]
[TD]0[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]2/2/2016[/TD]
[TD]1935.26[/TD]
[TD]1935.26[/TD]
[TD]1897.29[/TD]
[TD]1903.03[/TD]
[TD]4463190000.00[/TD]
[TD]0[/TD]
[TD](1)[/TD]
[TD]0[/TD]
[TD]0[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]2/1/2016[/TD]
[TD]1936.94[/TD]
[TD]1947.20[/TD]
[TD]1920.30[/TD]
[TD]1939.38[/TD]
[TD]4322530000.00[/TD]
[TD]0[/TD]
[TD](1)[/TD]
[TD]0[/TD]
[TD]0[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/29/2016[/TD]
[TD]1894.00[/TD]
[TD]1940.24[/TD]
[TD]1894.00[/TD]
[TD]1940.24[/TD]
[TD]5497570000.00[/TD]
[TD]0[/TD]
[TD](1)[/TD]
[TD]7[/TD]
[TD]3[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/28/2016[/TD]
[TD]1885.22[/TD]
[TD]1902.96[/TD]
[TD]1873.65[/TD]
[TD]1893.36[/TD]
[TD]4693010000.00[/TD]
[TD]1[/TD]
[TD](1)[/TD]
[TD]7[/TD]
[TD]3[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/27/2016[/TD]
[TD]1902.52[/TD]
[TD]1916.99[/TD]
[TD]1872.70[/TD]
[TD]1882.95[/TD]
[TD]4754040000.00[/TD]
[TD]0[/TD]
[TD](1)[/TD]
[TD]6[/TD]
[TD]3[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/26/2016[/TD]
[TD]1878.79[/TD]
[TD]1906.73[/TD]
[TD]1878.79[/TD]
[TD]1903.63[/TD]
[TD]4357940000.00[/TD]
[TD]0[/TD]
[TD](1)[/TD]
[TD]6[/TD]
[TD]3[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/25/2016[/TD]
[TD]1906.28[/TD]
[TD]1906.28[/TD]
[TD]1875.97[/TD]
[TD]1877.08[/TD]
[TD]4401380000.00[/TD]
[TD]0[/TD]
[TD](1)[/TD]
[TD]6[/TD]
[TD]3[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/22/2016[/TD]
[TD]1877.40[/TD]
[TD]1908.85[/TD]
[TD]1877.40[/TD]
[TD]1906.90[/TD]
[TD]4901760000.00[/TD]
[TD]1[/TD]
[TD](1)[/TD]
[TD]6[/TD]
[TD]3[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/21/2016[/TD]
[TD]1861.46[/TD]
[TD]1889.85[/TD]
[TD]1848.98[/TD]
[TD]1868.99[/TD]
[TD]5078810000.00[/TD]
[TD]1[/TD]
[TD](1)[/TD]
[TD]5[/TD]
[TD]3[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/20/2016[/TD]
[TD]1876.18[/TD]
[TD]1876.18[/TD]
[TD]1812.29[/TD]
[TD]1859.33[/TD]
[TD]6416070000.00[/TD]
[TD]1[/TD]
[TD](1)[/TD]
[TD]4[/TD]
[TD]3[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/19/2016[/TD]
[TD]1888.66[/TD]
[TD]1901.44[/TD]
[TD]1864.60[/TD]
[TD]1881.33[/TD]
[TD]4928350000.00[/TD]
[TD]0[/TD]
[TD](1)[/TD]
[TD]3[/TD]
[TD]3[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/15/2016[/TD]
[TD]1916.68[/TD]
[TD]1916.68[/TD]
[TD]1857.83[/TD]
[TD]1880.33[/TD]
[TD]5468460000.00[/TD]
[TD](1)[/TD]
[TD](1)[/TD]
[TD]3[/TD]
[TD]3[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/14/2016[/TD]
[TD]1891.68[/TD]
[TD]1934.47[/TD]
[TD]1878.93[/TD]
[TD]1921.84[/TD]
[TD]5241110000.00[/TD]
[TD](1)[/TD]
[TD](1)[/TD]
[TD]3[/TD]
[TD]3[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/13/2016[/TD]
[TD]1940.34[/TD]
[TD]1950.33[/TD]
[TD]1886.41[/TD]
[TD]1890.28[/TD]
[TD]5087030000.00[/TD]
[TD]0[/TD]
[TD](1)[/TD]
[TD]3[/TD]
[TD]3[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/12/2016[/TD]
[TD]1927.83[/TD]
[TD]1947.38[/TD]
[TD]1914.35[/TD]
[TD]1938.68[/TD]
[TD]4887260000.00[/TD]
[TD]0[/TD]
[TD](1)[/TD]
[TD]3[/TD]
[TD]3[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/11/2016[/TD]
[TD]1926.12[/TD]
[TD]1935.65[/TD]
[TD]1901.10[/TD]
[TD]1923.67[/TD]
[TD]4607290000.00[/TD]
[TD](1)[/TD]
[TD](1)[/TD]
[TD]3[/TD]
[TD]3[/TD]
[TD]1,000.85[/TD]
[/TR]
[TR]
[TD]1/8/2016[/TD]
[TD]1985.32[/TD]
[TD]1985.32[/TD]
[TD]1918.46[/TD]
[TD]1922.03[/TD]
[TD]4664940000.00[/TD]
[TD]1[/TD]
[TD]1[/TD]
[TD]2[/TD]
[TD]2[/TD]
[TD]1,000.00[/TD]
[/TR]
[TR]
[TD]1/7/2016[/TD]
[TD]1985.32[/TD]
[TD]1985.32[/TD]
[TD]1938.83[/TD]
[TD]1943.09[/TD]
[TD]5076590000.00[/TD]
[TD](1)[/TD]
[TD](1)[/TD]
[TD]1[/TD]
[TD]1[/TD]
[TD]1,000.00[/TD]
[/TR]
[TR]
[TD]1/6/2016[/TD]
[TD]2011.71[/TD]
[TD]2011.71[/TD]
[TD]1979.05[/TD]
[TD]1990.26[/TD]
[TD]4336660000.00[/TD]
[TD](1)[/TD]
[TD](1)[/TD]
[TD]1[/TD]
[TD]1[/TD]
[TD]1,000.00[/TD]
[/TR]
[TR]
[TD]1/5/2016[/TD]
[TD]2013.78[/TD]
[TD]2021.94[/TD]
[TD]2004.17[/TD]
[TD]2016.71[/TD]
[TD]3706620000.00[/TD]
[TD](1)[/TD]
[TD](1)[/TD]
[TD]1[/TD]
[TD]1[/TD]
[TD]1,000.00[/TD]
[/TR]
[TR]
[TD]1/4/2016[/TD]
[TD]2038.20[/TD]
[TD]2038.20[/TD]
[TD]1989.68[/TD]
[TD]2012.66[/TD]
[TD]4304880000.00[/TD]
[TD]0[/TD]
[TD]0[/TD]
[TD]0[/TD]
[TD]0[/TD]
[TD]1,000.00[/TD]
[/TR]
[/TABLE]
 
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