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Douglas Trading System


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#1 Douglas

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Posted 10 January 2017 - 06:30 AM

The system is long, but not by much.  If the DJIA is below 19875 after 3 pm today, it's curtains for the long position. The risk window closed yesterday, so I'm hopeful the first trade of the year for the system won't be a whipsaw loss, but it's going to be close.  

 

There is an absolute flood of risk cycle turns in January beginning at the end of this week.  My best guess as to the center of the next cluster of risk cycle turns is this Friday the 13th of January through the next trading day, January the 17th.  The center of the cluster after that appears to be Friday the 20th of January through Monday the 23rd.   I've said this before when I've seen such a heavy cluster of risk cycles and been dead wrong, but my cracked crystal ball says the current low volatility, narrow Bollinger band market should give way to some violent swings later this month.   

 

Regards,

Douglas


Edited by Douglas, 10 January 2017 - 06:32 AM.


#2 Douglas

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Posted 10 January 2017 - 05:56 PM

As I feared, the system was stopped out when the DJIA traded solidly below 19875 today after 3 pm EST and sold RYDHX at the close today for a small loss.  The system was whipsawed on its very first trade of the year.  The year of the rooster is turning out to be a real turkey.  The system test trading RYDHX is down 6 cents for the year and buy and hold is up 27 cents.   

 

Tomorrow the system will be forced to buy back the RYDHX if the DJIA is above 19972 after 3 pm.  Given the narrow trading range and the upcoming risk window, another whipsaw is very likely. The risk window opening tomorrow, as I noted earlier, appears to be centered on Friday of this week and Tuesday of next week.

 

Regards,

Douglas



#3 dasein

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Posted 10 January 2017 - 10:46 PM

do you have an equity curve for this system? does it inspire confidence? just wondering with all the whipsaws...


best,
klh

#4 Douglas

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Posted 11 January 2017 - 04:09 AM

The system is a trend following system, so it will get whipsawed if the market goes flat.  The system is most vulnerable to whipsaws when a weak buy signal occurs since a very tight stop is used to limit the upside missed when the market starts trending up again and to quickly stand aside if a down trend develops.  Wider stops are used when stronger buy signals are received which will reduce whipsaws.  The whipsaws are usually small  as you can see from the most recent $0.06 whipsaw associated with a weak buy signal which occurred when the market was already overbought. 

 

This system was specifically designed to trade broad US indexes like DIA, SPY and IWM ETF's or similar mutual funds.  The goal is to beat buy-and-hold of these indexes.  That's the reason for the public test using RYDHX.  At the end of this test year I will publish a table of the RYDHX points gained (or lost if things go badly) for every trade I post here during the year and the corresponding buy and hold points gained which should provide a nice substantiated equity curve for the system.  The proof will be in the pudding. 

 

Regards,

Douglas



#5 Douglas

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Posted 12 January 2017 - 12:15 AM

Today, Thursday January 12, the buy stop is blocked by the system since the indexes are rising into the middle of a pretty big risk cycle window where there is a high risk of a turn down.  So far this year buy and hold is kicking the system's butt. 

 

Regards,

Douglas