.
Now, back to the real work at hand. . . .
Following up on yesterday's FXY dashboard spreadsheet, here's a snapshot of the signals generated by a consensus of 4 of more of the seven pair signals.
The green bars reflect LA signals, while the red bars reflect SA signals. A closer look at yesterday's spreadsheet reveals some slippage between the actual entry and exit dates for the various pair trades, which is to be expected as the inherent volatility of each pair is unique.
I've also shown some of my classic technical indicators on the chart, just to see how they align with both price dynamics and the dashboard signals.
While the FXY dashboard didn't capture all of the FXY price cycles, it did manage to trigger 8 of 8 winning Long trades and 3 of 4 winning short trades. Those are pretty respectable results IMHO over a 6 month backtest period for a 7 pair dashboard that averages a 13.5 N day cycle, almost 2 weeks to the day.
In future iterations of the dashboard, I'll probably cull N day pairs greater than 10. This will increase the net number of confirmed trades and, hypothetically, reduce the overall risk exposure over the duration of the open position.
So far this little experiment using a woven basket of highly correlated FXY pairs to trade the underlying FXY has proven successful and I believe we have the makings of a robust trading tool that can be applied to many other ETFs and stocks.
And, now that we have a basic template, we can track the signal line from this point forward.
Up until now I've manually executed the signal line, but by the end of the week we hope to have a working template in place that will automatically compute the true signal line for each trade based on some scalable loss stops and trailing stops and well as the critical P&L/R2 status line.
The green bars reflect LA signals, while the red bars reflect SA signals. A closer look at yesterday's spreadsheet reveals some slippage between the actual entry and exit dates for the various pair trades, which is to be expected as the inherent volatility of each pair is unique.
I've also shown some of my classic technical indicators on the chart, just to see how they align with both price dynamics and the dashboard signals.
While the FXY dashboard didn't capture all of the FXY price cycles, it did manage to trigger 8 of 8 winning Long trades and 3 of 4 winning short trades. Those are pretty respectable results IMHO over a 6 month backtest period for a 7 pair dashboard that averages a 13.5 N day cycle, almost 2 weeks to the day.
In future iterations of the dashboard, I'll probably cull N day pairs greater than 10. This will increase the net number of confirmed trades and, hypothetically, reduce the overall risk exposure over the duration of the open position.
So far this little experiment using a woven basket of highly correlated FXY pairs to trade the underlying FXY has proven successful and I believe we have the makings of a robust trading tool that can be applied to many other ETFs and stocks.
And, now that we have a basic template, we can track the signal line from this point forward.
Up until now I've manually executed the signal line, but by the end of the week we hope to have a working template in place that will automatically compute the true signal line for each trade based on some scalable loss stops and trailing stops and well as the critical P&L/R2 status line.
1 comment:
Wondering why ESP Signal for Vix was short last night on the QQQQ screen?
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