guru_trader
485 posts
msg #56816
- Ignore guru_trader
modified |
11/17/2007 8:16:36 AM
Fetcher[
and symlist(QQQQ,QID)
/* what is the difference between the high and the open of the qqqq */
and set{qqqq_hiop_diff,ind(qqqq,high) - ind(qqqq,open)}
and draw qqqq_hiop_diff
and draw qqqq_hiop_diff line at 0
/* what is the difference between the low and the open of the qid */
and set{qid_oplo_diff,ind(qid,low) - ind(qid,open)}
and draw qid_oplo_diff on plot qqqq_hiop_diff
/* what is the difference between the high difference of the qqqq and the low difference of the qid */
and set{qqqq_hiop_qid_oplo_diff,qqqq_hiop_diff + qid_oplo_diff}
and draw qqqq_hiop_qid_oplo_diff on plot qqqq_hiop_diff
/* ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ */
/* what is the difference between the high and the open of the qid */
and set{qid_hiop_diff,ind(qid,high) - ind(qid,open)}
and draw qid_hiop_diff
and draw qid_hiop_diff line at 0
/* what is the difference between the low and the open of the qqqq */
and set{qqqq_oplo_diff,ind(qqqq,low) - ind(qqqq,open)}
and draw qqqq_oplo_diff on plot qid_hiop_diff
/* what is the difference between the high difference of the qid and the low difference of the qqqq */
and set{qid_hiop_qqqq_oplo_diff,qid_hiop_diff + qqqq_oplo_diff}
and draw qid_hiop_qqqq_oplo_diff on plot qid_hiop_diff
/* ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ */
/* what is the difference between the highs and low of the qqqq and the qid */
and set{qqqq_qid_diff,qid_hiop_qqqq_oplo_diff + qqqq_hiop_qid_oplo_diff}
and draw qqqq_qid_diff
and draw qqqq_qid_diff line at 0
/* what is the simple moving average of the difference between the highs and low of the qqqq and the qid */
and set{cma_qqqq_qid_diff,cma(qqqq_qid_diff,100)}
and draw cma_qqqq_qid_diff
and draw cma_qqqq_qid_diff line at 0
/* what is the tendency, in the last 100 days, of the difference between the highs and low of the qqqq and the qid toward one direction or the other */
and set{count_qqqq_qid_diff,count(qqqq_qid_diff > 0,100)}
and add column count_qqqq_qid_diff
]
Go to Google Finance and, under "Compare", add the symbol QID.
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nikoschopen
2,824 posts
msg #56823
- Ignore nikoschopen |
11/17/2007 8:41:26 PM
I don't think five40 is talking about the same thing as Pair trading as in the above example. QQQQ and QID trade in OPPOSITE directions. The only problem with five40's idea might be on a "doji" day that could stop out on both sides.Seems to be a profitable system overall IMO.
Technically speaking, ure right to point out that those two move inversely to one another. However, considering that the pair is inversely correlated, could you not go long for both instruments instead of initiating the customary long/short trades?
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welliott111
98 posts
msg #56895
- Ignore welliott111
modified |
11/20/2007 8:26:07 PM
Used .50% Stop Loss & Stop Profit of 1 day max hold
Approach Name: apply to symlist(qqqq,qid)
Test started on 12/29/2006 ended on 11/20/2007, covering 224 days
Filter used:
apply to symlist(qqqq,qid)
Trade Statistics
There were 448 total stocks entered. Of those, 446 or 99.55% were complete and 2 or 0.45% were open.
Of the 446 completed trades, 134 trades or 30.04%resulted in a net gain.
Your average net change for completed trades was: 0.04%.
The average draw down of your approach was: -1.05%.
The average max profit of your approach was: 1.09%
The Reward/Risk ratio for this approach is: 1.11
Annualized Return on Investment (ROI): 26.96%, the ROI of ^SPX was: 1.19%.
Exit Statistics
Stop Loss was triggered 284 times or 63.68% of the time.
Stop Profit was triggered 0 times or 0.00% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (1 days) 162 times or 36.32% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
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