msummer2007
129 posts
msg #54051
- Ignore msummer2007 |
8/14/2007 3:21:35 AM
Rtucker, I couldn't resist backtesting that filter. The results weren't to pretty. Goes to show you the need to look at the big picture. In fairness I did test it over a very difficult period in time, but this only accentuates the need to have more due diligence than just a filter system.
Approach Information
Approach Name: rsi(2) < 1 close > 10 avg vol(90) > 500000 offset ...
Test started on 06/29/2007 ended on 08/13/2007, covering 30 days
Filter used:
rsi(2) < 1
close > 10
avg vol(90) > 500000
offset 2
Trade Statistics
There were 415 total stocks entered. Of those, 257 or 61.93% were complete and 158 or 38.07% were open.
Of the 257 completed trades, 79 trades or 30.74%resulted in a net gain.
Your average net change for completed trades was: -3.86%.
The average draw down of your approach was: -10.36%.
The average max profit of your approach was: 5.84%
The Reward/Risk ratio for this approach is: 0.45
Annualized Return on Investment (ROI): -158.83%, the ROI of ^SPX was: -28.86%.
Exit Statistics
Stop Loss was triggered 173 times or 67.32% of the time.
Stop Profit was triggered 76 times or 29.57% of the time.
Trailing Stop Loss was triggered 0 times or 0.00% of the time.
You held for the maximum period of time (25 days) 8 times or 3.11% of the time.
An exit trigger was executed 0 times or 0.00% of the time.
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nikoschopen
2,824 posts
msg #54053
- Ignore nikoschopen |
8/14/2007 10:56:47 AM
Can you hell believe it? I just saw 1400 contracts flying by on the September S&P Emini T&S taking out the bid in one sitting!
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karennma
8,057 posts
msg #54056
- Ignore karennma |
8/14/2007 1:39:27 PM
CNBC just had a segment on Hedge Funds.
Apparently huge amounts of money are being taken OUT of hedge funds.
Muriel Siebert mentioned yesterday that HFs are not regulated, therefore, you should expect lots of volatility. And we no longer have the uptick rule for shorting.
Fewer rules, less regulation = more volatility.
I guess you could say ...
Hedge Funds made this market go up, so ,,,
Hedge Funds can make this market KEEP GOING DOWN.
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nikoschopen
2,824 posts
msg #54057
- Ignore nikoschopen |
8/14/2007 2:00:01 PM
This is from Yahoo! Finance:
Exacerbating investors' nervousness on Tuesday was confirmation that Sentinel Management Group Inc., which oversees $1.6 billion in assets, is seeking to halt investor redemptions. Other funds are said to have similar problems as they face withdrawal demands at a time it has become difficult to value low-quality debt.
Hedge funds and other big institutional investors have taken a beating in recent weeks due to the market turbulence. On Monday, Goldman Sachs Group Inc. said three funds it manages have had significant losses -- and infused $3 billion in capital into one of them.
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msummer2007
129 posts
msg #54058
- Ignore msummer2007 |
8/14/2007 2:04:32 PM
This is not the end of it. More and more funds are going to be claiming significant losses. This is like watching the Soprano's. When someone is dead, shoot him a few more times to make sure.
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nikoschopen
2,824 posts
msg #54059
- Ignore nikoschopen |
8/14/2007 2:45:38 PM
If they halt investor redemptions, then what? You might as well stick ure head up the ass and fervently wish this is just a bad dream. Haven't we already gone down that lane back in 2000?
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nikoschopen
2,824 posts
msg #54060
- Ignore nikoschopen |
8/14/2007 3:04:32 PM
S&P said it has not taken any action on the "450 money market funds around the world to which it assigns principal stability fund ratings. Less than half a dozen of the rated funds have exposure to the asset-backed commercial paper programs that experienced maturity extensions last week." (Reuters)
You know as much as I do what this means.
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karennma
8,057 posts
msg #54061
- Ignore karennma |
8/14/2007 3:44:58 PM
We're DOWN hard today, folks!
Anybody into trend lines?
Tell me what this means ...
$INDU
7/30 - 13,220
8/01 - 13,135
8/06 - 13,159
8/10 - 13,059
8/14 - 13,034
Which day was "the bottom"?
:>)
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karennma
8,057 posts
msg #54062
- Ignore karennma |
8/14/2007 3:51:20 PM
When the $INDU is:
below the 25dma
below the 50dma
below the 100dma
below the 200dma
What does that mean?
:>)
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karennma
8,057 posts
msg #54064
- Ignore karennma |
8/14/2007 4:25:24 PM
nikoschopen
This is from Yahoo! Finance:
Exacerbating investors' nervousness on Tuesday was confirmation that Sentinel Management Group Inc., which oversees $1.6 billion in assets, is seeking to halt investor redemptions. Other funds are said to have similar problems as they face withdrawal demands at a time it has become difficult to value low-quality debt.
Hedge funds and other big institutional investors have taken a beating in recent weeks due to the market turbulence. On Monday, Goldman Sachs Group Inc. said three funds it manages have had significant losses -- and infused $3 billion in capital into one of them.
===============================================================================
Halting investor redemptions!!?
That sounds like Enron!
And on top of that .... the Central bank infusions on Friday, now Goldman Sachs?
Goldman Sachs - $3 billion infusion
FRB - $38 billion infusion
Japan - $8.4 billion infusion (1 trillion yen)
Reserve Bank of Australia - $4.19 billion infusion
European Central Bank - $214 billion infusion
Are the U.S. markets are on life support?
Nice of them to help, tho'.
I wonder if I send them my bank account number, can I get an "infusion"?
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