BarNovs Small Cap Indexicator

[BarNov]

1% up/down stop-loss applied to the small cap index providing the signal(s)

Comments please

18/04/01- we are officially LONG from 2827 with STOP set at 2868 i.e. 41 points locked in

02/01/01 --- 3180 --- 3172 --- Long --- 0
03/01/01 --- 3140 --- 3172 --- Short --- 0
04/01/01 --- 3177 --- 3172 --- Long --- 0
05/01/01 --- 3174 --- 3172 --- Long --- 0
08/01/01 --- 3169 --- 3172 --- Short --- 0
09/01/01 --- 3181 --- 3172 --- Long --- 0
10/01/01 --- 3183 --- 3172 --- Long --- 0
11/01/01 --- 3191 --- 3172 --- Long --- 0
12/01/01 --- 3210 --- 3178 --- Long --- 6
15/01/01 --- 3220 --- 3188 --- Long --- 16
16/01/01 --- 3218 --- 3188 --- Long --- 16
17/01/01 --- 3242 --- 3210 --- Long --- 38
18/01/01 --- 3257 --- 3225 --- Long --- 53
19/01/01 --- 3291 --- 3259 --- Long --- 87
22/01/01 --- 3300 --- 3268 --- Long --- 96
23/01/01 --- 3304 --- 3272 --- Long --- 100
24/01/01 --- 3323 --- 3291 --- Long --- 119
25/01/01 --- 3324 --- 3292 --- Long --- 120
26/01/01 --- 3314 --- 3292 --- Long --- 120
29/01/01 --- 3320 --- 3292 --- Long --- 120
30/01/01 --- 3322 --- 3292 --- Long --- 120
31/01/01 --- 3327 --- 3295 --- Long --- 123
01/02/01 --- 3320 --- 3295 --- Long --- 123
02/02/01 --- 3315 --- 3295 --- Long --- 123
05/02/01 --- 3310 --- 3295 --- Long --- 123
06/02/01 --- 3320 --- 3295 --- Long --- 133
07/02/01 --- 3320 --- 3295 --- Long --- 123
08/02/01 --- 3325 --- 3295 --- Long --- 123
09/02/01 --- 3317 --- 3295 --- Long --- 123
12/02/01 --- 3311 --- 3295 --- Long --- 123
13/02/01 --- 3307 --- 3295 --- Long --- 123
14/02/01 --- 3280 --- 3295 --- Long --- 123

123 point scashed in from LONG poistion opened 9/1

15/02/01 --- 3284 --- 3295 --- Short --- 0
16/02/01 --- 3264 --- 3295 --- Short --- 0
19/02/01 --- 3259 --- 3292 --- Short --- 3
20/02/01 --- 3260 --- 3292 --- Short --- 3
21/02/01 --- 3222 --- 3254 --- Short --- 41
22/02/01 --- 3199 --- 3231 --- Short --- 64
23/02/01 --- 3188 --- 3220 --- Short --- 75
26/02/01 --- 3193 --- 3220 --- Short --- 75
27/02/01 --- 3202 --- 3220 --- Short --- 75
28/02/01 --- 3191 --- 3220 --- Short --- 75
01/03/01 --- 3171 --- 3200 --- Short --- 95
02/03/01 --- 3156 --- 3188 --- Short --- 107
05/03/01 --- 3159 --- 3188 --- Short --- 107
06/03/01 --- 3186 --- 3188 --- Short --- 107

107 points cashed in from SHORT position opened 15/2

07/03/01 --- 3191 --- 3188 --- Long --- 0
08/03/01 --- 3175 --- 3188 --- Short --- 0
09/03/01 --- 3145 --- 3176 --- Short --- 12
12/03/01 --- 3093 --- 3124 --- Short --- 64
13/03/01 --- 3027 --- 3058 --- Short --- 130
14/03/01 --- 2991 --- 3021 --- Short --- 167
15/03/01 --- 3002 --- 3021 --- Short --- 167
16/03/01 --- 2995 --- 3021 --- Short --- 167
19/03/01 --- 2976 --- 3006 --- Short --- 182
20/03/01 --- 2980 --- 3006 --- Short --- 182
21/03/01 --- 2931 --- 2960 --- Short --- 228
22/03/01 --- 2859 --- 2888 --- Short --- 300
23/03/01 --- 2869 --- 2888 --- Short --- 300

300 points cashed in from SHORT position opened 7/3

26/03/01 --- 2889 --- 2888 --- Long --- 0
27/03/01 --- 2899 --- 2888 --- Long --- 0
28/03/01 --- 2889 --- 2888 --- Long --- 0
29/03/01 --- 2872 --- 2888 --- Short --- 0
30/03/01 --- 2883 --- 2888 --- Short --- 0
02/04/01 --- 2885 --- 2888 --- Short --- 0
03/04/01 --- 2830 --- 2858 --- Short --- 30
04/01/01 --- 2795 --- 2827 --- Short --- 61

61 points cashed in from SHORT position opened 3/4

05/04/01 --- 2831 --- 2827 --- Long --- 0
06/04/01 --- 2839 --- 2827 --- Long --- 0
09/04/01 --- 2823 --- 2827 --- Short --- 0
10/04/01 --- 2842 --- 2827 --- Long --- 0
11/04/01 --- 2870 --- 2855 --- Long --- 28
12/04/01 --- 2883 --- 2868 --- Long --- 41
17/04/01 --- 2878 --- 2868 --- Long --- 41

[Edited by BarNov on 10-03-2001 at 03:23 PM]

 

[SP23]

Again - how are you trading this ?

Cheers

 

[BarNov]

first thread updated with new data

SHORT position just closed with a 110 point gain in just under 3 weeks.

We are now LONG from 3185

Paul.

 

[sukhibraich]

Paul

Why are you going LONG ? It hasn't crossed the 1% up/down line yet. I thought that you only go long or short when the OHLC has crossed this 1% SL line.

Regards

Sukhi

 

[BarNov]

you're right Sukhi ... my SL figures are slightly wrong by 3 points .. and hence the SL has NOT been crossed. I'll go back and update the 1st thread with the corrcet data.

Thnaks for that

Paul.

[Edited by BarNov on 06-03-2001 at 10:08 PM]

 

[zanshin]

How do you handle the reversals? CMC have 20 point spreads for the Small cap and 250 indices, look at the whipsaws in early Jan, bearing in mind the spread:

02/01/01 Long, market closes at 3180, stop at 3172.
03/01/01 Market opens below stop at 3170, close out and go short for -2, market closes at 3140, stop at 3170.
04/01/01 close short at 3170 (-20 due to spread), stop 3170, market closes at 3177.
05/01/01 market closes at 3174, stop at 3170.
08/01/01 close long at 3170 (-20), market closes 3169, stop 3170.
09/01/01 close short at 3170 (-20), market closes 3180, stop 3170.
from here it's plain sailing to early Feb, but we've started out with a loss of 62 points in a week.

If we try and factor the spread into the stops (i.e. if stop is 3172 we close shorts at 3162 and longs at 3182) :

02/01/01 Close long and go short at 3182, market closes at 3180.
03/01/01 Short from 3172, stop at 3172, market closes at 3140.
04/01/01 Index opens at 3163, so short covered for 1 point loss, now long from 3173, market closes at 3177.
05/01/01 still long, market closes at 3174.
08/01/01 still long (no stop to take us out), market closes at 3169.
09/01/01 still long, but in uptrend now until early Feb.
here we only lose 1 point in the first week, but there's no stop in place between 05/01 and 10/01 (we can't stop out at 3173 until we get a move above 3183)

Using this technique we would've gone short on 13/02 at 3305, closing the long for 122 points and closed the short and gone long at 3178 on 06/03 for 107 points.

I'm trying to test this in Metastock, but I can't work out the formula to get the system tester to reverse position after it's stopped out, any ideas?

 

[BarNov]

1st thread updated and reply for Zanshin

The Indexicator values are simply calculated using the closing price .. and indicate long/short entry positions ..
and therefore all my "locked in gains" are based on the stop-loss value moving away from the entry point.

To follow the indexicator 100% would involve quite a few wasted trades as you are whipsawed between long & short
positions before the index finally moves away from the narrow trading range.

So it is down to the individual to decide how best to trade around the stop-loss value when it begins to hover.

In my case .... when the stop is triggered .. I automatically take the opposite position ... but do NOT enter a new stop trade
for a day or 2. Invariably the index will cross the stop-loss value at least once if not more before moving away.

Taking this approach may/may not cost me any points at all, irrespective of the 20 point spread. To date the few trades I've
done have worked this way .. but I can't say whether this approach would have worked or not over a longer period of time.

In the case of the Small Cap the recent stop that was breached was fine as the index continued down and never challenged the
same stop value.


Paul.

 

[BarNov]

now short due to whipsaw ...

1st post updated with new data

Paul.

 

[BarNov]

12 pts now locked in in new short position

1st post updated with new data

Paul.

 

[BarNov]

another 52points locked in

1st post updated with new data

Paul.

 

[BarNov]

1st post updated with new data

sorry for not being available this week to maintain the indexicator thread

Paul.

 

[BarNov]

post updated

Paul.

 

[BarNov]

we're now LONG

having closed our second consecutive short with a gain of 300 points

1st post updated with new data

Paul.

 

[BarNov]

new data added

Paul.

 

[BarNov]

new data added

now short with 30 points locked in

Paul.

 

[BarNov]

1st post updated with new data
13/26 (9 sig) MACD just crossed over
Stochastics in overbought crossover territory
RSI/Price diverging ... RSI rising, price falling

Another revesal signal ????

Paul.

 

[BarNov]

1st post updated with new data

looks like the RSI/price divergence did signal a reversal

Paul.