SPX-1D (Strategy) - S&P daily model

2019년 5월 17일

With 2000 likes I will publish the "Study version" that allows you to get alerts and and pre-alerts (triggered a few minutes before the end of the previous day).

Be advised that this model applied to real data will get lower factors. My guesstimate would be a profit factor between 3 and 7, for a percent profitability around 66%.

Invest wisely, a model can only predict some of the predictable moves. In case of doubt, get out of the risk.

2020년 3월 2일

릴리즈 노트

This model is now optimized for SPY on a daily time-frame (and no more for SPX). It benefits from a deeper checking of the modeling capacities.

Even though the model is still profitable (Profit factor > 1) on other time-frames, such as 1h or weekly, I strongly advise you to NOT consider these signals.

You might also get positive returns on other assets, and time-frames, and I also strongly advise you to NOT consider them for your trades. For example:
AAPL-1h
GOOGL-D-W
TSLA-D-W
PYPL-D
INTC-W
MSFT-D-W
FDN-D-W
And so on …

This model is an optimization (parameters tuning) of a meta-model (generic model) for the SPY . It is mainly based on a conjunction of price & volume personal indicators for both entry and exit signals.

The relative portability of the model to other assets and time-frames, coupled with a "Development set -> Validation set" approach, confers it a stronger reliability, and a better warranty of not being « over-optimized ». The meta-model has also served for other model buildings, about 100 as of today.

Be advised that this model applied to real data will get much lower profit factors. During high-volatility periods (such as current times), the model might also be less accurate, as "News streams", more than "prices and volumes", make the market.

As always, this model is for an educational purpose only, and should never be considered as a single decision tool. So, study it, and make sure your decisions are still your own choice.

2020년 4월 11일

릴리즈 노트

Version which takes into account last 2 months of data

2020년 4월 13일

릴리즈 노트

New version with latest data

2020년 4월 13일

릴리즈 노트

New version with latest data

2020년 7월 31일

릴리즈 노트

1) Added stopLoss exits for both LONG and SHORT signals
2) Narrowed the spectrum of each substrategy to the best of the best
3) Added a max VIX parameter to avoid false entry/exit signals due to high volatility
4) Removed the swing-short substrategy which was not convincing enough on real data