FAS / FAZ / Daily Discussions / Archives / 11-04-2011 / Wednesday, May 25, 2011

Topie: Wednesday, May 25, 2011
May 25th, 2011 07:04 AM
membar wanlorn, if you're listening, one thing I learned from you is to sync my time with a time server every morning.
May 25th, 2011 11:38 AM
allen314159 &#%6# found an error in my code!

Today is not Jan 6 2009!!
May 25th, 2011 11:40 AM
BullDog Do you any of you watch CNBC?
Mark Haines, passed away. he was one of their better anchors? Did enjoy his interviews and commentary. Will miss him.
May 25th, 2011 11:42 AM
membar
Quote:
allen314159 wrote:
&#%6# found an error in my code!

Today is not Jan 6 2009!!

Sorry. If I had a nickel for every time that sort of stuff has happened to me in the past couple of years, I wouldn't be doing this anymore. (That plus Internet connections going down....)

Not stopped out of anything so far. Everything is in the green, including AGQ. This is where ISA_Coder would take profits and I just watch and weep as everything tanks towards the end of the day....
May 25th, 2011 11:57 AM
BullDog McClellan oscillator is predicting that the market's going to rocket higher any day now. I do not follow the McClellan oscillator, but hope this is true.

Check this out:
There Is A Huge Move Coming In The Markets
http://etfdailynews.com/2011/05/25/there-is-a-huge-move-coming-in-the-markets/
May 25th, 2011 02:05 PM
allen314159
Quote:
membar wrote:

Sorry. If I had a nickel for every time that sort of stuff has happened to me in the past couple of years, I wouldn't be doing this anymore. (That plus Internet connections going down....)



I discovered the error when I found that my overnight FAS/FAZ prediction happened to be the same everyday (and betting on FAS)... I missed out on some gains since my fixed predictor would've been FAZ yesterday. Oh well. At least it error'd on the "safer" side.
May 25th, 2011 03:10 PM
BullDog woh, look at that jump!
May 25th, 2011 03:15 PM
membar
Quote:
BullDog wrote:
woh, look at that jump!

I'm not complaining :) Good for you for sticking to your guns.
May 25th, 2011 04:00 PM
membar
Quote:
BullDog wrote:
woh, look at that jump!

The ending was a bit gross, but I'll take it.
May 25th, 2011 04:04 PM
allen314159
Quote:
membar wrote:

The ending was a bit gross, but I'll take it.


Yikes!

My code sold FAS at 26.41, and is in FAZ at 45.04 for the overnight gap!!

This is scary - first time I've held FAZ overnight in a long time! Hope this isn't a programming error.
May 25th, 2011 04:49 PM
membar
Quote:
allen314159 wrote:
Yikes!

My code sold FAS at 26.41, and is in FAZ at 45.04 for the overnight gap!!

This is scary - first time I've held FAZ overnight in a long time! Hope this isn't a programming error.

So you do a least-squares fit? Over what time period?
May 25th, 2011 06:34 PM
allen314159 Well, it's a little more complicated that least squares..

basically, I look at 11-days prior, considering OHLC data. Then I use each OHLC data point to come up with a estimations of tomorrows gap (everything is ATR5 volatility-adjusted). Then I have a weight that corresponds to each point, and I do a least squares fit based on the weighting. For example, the open-to-close of the current day is a much better predictor than the high of 7 days ago. So when doing the least squares fit, I weight each predictor according to how well it correlated. Near term weights tend to be higher than far term, but there are 5-day, 10-day cycles the market exhibits which creates peaks at these points.

Then I look at historical data for what matched the current data and see what the average next day's gap was for the historically sqrt(N/2) nearest points (~17, based on least squares ordering of the weights above).

I don't know if any of this makes sense... but I use the same idea for determining whether to use FKOS or FAZ-kos based on the morning's gap and historical performance of the nearest points for FKOS/FAZ-kos and see what had the higher average.

If I can be right 60% of the time, that's a huge advantage. Remember the curve I showed that described the returns gained on just getting either FAS or FAZ right from close to close back in the polling days? If you got anywhere near 60% you were basically hitting grand slams in terms of performance.
May 25th, 2011 10:23 PM
allen314159 Doh! Looks like FAZ was probably a bad choice. Oh well.