System exits

[wayneL]

Have no idea what this response means. Was I meant to?

It's the long term exponential moving average, of the long term rate of change, of a short term simple moving average.

Just another lagging indicator.

 

[wayneL]

Well if you own metastock then here is 4 versions (Metastock codes) of the Coppock indicator.
If you dont then I guess for you they are pretty useless.

Tech

Those formulae are different to nicholsons formula

1. Calculate the percentage change between the index value in the current month and its value 14 months earlier.

2. Calculate the percentage change between the index value in the current month and its value 11 months earlier.

3. Total the two percentages.

4. Calculate a 10 month weighted moving average of the total of the two percentages.

5. This is the indicator, which is plotted on a chart.

Which in the clearly superior Amibroker formula language is (on monthly bars):

WMA(ROC(C,14)+ROC(C,11),10)

<edit to add because I clearly have nothing better to do\/>

Coppock curve
From Wikipedia, the free encyclopedia
Jump to: navigation, search

The Coppock curve or Coppock indicator is a technical analysis indicator created by Edwin Coppock, first published in Barron's Magazine in 1962.

The indicator is designed for use on a monthly time scale. It's the sum of a 14-month rate of change and 11-month rate of change, smoothed by a 10-period weighted moving average.

Coppock = WMA[10] \; of \; (ROC[14] + ROC[11]).

Coppock was an economist and he had been asked by the Episcopal Church to identify buying opportunities for long-term investors. He thought market downturns were like bereavements and required a period of mourning. He asked the church bishops how long that normally took for people, their answer was 11 to 14 months and so he used those periods in his calculation.[1]

A buy signal is generated when the indicator is below zero and turns upwards from a trough. No sell signals are generated (that not being its design). The indicator is trend-following, and based on averages, so by its nature it doesn't pick a market bottom, but rather shows when a rally has become established.

Coppock designed the indicator for the S&P 500 index, and it's been applied to similar stock indexes like the Dow Jones Industrial Average. It's not regarded as well-suited to commodity markets, since bottoms there are more rounded than the spike lows found in stocks.[2]

Although designed for monthly use, a daily calculation over the same period can be made, converting the periods to 294 day and 231 day rate of changes, and a 210 day weighted moving average.[3]

A slightly different version of the indicator is still used by the Investors Chronicle, a British investment magazine. The main difference is that the Investors Chronicle version does include the sell signals, although it stresses that they are to be treated with caution. This is because such signals could merely be a dip in a continuing bull market.[4]

 

[rub92me]

Looks like it has the blessing of the Episcopal Church. Maybe I'll just pray instead; saves me coding it in Amibroker and looking at charts.

 

[tech/a]

WAYNE.

Collected them over the years.

Jose Silva was one formula contributor and the others were from Henry from Stock Central days.

 

[stevo]

Does anybody here have a system that shuts off:

*when the index passes below a certain point ? (eg. moving average).

*Or when maxDD reaches a certain point?

Or any other parameter that causes the system to switch off?

Did this enhance results in backtesting and/or actual trading?

Some discussion would be appreciated.

This thread is a little old but I thought I would add some comments anyway. I am probably stating the obvious to many, although these sorts of thoughts come as revelations to me!

Since I only trade on the long side using a weekly time frame systems tend to stop giving signals when the market turns down, regardless of whether there are index filters, equity curve off/on switches etc. This would depend on the trading system entry signal strategy - oversold systems might give more signals when the market turns down, but systems that look for strength won't trigger as much.

So the system entry signal can stop entry signals from firing and effectively slow down a system.

I use an index filter with a couple of systems. I won't claim it's any sort of magic ingredient but it's nice to have a very clear off / on switch so I can go away and not even think about the market for a while. The switch I use isn't anything fancy - it just looks at short term down / up moves of an index to switch it off and on. I don't use moving averages - just the % moves of the index. I wouldn't even claim that it helps me make more money. But I believe that I would trade less for similar returns.

There is always the thought that something is running counter to the market and that opportunities are lost sitting on the sidelines watching. But with a longer term system this is probably not as important if the "Off" switch only turns off buy signals and holds onto longer term trades. It is not uncommon for the system to turn off and still hold stocks that continue to rise.

stevo

 

[tech/a]

Steve

A couple of questions from curiosity

Say over the last 6 mths in this last down trend.
(1) How many signals did you generate to the long side?
(2) How many are still in profit?
(3) How many do you usually hold in your portfolio and how many are in it now?
(5) Do you find your stopped out more often on entries generated during down periods.
(6) If your portfolio in more profit now than it was in say December?

 

[stevo]

Steve

A couple of questions from curiosity

Say over the last 6 mths in this last down trend.
(1) How many signals did you generate to the long side?
(2) How many are still in profit?
(3) How many do you usually hold in your portfolio and how many are in it now?
(5) Do you find your stopped out more often on entries generated during down periods.
(6) If your portfolio in more profit now than it was in say December?

tech
I'll do my best to answer without running to a spreadsheet with fresh calculations.

I currently only have one trade running at the moment and it is in profit - NHC. 15 to 20 stocks is pretty typical number of stocks for me to hold. I am usually stopped out more in down periods, depending on the length of the down period and how wide spread it is across the market.

I am down (cash and shares) from December last year, although in percentage terms the current holdings are up around 50% - but there is only one trade running! The rest is in cash earning 7.5%.

The trading company is currently running 2 systems. In terms of question 1 since I have rationalised systems in the trading company I have no idea how many trades have been generated by different systems. I had 18 sell signals from January through to 1 July in the trading portfolio and probably a similar number of buy signals acted on.

The answers show a certain amount of laziness on my part! There are equity curves and quarterly profit charts on my blog. July 08 wiped a lot of profit off my portfolios. It was like people were waiting for the start of the new financial year to sell stocks.

As mentioned I run 2 trading systems. One has an index filter and the other doesn't. The Index filtered system is off so no trades are signalled. The other system fired a couple of trades this week and I am really struggling to take them. I will force myself to take one signal (the other signal is a takeover) although it is tough to do when the other system is off and the market is so volatile. It's such a mind game and sometimes trading 2 systems doesn't help!

stevo