sob12.ini - Dave Serbin , 06/21/2009, Here's a new sig called sob12. Similar to sob6 in concept except that different params are used for buy and sell.
sob7.ini (revised again) - Dave Serbin , 07/04/2009, Here is sob7 trading ryotx and phiyx at JeffNat. Dave added formating to make the output easier to understand. Currently in money market, as both sob7 and junkmax sigs on a sell. Here's another signal for smallcaps. Based completely on non-price indicators.
dallas2.ini - Dave Serbin , 07/16/2009, Here's the "improvement" to dallas.ini....dallas2.ini
dallas3.ini - Dave Serbin , 07/16/2009, This is the same as dallas2.ini except the substitution of sob7 for trading rcmcx.These are all JeffNat 7 day funds,
sob13.ini - Dave Serbin , 08/19/2009, Here's a sig that sold on 8/12. Sob13 is similar to sob7, except that in place of the macd of a modified McClellan summation, it uses a macd of a summation of the difference of the products of Nasdaq new highs & upvolume, and Nasdaq new lows & down volume. No advance/decline stuff. Instead of money market in the Index position, Dave used junk bond trading (phiyx at JeffNat). The Fund position is ryotx (aka rcmcx at JeffNat).
dallas3.ini (revised) - Dave Serbin , 08/19/2009, This is dallas3 with combo sob7. Dave says to just delete the older dallas3 with the consensus sigs....not worth saving.These are all JeffNat 7 day funds,
sob7.ini (revised again and again) - Dave Serbin , 08/21/2009, Here it is with junk trading in the index.....the difference between trading sob7 and sob7a (with the no sell filter) is only 1% with junk trading vs 2% difference with MMkt. added a 13/5 ema cross of brusx as an additional sell condition. The new sig is called sob7a and I have both sob7 and sob7a trade blocks for comparison. The output says the short ema cross is with ryotx, which I had originally, but brusx works even better. Increases annual by 2% with minimal Mdd increase. Here is sob7 trading ryotx and phiyx at JeffNat. Dave added formating to make the output easier to understand. Currently in money market, as both sob7 and junkmax sigs on a sell. Here's another signal for smallcaps. Based completely on non-price indicators.
dallas3chan.ini - Dave Serbin , 08/22/2009, Here is modified dallas3 program using sob7a sig with ema crossover of brusx as no sell filter.There is no change in the latest sell on 8/19/09, and very little change in the overall performance of the mix portfolio. This is actually encouraging, as it suggests that the portfolio strategy is relatively stable.
sob15.ini - Dave Serbin , 08/30/2009, Dave has devised a new signal called sob15 that eliminates the use of the rutmkt sig. His initial thought is that sob15 is more stable (robust) than sob7. He added in HoldMinDays=8. He has done extensive manual variation of the parameters and it seems to hold up pretty well with a wide parameter range. The logic is as follows: combo.Buy = ((new highs) AND (up volume)) AND ((new lows) AND (down volume)) .. combo.Sell = ((new highs) AND (up volume)) OR ((new lows) AND (down volume)) OR (adv-decl summation)) AND (13/5 ema cross of ryotx) .
sob7mix.ini - Dave Serbin , 09/09/2009, Here's a strategy for trading at JeffNat using rcmcx, pyefx and phiyx. The signals are sob7 with a nosell filter added (aka sob7ns) for rcmcx, sob7 with 3xodm3 (aka em7) for trading pyefx and jnkmax for trading phiyx.
gld17.ini - Dave Serbin , 09/10/2009, Uses gold with a mix of ff.
3xiyr1.ini - Dave Serbin , 10/01/2009, This compares returns using an ancient signal called 3xiyr, based on the ETF iyr, with the same signal having a "no buy" filter, called 3xiyr1. The no buy filter keeps you from trading real estate when it's in a secular downtrend.
rich.ini - Dave Serbin , 10/02/2009, The signal is called realtysig, and the return is 330% per year with a 1% Mdd.
dallas.ini (updated) - Dave Serbin , 10/10/2009, Since going "live" the strategy is up over 25%. The dallas strategy uses JeffNat subaccounts based on rynvx, ryurx, amhyx and rcmcx.
dallasnew.ini - Dave Serbin , 10/10/2009, Since Dave wrote the dallas script back in February, amhyx and rcmcx have gone from 7 day to 30 day holds. As a result, he substituted phiyx (Pimco Hi Yield) for amhyx and increased the HoldMinDays in the rcmcx trading block from 8 to 31 days. Performance suffers, but not too bad. When you have HoldMindays in a trading block, the Index is also held for the minimum days, which isn't realistic, at least at JeffNat....it's actually pessimistic, since at JeffNat, you can switch back into an equity the next day instead of having to wait for 7 or 30 days. Another thing to note in the dallas strategy is that the formatting at the end, telling you what to "own" does NOT take account of the minimum hold times....it's just based on the signals themselves. So you always have to go back to the [SignalPairTrade] block and see if the switch is being made there. If not,then you MAY have to wait for the minimum hold time to pass before making the switch.....but maybe not if it's a switch back to the long side.....you have to check if JeffNat will let you make the switch. See, if the "own" at the end of the dallas output tells you to own say rcmcx after you got out of rcmcx less than 30 days ago, the [SignalPairTrade] block will still be holding the Index until the 30 days is up, but JeffNat will let you make the switch back to rcmcx. Dave knows this is complicated, but this is the reality of minimum hold times in portfolio trading systems.
sob7rx.ini (revised again) - Dave Serbin , 10/14/2009, Here is sob7rx with the new 31 day hold at JeffNat. Here's one version of a sob sig with a no sell built in.
sob11.ini (revised) - Dave Serbin , 10/14/2009, Here is sob11 with the new 31 day hold at JeffNat. This script is like sob6 except it uses different params for bull and bear markets.
3xphi2.ini - Dave Serbin , 01/11/2010, Here's another sig for phiyx at JeffNat called 3xphi2.ini
3xamh1.ini - Dave Serbin , 01/24/2010, Here is another junk sig. It's based on amhyx and includes a long term ema crossover to prevent trading junk in a secular junk bear market. Note it held MMkt from 6/19/08 to 4/16/09. DaBull, nthex did pretty good with this sig.
sob5vix.ini - Dave Serbin , 03/26/2010, Here's a new sig called sob5vix. It uses vxn, the nasdaq volatility index to decide between trading with an ema crossover or non-price indicators similar to sob5.
Download DS-INI4.ZIP Last updated 03/26/2010