early on in the week I finished coding my momentum system which uses the ROC indicator as part of the entry. The results from this entry technique seemed to be the best that I have been testing so far.

After going through a lot of the charts and checking the code over, and observation that I picked up was that a lot of the daily chop was causing an exit in the position before it had a chance to move upward. I played around with the stoploss using different parameters, also coded up and ATR stop neither of which really helped with the results in fact all they did was increase the drawdown.

I then tested the system on a weekly timeframe to try and alleviate some of the exits caused by the daily chop, trends on a weekly timeframe seem to be smoother.

When first testing on the weekly timeframe I didn’t put enough thought into adjusting the volume and turnover filters and I thought that I had found the ultimate system although I was suspicious. After a quick post to the Forum I soon realised that I didn’t have the filter set right. Once I started testing system properly the results are still showing it is a good start.

Had a Skype call with Nick this morning to go over my backtest settings to make sure that my results were correct.

Next thing is to go over the signals in the Explorer window to ensure that my back tests are picking up the signal ranking properly. Then I’ll stress test the parameters to work out if the system is robust enough.

The last week has been spent basically running MCS and various stress tests on my system. Have been sending the code through to Craig and Nick a few times to ensure everything is on track and no mistakes hidden in there.
I think i need to make some sort of checklist to work through while testing systems, i seem to sway off track and certain tasks take longer than they should…

Haven’t been doing much trading of late everything is a bit volatile at the moment.

All week has been spent running stress tests and MCS on my Mean Reversion system and i am happy with how things have turned out. It is amazing how adding a few small tweaks and adding you own ideas to a simple concept can turn an ordinary system into something that looks good and SHOULD be easier to trade.

A bonus of the system I think is that it doesn’t need to use an index filter to keep the drawdowns low in fact adding an index filter drastically hurts both the CAR and MDD. Another positive from the test results is that the past few years the system has had good returns, I think it helps me mentally knowing that the system does not rely strong bull market to make decent returns, it also has a fairly high when rate around the 68% mark so hopefully this should help the consistency.

Now that I’m happy with the system and that all the test results seem to be good I will start to paper trade the system in my Sim account. I’ll post a bit more regularly now and let you know how it’s going.

Trades for today were 1 exit , no new entries
1 Exit tomorrow – IPH had a nice bounce today to trigger an exit
2 open positions
3 Pending orders for tomorrow

Not the ideal setup at the moment – currently waiting for IB to approve my margin account, so trading the system in my sim IB cash account. It doesn’t have API capability so if i get my full portfolio i will have to manually close trades. But it should still allow me to make sure the trades are executing properly and the explorer is not losing trades.

Hi Scott

i just literally googled short term strategies and read a few of the articles and pages in the Articles depository thread in this forum – thats where i got my my main idea. Also read up some systems by Larry Conners i think some of them are not very robust and are questionable but still have good ideas in them.

Friday 4.3.16

2 exits
0 entries

1 exit signal
3 pending entries

System Weekly wrap –

4 Closed trades

3 Winners
1 Loss

1 Open position

Entering my trades in the Chartist Trade Tracker Software, will be good to have all the stats there in a organised simple system. Once i have a decent size set of trades the charts will be a good visual reference too.