Stephane's Journal

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May 3, 2016 at 7:02 am #101456

StephaneFima
Participant

Moving away from investment banking and setting up a new company, I realize that, recently, I’ve not been working as planned on my strategies.
I think keeping a journal here will help me being more committed to it.

Goals for this week:

1) Sort out my existing strategies (good ones, bad ones)
2) Retest good ones
3) Begin paper trading one or two strategies

May 3, 2016 at 7:44 am #103664

Nick Radge
Keymaster

look forward to hearing your updates Stephane.

PS. We arrive in Paris on Dec 31 and leave Jan 5th

May 4, 2016 at 8:19 am #103665

StephaneFima
Participant

04/05/16

1) Sorting existing strategies: some mean reversion, only one trend following and one momentum. Need to work on the last two categories

2) Re-working on one of my favorite MR strategy. Never traded it: will probably paper trade soon. Will post the MCS results once the hour and half of calculations needed will be over…

3) On the momentum strategies, I really need to understand how to code a monthly rebalancing. Will dig further next week on this topic (I found something in Amibroker’s knowledge base but it is a CBT code… I would like to find something in plain AFL.

May 4, 2016 at 10:32 am #103681

SaidBitar
Member

Stephane Fima wrote:

04/05/16

3) On the momentum strategies, I really need to understand how to code a monthly rebalancing. Will dig further next week on this topic (I found something in Amibroker’s knowledge base but it is a CBT code… I would like to find something in plain AFL.

Re-balancing will be done automatically if you add

Code:

Month() != Ref(Month(),-1)

to your PositionScore

so your PositionScore will be looking like this

Code:

PositionScore = IIf(Year()>=1985 AND Month() != Ref(Month(),-1),score,scoreNoRotate);

this is what i am using it works, may be there are better ways

May 4, 2016 at 2:23 pm #103666

StephaneFima
Participant

Thanks Said. I will try. Seems to be a smart way to achieve it.
Here are the MCS results of my MR strategy. Not too bad, but Max DD is annoying me a bit.

PS: I think I saw somewhere on the forum how to insert directly a picture in the message. Do you remember where it was? Thanks! 😳

May 4, 2016 at 6:12 pm #103685

SaidBitar
Member

I use photobucket to insert the link of the picture

May 4, 2016 at 9:03 pm #103667

Nick Radge
Keymaster

You don’t need any external software for images – unless you want to decrease their size.

HERE are the instructions for inserting an image.

May 5, 2016 at 5:47 am #103687

LeeDanello
Participant

I do the same as Said, Imgur is free and easy to use or https://imgsafe.org/. You don’t lose resolution with large images. For small images Nicks method is faster.

eg

Just my 2c

May 5, 2016 at 7:35 am #103686

LeeDanello
Participant

Stephane, In my opinion your drawdown looks OK and in line with mine and others I’ve seen. I think you’d probably want your CAGR to exceed your drawdown i.e. so your MAR is over 1.0.

July 30, 2016 at 10:38 am #103688

StephaneFima
Participant

Hi everyone!

I’ve not been involved lately in this forum, but it didn’t mean that I stopped thinking, testing and trading :whistle: . In fact, this is quite the opposite

1) I started paper trading a mean reversion strategy. So far, so good: 22 orders filled, 15 positive (average gain of +2.2%), and 7 negative (average loss of -1.1%)
2) I am also testing a trend following system (results are not good enough so far). I will try 2 or 3 other ides on it and if I
3) When done with point 2, I will try a rotational system

September 2, 2016 at 2:22 pm #103668

StephaneFima
Participant

Big day today as I really started trading live my mean reversion system with MOC exits.

– Backtest over the last 10 years over the Russell 1000 and without Index filter gives a CAR of around 40% and Max DD of c. 10%
– Backtext with index filter gives a CAR of c. 25-30% and MaxDD of around 5% to 8%
– Monte Carlo with 1000 iteration is in line with the above results.

As everybody says here: next 1000 trades (or is it 10 000?? )

September 2, 2016 at 8:36 pm #103669

Nick Radge
Keymaster

Great news Stephane.

September 9, 2016 at 2:08 pm #103670

StephaneFima
Participant

I’ve been using Batch Trader including the MOC option for the last week and until today everything went right.

This morning I placed around 80 orders with a maximum of 10 open positions.

The US opening was very bad and the API reacted in a very annoying way.

It bought every position that touched its stretched price (i.e. around 20) and then, as it was above the maximum position number, it sold the excess ones. Doing so, I had (small) losses between the buy and sell prices, but on top on this I had to pay commissions for nothing.

I asked Levente how to fix this and I am waiting for his answer.

September 9, 2016 at 3:18 pm #105160

SaidBitar
Member

I don’t think anything can be done for this since the orders are not in the API they are transmitted via the TWS to the exchange to be executed.
what happened today is rare it happened to me today as well as last year when i was using the first version of the API that did not have the option of exiting the extra positions so till i returned home and i found that i am having much more than what i wanted and normally on such days the market gaps down and continues down so until i closed the additional positions i had few thousands loss .

so from my point of view paying the commissions is OK but let’s see what Levente has to suggest

September 9, 2016 at 4:05 pm #105161

StephaneFima
Participant

Yeah, no big deal but could have been.
I’ll keep you updated on Levente’s answer

PS: Indeed, a big market gap down today and continuing to go down …
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