Yearly Optimization of Trend Following System

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December 2, 2017 at 7:03 am #101736

JulianCohen
Participant

I am just doing my first annual optimization tweak of my trend following systems.

With my WTT I initially tried optimizing for ROC and I found that a low ROC gave better results. Considerably. So I started to think that it probably was because of selection bias and more trades were allowed.

Then I tried optimizing the Index Filter and again I found that a 5 week MA gave much better results than a 15 week MA.

I am tweaking over a 5 year period.

Am I just too suspicious and I should just use the Index Filter ? Should I use the ROC?

December 2, 2017 at 8:14 am #108130

Nick Radge
Keymaster

Lowering the ROC will allow more trades = more selection bias.

December 2, 2017 at 11:06 am #108133

SaidBitar
Member

Lower ROC more selection bias
But going with the index filter from 15 to 5 personally i will not do it just because the delta is huge.
Having small index filter MA means you are locking more profits because your trailing stop will switch from 40% to 10% which means you are exiting the trades earlier since you are not giving them enough space to give back the open profits which maynot be so bad and also the number of trades should increase. You can test it on longer duration from 2000 to see if there are any whipsaws especially in bear markets

Back to selection bias are you using any ranking to select if you have more signals than the allowed trades

December 2, 2017 at 10:35 pm #108135

JulianCohen
Participant

Said Bitar wrote:

Back to selection bias are you using any ranking to select if you have more signals than the allowed trades

Yes I’m using PositionScore = Ref(1/ATR(20),-1);

December 3, 2017 at 12:40 am #108143

TrentRothall
Participant

Have you tried ranking the entries using ROC instead of ATR? Almost like a mom system?

December 3, 2017 at 6:25 am #108145

JulianCohen
Participant

Trent Rothall wrote:

Have you tried ranking the entries using ROC instead of ATR? Almost like a mom system?

yes I’ve tried both but I prefer the ATR method.

I think I won’t optimise the WTT system. I’ll keep it as ROC > 30 and Index Filter 15 weeks. Why fix something that’s not broken…..

December 3, 2017 at 6:48 am #108148

ScottMcNab
Participant

ROC/atr worked well with momo…suspect you have tried that too…

December 3, 2017 at 9:12 am #108149

JulianCohen
Participant

Scott McNab wrote:

ROC/atr worked well with momo…suspect you have tried that too…

I will have by tomorrow :cheer:
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