The Alpha Formula - The Chartist

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July 19, 2019 at 12:09 am #101937

Nick Radge
Keymaster

I just rec’d a complimentary copy of the Larry Connors / Chris Cain book The Alpha Formula. Chris spoke at the same CMT association conference on Wall Street earlier this year. Just started, but here’s one of their mean reversion stats from the book…

July 19, 2019 at 12:50 am #110228

LEONARDZIR
Participant

Looks like overoptimized BS to me. 6 trades a year! 91.84% correct!

July 19, 2019 at 1:01 am #110229

GlenPeake
Participant

It’s almost a mirror image of:
Module 26/27, Lesson 7/8

https://edu.thechartist.com.au/gurutasks/4-mentor-courses/48-section-3-module-26-performance-metrics-and-assessment/364-task-optimisation.html

July 19, 2019 at 2:24 am #110230

ScottMcNab
Participant

Hard to make much with that trade frequency but always interesting to see if any ideas can test for own systems rather than looking specifically at their systems

July 19, 2019 at 7:06 am #110231

Nick Radge
Keymaster

Quote:

Looks like overoptimized BS to me. 6 trades a year! 91.84% correct!

What it does do is average down once;

Entry:
RSI < 25 for first position
RSI< 20 for second position Exit:
RSI > 55
10% hard stop

July 25, 2019 at 4:18 pm #110232

TimothyStrickland
Member

Wow, they optimized the heck out of that time period. My guess is they took it live in 2018 and blew up the account?
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