Since going like with the Weekend Trend Trader (WTT) in January 2019, I thought I’d look back to see how things performed

The real-time live traded, Out-of-Sample data for JAN2019 – DEC2019, looks quite good, obviously the WTT was hooked up nicely and ‘In-Sync’ with the market.

So, some pretty solid returns.

Obviously things were looking good, up until FEB/MAR when things turned downward.

Some pretty steep drawdown…. to say the least.

So, I decided to take another look at things around the trailing stop/exit……

The default WTT specs uses the following trailing stop/exit:

Initial stop with Index Filter UP/Green: 40%
Index Filter Down/Red: tighten the trailing stop up to 10%

My current WTT build uses the following trailing stop/exit:

Initial stop with Index Filter UP/Green: 40%
Index Filter Down/Red: (wider than the 10% default) tighten the trailing stop up to W%

The wider trailing stop enables more wiggle room to keep me in trades longer which translates into bigger % returns i.e. I see more of the plus 200% returns with the wider trailing stop….also better CAR/MDD

However, the speed of the recent downtown meant the trailing stop of some of the positions were tagged earlier in the week, I’d then have to hold until the exit signal was generated on the Friday evening before then placing the Sell order on the open for Monday where the position was generally well below the trailing stop, (I was also experiencing slippage on the open, due panic selling etc).

So, I’ve been testing alternative combinations of ‘hybrid volatility’ trailing stops….

The “Hybrid Volatility” trailing stop, at a high level works like this, I still use the default 10MA to measure the UP/DOWN Index Filter status and then IF the Index is DOWN, I measure the volatility of the Index and if NORMAL, do nothing with the trailing stop i.e. just leave it at the normal INDEX Filter DOWN level. But if the INDEX filter is DOWN and the VOLATILITY is HIGH, then tighten the stop even more….

Initial stop with Index Filter UP/Green: 40% (same as above)

Index Filter Down/Red, Index Volatility Normal: (wider than the 10% default) tighten the trailing stop up to W%

Index Filter Down/Red, Index Volatility HIGH: tighten the trailing stop even higher to X%

Here’s what my current testing is showing…..

20 Year Backtest

Without the Hybrid Index VOLA check (Current WTT Code):

…. continued in the next post…..