Brent’s Journal

[Anonymous]

Said Bitar wrote:

Brent Hause wrote:

Said Bitar wrote:

wow Brent you tested everything
here is one idea that will help in reducing the signal and keep the results decent.
just pick any of the above tested idea the simpler the better and add one more filter to your system. this filter will check the sector index if it is showing pullback (such as lower BB) then you can have entries only on the stocks that are in this sector.

so in this case you are using the sector itself as filter and this will lower the selection bias in a huge way
try it and if you need any help plz tell me

Said – I am not sure if I understood exactly, but here is what I tried:

Code:

GICS10Index = Foreign(“$SPXE”,”C”);
GICS15Index = Foreign(“$SPXM”,”C”);
GICS20Index = Foreign(“$SPXI”,”C”);
GICS25Index = Foreign(“$SPXD”,”C”);
GICS30Index = Foreign(“$SPXS”,”C”);
GICS35Index = Foreign(“$SPXA”,”C”);
GICS40Index = Foreign(“$SPXF”,”C”);
GICS45Index = Foreign(“$SPXT”,”C”);
GICS50Index = Foreign(“$SPXL”,”C”);
GICS55Index = Foreign(“$SPXU”,”C”);

BBandRange = Param(“BBandRange”,15,1,200,1);
BBandSD = Param(“BBandSD”,1,1,3,.5);

BB10 = BBandBot(GICS10Index,BBandRange,BBandSD);
BB15 = BBandBot(GICS15Index,BBandRange,BBandSD);
BB20 = BBandBot(GICS20Index,BBandRange,BBandSD);
BB25 = BBandBot(GICS25Index,BBandRange,BBandSD);
BB30 = BBandBot(GICS30Index,BBandRange,BBandSD);
BB35 = BBandBot(GICS35Index,BBandRange,BBandSD);
BB40 = BBandBot(GICS40Index,BBandRange,BBandSD);
BB45 = BBandBot(GICS45Index,BBandRange,BBandSD);
BB50 = BBandBot(GICS50Index,BBandRange,BBandSD);
BB55 = BBandBot(GICS55Index,BBandRange,BBandSD);

SectorIndexUS = IIf(InGics(“10”),Foreign(“$SPXE”,”C”),
IIf(InGics(“15”),Foreign(“$SPXM”,”C”),
IIf(InGics(“20”),Foreign(“$SPXI”,”C”),
IIf(InGics(“25”),Foreign(“$SPXD”,”C”),
IIf(InGics(“30”),Foreign(“$SPXS”,”C”),
IIf(InGics(“35”),Foreign(“$SPXA”,”C”),
IIf(InGics(“40”),Foreign(“$SPXF”,”C”),
IIf(InGics(“45”),Foreign(“$SPXT”,”C”),
IIf(InGics(“50”),Foreign(“$SPXL”,”C”),
IIf(InGics(“55”),Foreign(“$SPXU”,”C”),Foreign(“$SPXR”,”C”)))))))))));

SectorPullBack =
(InGics(“10”) AND GICS10Index

And then in the entry criteria:

Cond3 = SectorPullback;

What I did here was to check if a sector was below the sector-level bollinger band and then only enter if a stock is part of a sector that is pulling back. This actually increased the selection bias and was detrimental to returns. Not sure if I am looking at this correctly?

Thanks Said!

the idea of using
SectorIndexUS = IIf(InGics(“10”),Foreign(“$SPXE”,”C”),
IIf(InGics(“15”),Foreign(“$SPXM”,”C”),
IIf(InGics(“20”),Foreign(“$SPXI”,”C”),
IIf(InGics(“25”),Foreign(“$SPXD”,”C”),
IIf(InGics(“30”),Foreign(“$SPXS”,”C”),
IIf(InGics(“35”),Foreign(“$SPXA”,”C”),
IIf(InGics(“40”),Foreign(“$SPXF”,”C”),
IIf(InGics(“45”),Foreign(“$SPXT”,”C”),
IIf(InGics(“50”),Foreign(“$SPXL”,”C”),
IIf(InGics(“55”),Foreign(“$SPXU”,”C”),Foreign(“$SPXR”,”C”)))))))))));

is to have only one variable that will represent the index
so you can do this
BBandRange = Param(“BBandRange”,15,1,200,1);
BBandSD = Param(“BBandSD”,1,1,3,.5);
BBandBot = BBandBot(SectorIndexUS ,BBandRange,BBandSD);
Cond3 = SectorIndexUS < BBandBot ;

Said – I have been working with this a bit to no avail. I will keep at it and let you know if I find success. Thanks for the color.

[Nick Radge]

I have one trend filter, so close > n-length

I have one entry setup criteria, so close < y-criteria (I have not seen anyone in this group use what I am using) I have one noise filter, so j-criteria > n

And the stretch, which as I said is ATR(n) * 0.75.

You should connect with Len. He’s getting some good results with a ‘similar’ setup criteria that you initially were using.

[LEONARDZIR]

Brent,
I am trading an MOC system on the Russell 1000 with very few rules and filters and virtually no selection bias and CAR > 30% over last 10 years( less over the last 5).
My email is [email protected] if you want to contact me.
I

[Anonymous]

Thanks Len! I’ll reach out

[JulianCohen]

Nick following this thread I went back to the drawing board and created a completely new MOC system from scratch. My aim was to find the keys to selection bias first and then build the system around that. I have a system that is around 90-95% which I am pleased with as it didn’t take to long to work it out.

I would be very interested in what you consider “Noise Filters” though. Maybe you could give some examples?

[Nick Radge]

The most common noise filter I see in here is the use of the ADX as an example.

[JulianCohen]

Nick Radge wrote:

The most common noise filter I see in here is the use of the ADX as an example.

OK I’m on the right path then.

Thanks

[Anonymous]

Back trading the MOC systems in the US and AU. Launched live trading for those on June 12th.

AU MOC -10bps

US MOC +1.4%

US rotation, which I have continued to trade since launching March 1st, +1.9% on the month, -2.6% since inception.

[Author]

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