Darryl’s Journal

[Anonymous]

Finally getting around to make myself a little more accountable with this journal! Here is where I’m at so far:

– Now have an MR system to put to the test with paper trading using simple idea modified from Nick’s email 8 of “Earn a second income” emails

from the emai:

“Long Entry
Close > 100-day moving average [ensure long term up trend is in place]
Close < 5-day moving average [ensure short term weakness is in place]
3 consecutive lower lows [sequential weakness confirmed]

Set a limit buy order for the next day if price falls another 0.5 x 10-day average true range.

Long Exit
If the close is greater than the prior close, then exit the position on the next day’s open.”

– Finally through the process of setting up an account with IB.
– In the process of learning Share Trade Tracker to manage things.

[ScottMcNab]

Hi Darryl,
Is the limit buy order as follows ?

LE = ref(buysetup,-1) and low<=ref(low,-1)-ref(atr(10),-1)*0.5;
BuyPrice = ref(low,-1) – ref(atr(10),-1)*0.5;

Just interested as I tried to get this system to work for me but couldn’t ..along with many others…testament to my inability to code….
Cheers
Scott

[TrentRothall]

Hi Scott

try something like this

Code:

ATRp = Param(“Limit Price: ATR period”,10,1,200,5);
ATRmulti = Param(“Limit Price: ATR Multi”,0.5,0,100,.1);
ATRVal = ATR(ATRp)*ATRmulti;

BuyLimP = L – ATRval;
TickLo = IIf(L<0.10,0.001,IIf(L<2.00,0.005,0.01));
BuyLimVal = round(BuyLimP/TickLo);
BuyLim = BuyLimVal * TickLo;

LE = Ref(BuySetup,-1) AND L <= Ref(BuyLim,-1); LEPrice = Min(Open,ref(BuyLim,-1));

[Anonymous]

SMcNab wrote:

Hi Darryl,
Is the limit buy order as follows ?

LE = ref(buysetup,-1) and low<=ref(low,-1)-ref(atr(10),-1)*0.5;
BuyPrice = ref(low,-1) – ref(atr(10),-1)*0.5;

Just interested as I tried to get this system to work for me but couldn’t ..along with many others…testament to my inability to code….
Cheers
Scott

Hi Scott
Here is what I did:

Code:

//=========================================================
// Paramaters
//=========================================================
longTermMALength = Param(“Long MA”,100,50,200,10);
shortTermMALength = Param(“Short MA”,5,5,50,5);
atrBuyLength = Param(“Buylimit ATR length”,10,5,30,1);

// Indicators
longTermMA = MA(C, LongTermMALength);
shortTermMA = MA(C, ShortTermMALength);

//=========================================================
// Entry and Exit signals
//=========================================================
cond1 = C > longTermMA;
cond2 = C < shortTermMA; cond3 = Sum(L < Ref(L,-1),3) == 3; cond4 = optionalFilter AND indexUp AND universeFilter;//use indexUp buySetup = cond1 AND cond2 AND cond3 AND cond4 ; buyLimit = C - 0.5*ATR(atrBuyLength); longEntry = Ref(buySetup,-1) AND L <= Ref(buyLimit,-1)

[Anonymous]

results promising…

[StephaneFima]

Hi,

Just a quick question on my side regarding coding Buy limits.

In the above MR Strategy, we buy the next day if price touches L – [Multiplier x ATR(10)]. I guess this is one way to compute Buy limits: what would be the other methods? Is there one which is better than another?

Thanks
S

[SaidBitar]

DVink wrote:

results promising…

Indeed they are.
What is the universe because i saw the number of trades is 24000+

[Nick Radge]

Quote:

…we buy the next day if price touches L – [Multiplier x ATR(10)]. I guess this is one way to compute Buy limits: what would be the other methods? Is there one which is better than another?

Stephane,
This is known as the stretch and is like pulling an extended rubber band just that little bit further.

You will find adding ‘stretch’ to some type of setup will enhance results and lower selection bias.

Not sure what other ways you could calculate it – but then again I’m not the most imaginative person around…

[ScottMcNab]

Many thanks Darryl…much appreciated

[LeeDanello]

Thanks Darryl,

I’ve done something similar myself, but have varied some of the parameters. I didn’t see Nicks post in the Earn A Second Income Series, but I saw his strategy on Cesar Alvarez website while I was trawling for some ideas and I thought it looked interesting. Should have looked in the backyard first! It’s all here!

Just wondering for these type of systems what minimum exposure should we be aiming for?

[Anonymous]

[email protected] wrote:

DVink wrote:

results promising…

Indeed they are.
What is the universe because i saw the number of trades is 24000+

sorry for the late reply… busy weekend!
Russell 3000 is the universe the test was over. The results drop quite a bit over the Russell 1000 but is much more manageable to trade in reality I’m guessing. Buysetup signals for this strategy on Friday were close to 200. Of the 40 trades I placed on my paper trading account 1 was filled :unsure:

[Anonymous]

moccha wrote:

Thanks Darryl,
Just wondering for these type of systems what minimum exposure should we be aiming for?

good question… it seems that when running a high turnover MR system with an index filter you are fully invested or sitting on 100% cash.

[SaidBitar]

DVink wrote:

[email protected] wrote:

DVink wrote:

results promising…

Indeed they are.
What is the universe because i saw the number of trades is 24000+

sorry for the late reply… busy weekend!
Russell 3000 is the universe the test was over. The results drop quite a bit over the Russell 1000 but is much more manageable to trade in reality I’m guessing. Buysetup signals for this strategy on Friday were close to 200. Of the 40 trades I placed on my paper trading account 1 was filled :unsure:

Thanks for the reply
in the beginning i was trading this strategy on Russell 3000 then i switched to Russell 1000 due to one reason that the draw downs are lower and so is the trade frequency.
regarding placing the trades i use “Batch Trader” purchased from Nick it makes life easy I tried it on paper trading account seems it does not work but it works perfectly on real accounts.

the reason the performance (profits) decreased from Russell 3000 to Russell 1000 is due to trade frequency for the same strategy that is mentioned by the mail series second income i have around 8K trades from 1-1-1995 till today with index filter that is 3 times less than what you have on Russell 3000 I think this is the reason for the degradation.

[SaidBitar]

DVink wrote:

moccha wrote:

Thanks Darryl,
Just wondering for these type of systems what minimum exposure should we be aiming for?

good question… it seems that when running a high turnover MR system with an index filter you are fully invested or sitting on 100% cash.

From what i noticed that with MRV systems exposure is a bit low in the range of 20% to 25% this is why i am trying to increase exposure and trade frequency by combining systems together. according to backtesting it will push exposure to the range of 40% and increase number of trades by 80% to 90%. Things look good on paper but i will paper trade it the coming week to see how reality looks like.

[Anonymous]

[email protected] wrote:

DVink wrote:

[email protected] wrote:

DVink wrote:

results promising…

Indeed they are.
What is the universe because i saw the number of trades is 24000+

sorry for the late reply… busy weekend!
Russell 3000 is the universe the test was over. The results drop quite a bit over the Russell 1000 but is much more manageable to trade in reality I’m guessing. Buysetup signals for this strategy on Friday were close to 200. Of the 40 trades I placed on my paper trading account 1 was filled :unsure:

Thanks for the reply
in the beginning i was trading this strategy on Russell 3000 then i switched to Russell 1000 due to one reason that the draw downs are lower and so is the trade frequency.
regarding placing the trades i use “Batch Trader” purchased from Nick it makes life easy I tried it on paper trading account seems it does not work but it works perfectly on real accounts.

the reason the performance (profits) decreased from Russell 3000 to Russell 1000 is due to trade frequency for the same strategy that is mentioned by the mail series second income i have around 8K trades from 1-1-1995 till today with index filter that is 3 times less than what you have on Russell 3000 I think this is the reason for the degradation.

“Batch Trader” sounds like a great idea. putting in 40 trades at a time by hand takes time! I tried to implement the DDE code for IB Nick posted but was unable to see where I could use it. Does it work through the “Book Trader” in the IB TWS interface?

I have also tested a few configurations of this strategy using different number of “lower low” days for the buysetup and “higher closes” for sell setup over different universes. the best results i could get so far in terms of CAR/MDD and CAR are produced with 2 lower low days over the Russell 3000. It would be interesting to know if anyone has experience with trading such a high number of signals how much effort is required!

[Author]

Posts