Group Collaboration System Ideas

[ScottMcNab]

Very very helpful…just used it on my latest system (mark 24…or whatever) been paper trading…quite an eye opener. I thought I was ok as was only approx 40% exposure (on AVERAGE) and seemed ok with trade skip but I can see that I need to be able to have more positions. To do this without a sig drop in CAR I would need to leverage. The tests I have done over the last hour or so show this tends to keep CAR similar but at the expense on increasing maxDD…hmm

The next solution in backtesting for dummies is I guess I need a quantifiable measure of number of positions needed based on the number of trades system allows…maybe needs to cover 1 standard deviation above mean number of trades (for example 1SD above MA)…a rough rule of thumb on the fly as to whether need to tighten entry criteria or increase number of positions ?

[ScottMcNab]

The other interesting aspect of this chart of Darryl’s is the marked difference in the number of signals generated and hence positions needed to reduce selection bias of a trading system based on 1996-2000 data verses one designed based on the entry signals in the last five years

[SaidBitar]

Scott McNab wrote:

yep….just not sure how to get excel to count the number of buy entries for each day in the 10-20 year output

you can use countif in excel it will return the number of orders you had on a specific date.
or you can use countifs if you want to have a bit more control

or simply create pivot table/chart

[SaidBitar]

Trent Rothall wrote:

Said Bitar wrote:

Code:

LongMAP = Param(“Long MA”,100,1,1000,1);
ShortMAP = Param(“Short MA”,5,1,1000,1);
LongMA = MA(C,LongMAP);
ShortMA = MA(C,ShortMAP);
//———————————————————————————
Cond1 = C > LongMA;
Cond2 = C < ShortMA; RegDura = Param("Linear Regression Duration",20,1,50,1); a = LinearReg(C,RegDura); b = a + 1 * ATR(RegDura); ATRMul = param("ATR Mult",2.5,1,10,0.5); g = a - ATRMul * ATR(RegDura); Cond3 = C < a; Cond4 = IndexFilt AND OptFilt AND HDBFilter ;

I used a as the linear regression line
b as the upper channel
and g as the lower channel

normally i use lousy names in the beginning then i make clean up if the system is ok

Hi Said

ggood work, what are you using the top channel for? My results are slightly different to you…. are yours a single run?

I am skipping 25% of the entry signals, if i set it to 0 i get similar to your results

[TrentRothall]

Thanks Said that’s what i was after.. the MDD is normally higher than that

[ScottMcNab]

Not sure if its a viable idea but I have noticed that on days when my MRV’s have a huge number of entries for a day (over 100 but up to 300 on RUI) using Darryl’s addtocomposite that the index often seems to close higher 5 days later…I have no chance of coding this and testing it properly but posting it in case someone interested enough to try it. I guess the huge spike in MRV entries (eg using Said’s lowest low in 5 days) would correspond to a market pullback but measures it differently from a traditional indicator.

[TrentRothall]

Thought I’d fire this thread up again, too see what guys have been working on..

I’ve been revisiting a old (6 months) momentum/ trend following type system that i was working on before my MR light bulbs. Nothing very good has been happening there though.

[LeeDanello]

Trent Rothall wrote:

Thought I’d fire this thread up again, too see what guys have been working on..

I’ve been revisiting a old (6 months) momentum/ trend following type system that i was working on before my MR light bulbs. Nothing very good has been happening there though.

You guys have been too preoccupied with your Unacks and MOCs.
I can’t relate to it.

[TrentRothall]

Haha i’m not on the MOC trades, just plugging away with my boring old MR system. =] Although i may visit it in the future

[LeeDanello]

We must be the only two

[JulianCohen]

Maurice Petterlin wrote:

We must be the only two

Maybe you boys should start your own MOC free forum

[TrentRothall]

haha, don’t worry i have a few MOC systems done already. A simple idea that seems to smooth returns nicely! Well done i say

[ScottMcNab]

Trent Rothall wrote:

Thought I’d fire this thread up again, too see what guys have been working on..

I’ve been revisiting a old (6 months) momentum/ trend following type system that i was working on before my MR light bulbs. Nothing very good has been happening there though.

I’ve been trying anything and everything with little success (unless it has a buy limit order). I did read an interesting post that said the size of the drawdown of a system was in direct proportion (cant remember the exact formula) to the length of the average holding period….which tallies with the MOC findings. (the same post…by Howard Bandy I think….cautioned re monthly….the post argued that it was hard to get quality data going back far enough to get sufficient data points in a monthly system for him to have confidence in the backtest…thought was interesting point of view anyway).

Latest idea I am yet to test is back to a breakout system but setting the buy stop further away and in a few different positions…maybe 1.2*atr(10) from last close or high…or from HHV(c,20) or HHV(H,20) (or some other S/R line).

[ScottMcNab]

Trent Rothall wrote:

haha, don’t worry i have a few MOC systems done already. A simple idea that seems to smooth returns nicely! Well done i say

Its like Amibroker crack Maurice…take Nick’s “earn a second income” or one of Said’s systems and add MOC and see if you can stop thinking about it

[LeeDanello]

Addictions can be dangerous

[Author]

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