Group Collaboration System Ideas

[LeeDanello]

What are others benchmarks for the following?

CAR
MDD
trade frequency
holding time

[TrentRothall]

I think we aim higher than +15% CAR. Say min 20%, if we can keep DD around 20%?

If you never look for the holy grail you will never find it. haha

[Anonymous]

Maurice Petterlin wrote:

What are others benchmarks for the following?

CAR
MDD
trade frequency
holding time

CAR > 30%
MDD < 30%
trade frequency < 20/day (low enough to avoid using an API to manage positions)
holding time = i dont mind / have no preference yet
market = US or AUD

[LeeDanello]

Both markets

[SaidBitar]

So let us develop two systems one that is trendfollowing/ Momentum and the other is swing trading

[Anonymous]

Said Bitar wrote:

So let us develop two systems one that is trendfollowing/ Momentum and the other is swing trading

OK

[SaidBitar]

here are some ideas

Swing trading:
cross bollinger band lower channel and sell on the MA of the BB
Elder triple screen (strength on the weekly timeframe and weakness on the daily)
short term breakout
20% Flipper (daily) with exit condition with the Index Filter

TF:
BBO (unholy grails) + extra flavors (New year high OR all time High or ..)
Medium term Breakout
20% Flipper (weekly)

Momentum:
TOP ROC
Rotational systems

[TrentRothall]

Said Bitar wrote:

here are some ideas

TF:
BBO (unholy grails) + extra flavors (New year high OR all time High or ..)
Medium term Breakout
20% Flipper (weekly)

What’s other peoples thoughts about these ideas? i like them, or do you like shorter term ideas?

[LeeDanello]

As a start I like the idea of coming up with a medium term swing trade system using Bollinger Bands.

[TrentRothall]

Alright that sounds good for me, see what others think

[StephaneFima]

Sounds good for me too.

[SaidBitar]

For the sake of getting started here is a swing trading strategy using BB.

the rules are as follows:
[ol]
[li]No index Filter[/li]
[li]Min average Volume is 500K[/li]
[li]Close is above MA 100 days[/li]
[li]BB (5,1.5)[/li]
[li]Close bellow the lower band[/li]
[li]BB width is greater than 5% (BBWidth = (BBTop – BBBot)/ BBBot *100;)[/li]
[li]Buy on limit order if the price drops a bit under the low (0.5ATR(10))[/li]
[li]Sell cross with MA 5days[/li]
[/ol]

if it is needed i will provide the code, but for the sake of practice i think it is better that each will code it separately so that we can compare/confirm the results

the number of trades is not so high, although the trade frequency can be increased as well as the profits and all the other metrics if you use the low < BB Low instead of close here are my results with leverage and without leverage Universe is Russell 1000
Duration from 1/1/1995 –> 12/31/2015
IB Commissions

20 positions 10% per position

[SaidBitar]

20 positions 5% per position

[LeeDanello]

Just to clarify

buy – Close is above MA 100 days and below the lower band
sell – Close is above MA 5 days or crosses with MA 5 days?

If we code it ourselves and get enough results that could be our Monte Carlo

Lets post some results and wait until we have 10 back tests before we compare code.

[LeeDanello]

Interesting results:

Here are mine – 20 positions 5% per position Russell 1000 Historical constituents, IB commissions
No leverage, no index filter

Code:

Cond1 = C < LowerBand; Cond2 = C > MA(C,MArange);
Cond3 = VolFilt AND IndexUp AND UniverseFilter;
BuySetUp = Cond1 AND Cond2 AND Cond3;

Code:

SellSetUp = C > MA(C,Periods)

[Author]

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