Kates Journal

[ChrisThong]

When I was building the MR#2 strategy, I played around the stretch based on the historical volatility of the SPX. It goes like this “when volatility is high, stretch decreases from 0.75 to 0.5, and when volatility is low, stretch stays at 0.75 or increases to 1.” I cant remember the result now, but from memory it does not do much for me. Perhaps, I was doing in incorrectly or should have reference to VIX.

[KateMoloney]

Thanks for sharing guys.

What is interesting is during 2008 & 2002 the MOC strategies I have performed well. So there is a part of me that wonders if an index filter on MOC will do much on a back test (as Chris mentioned).

Obviously will only know when the research is done.

I am mindful of making sure I don’t have a knee jerk reaction & over complicate things to try and avoid financial pain. Trying to avoid it will only create more of it (eg curve fitting).

It is my goal to understand how to make index filters for the longer term strategies, so even if its not implemented in MOC, it is worth the exercise.

Here are some ideas pulled from this forum … just cut and pasted into a word document, untested 
[list]
[*]ATR of an index
[*]RSI of an index
[*]HV
[*]ADX
[*]MACD convergence
[*]Look at VIX
[/list]
Could also use Nicks trick of reducing account balance by X% for every X% drawdown. Not sure if that could be tested on AB, but seems a good way to manage drawdowns especially for the more aggressive strategies. 

 

[GlenPeake]

Hi Kate,

I run a ADX Index Filter on my MR (and my MOC prior to IB changing margin requirements)…… in nutshell, it keeps you on the sidelines during low VOLA periods.

More details in the post(s) here:

ADX Filter post

This is the PDF that got me thinking about it:
cmtassociation.org/wp-content/uploads/2015/11/0107-geisdorf.pdf

Here is the code:

Code:

///////////////
_SECTION_BEGIN (“ADX Index Indicator Filter”);
//=================================================================================
// Index Filter 4
//=================================================================================
IndexIndTog4 = ParamToggle(“ADX Index Indicator Filter”,”Off|On”,1);
SetForeign( “$SPX” );
IndADXPeriod4 = Param(“Index ADX Indicator Period”,5,1,300,1);
IndADX4 = Param(“Index ADX Indicator Filter”,25,5,80,5);
ForeignADX = ADX(IndADXPeriod4);
IndexIndFilterTrig4 = ForeignADX > IndADX4;
IndexADXInd4On = IIf(IndexIndTog4,IndexIndFilterTrig4,1);
RestorePriceArrays();
_SECTION_END();
///////////////////////////////////////////////////////
IndicatorGroupFilters = IndexADXInd4On;

////////////////////////////////////////////////////////////

[KateMoloney]

Thanks for sharing Glen

[ScottMcNab]

For what its worth (not sure if applicable Kate but may help open up some rabbit holes) for some time now I have used:
2 systems with Index Filters (C>MA and C>LLV(C,x) )
2 systems without Index filters but will reduce position size (One reduces PS if Index C 2 systems with no Index filter and no PS variants (are MRV systems with no leverage)

6 systems may not appeal to all but even 2 or 3 systems done this way help reduce portfolio maxDD by pooping the bed at different times (using Alvarez portfolio combining tool)

[RobertMontgomery]

Thanks for sharing the ADX filter code. I ran a quick test (ADX filter data on the left) and it provided a positive boost to the returns for most years, but hasn’t helped yet for YTD. As Nick posted, something is different as you can see this system is also seeing historically high drawdown.  With four red months in a row should I double down in July?
 

[JulianCohen]

C > LLV(C,x)

Good idea!!

[KateMoloney]

Scott McNab post=13168 userid=5311 wrote:

For what its worth (not sure if applicable Kate but may help open up some rabbit holes) for some time now I have used:
2 systems with Index Filters (C>MA and C>LLV(C,x) )
2 systems without Index filters but will reduce position size (One reduces PS if Index C 2 systems with no Index filter and no PS variants (are MRV systems with no leverage)

6 systems may not appeal to all but even 2 or 3 systems done this way help reduce portfolio maxDD by pooping the bed at different times (using Alvarez portfolio combining tool)

Thanks Scott.

I’ve dumped all the ideas into a word doc. Might add them to Julians thread later so we can refer to it later.

[KateMoloney]

Been running additional tests (thanks Nick for sharing what you’ve been testing and looking for).

Oddly, only one systems present max DD exceeds the max DD of 97/98 and that is the turn key code (with tweaks) on the R2000. This doesn’t occur on the R1000 version of turnkey.

 
   

27 October 97 -24% in one day, but made 96.8% the following day
31st of August 98 -27% followed by a 10% day the next day
19th of April 99 -24.7% (made 23.8% on 15/4 and 17% on 5/5 & 14% on 26/5 & 11% on 6/2)

 

 

[KateMoloney]

Started trading again today, on a smaller account while I get back into the routine.

Day 14 of a nasty flu. Brain capacity still not 100%. Takes 2-3x as long to get things done.

This unlucky run on health has made me appreciate good health even more

Have set some learning goals (trading) for the rest of the year. Focusing on those gives me a sense of something I can control & work towards, whilst letting the trading systems do their thing ….

[TimothyStrickland]

Been having some health issues as well Kate, hope you get feeling better. Mine started happening after the COVID vaccine.

I think as long as you can figure out WHY your system is not performing well or outside the test parameters then you can make a decision. My risk tolerance is not what it once was 3+ years ago.

[KateMoloney]

Tim Strickland post=13199 userid=5338 wrote:

Been having some health issues as well Kate, hope you get feeling better. Mine started happening after the COVID vaccine.

I think as long as you can figure out WHY your system is not performing well or outside the test parameters then you can make a decision. My risk tolerance is not what it once was 3+ years ago.

Sorry to hear you’ve been unwell Tim. My brother had a very bad reaction to the vaccine (family history of it) so I hunted out some solutions. There is a doctor in LA that has successfully treated patients with similar issues using stem cell therapy  (? I think ?) Mark Ghalili regenmedla.com He shares his patient recovery stories online but gets censored quite a lot.

Not sure what you are doing to get better but hope you can figure it out. 

[TimothyStrickland]

Thanks, I will check it out. I ended up getting an autoimmune disease from it. I was never against vaccines before, but I might be now.

[KateMoloney]

Shoot ….. that is no good Tim. Sorry to hear that.

Will ask my USA friend if she has any contacts that might be able to help you. She lives in Baltimore, which I believe is close to you?

I had this lady down as another potential contact.
Dr Lisa Koche 813 319 0911 Spectra Wellness.

[KateMoloney]

Can’t upload excel files here …

So here is a snap show of drawdown calculator (based on Jerry Parkers rules)

Not sure if it is something I will implement myself, but it has been insightful to try it on.

After starting the mentoring program 12 months ago, the biggest realisation I’ve had is that the research always continues.

Julian’s post the other day sparked some ideas.

A post Nick put up helped me to think outside the box on a particular issue … which then led to a new idea …. which is so far testing well.

Often it is the smallest or simplest idea that can have the biggest impact. You don’t have to be a brain surgeon to succeed at trading.
My coding skills are still really basic. My emotional tolerance prior to the surgery hasn’t been optimal. 

I’m still a new trader in the scheme of things … and I haven’t blown up my accounts despite the challenging market.

Nick mentioned last night that some of this group are using leverage (which obviously amplifies results) and yet there are hedge funds using no leverage and losing 30%, 40% and 50%. With leverage, one can only assume their losses would be a lot higher. Nicks comment hit home for me how much we are actually succeeding in the scheme of things.

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