Len’s Journal

[Nick Radge]

Quote:

Have great Backtested results but no significant profits as yet.

Are you suggesting your real time results differ from the backtest?

[LEONARDZIR]

Nick, Not an easy answer. Since November my equity curve is in a trading range. The backtested results do show a number of several month periods where the systems back and fill. So in that respect there is nothing unusual going on. I will start trading the systems again tomorrow and give it some time.

[DanielBaeumler]

Quote:

Here’s a version that can be added to any system. I’m getting suspicious of it though – some comparison with some excel analysis is probably the way to go.

(This goes back to Craig’s posting from last October regarding an equity curve filter)

Hey Craig. I have pasted the snippet into my code. Even though, it was toggled off, I received weird backtest results and AB constantly ran into errors.
Has anybody suceeded in using this code?

[Stephen James]

Hi Daniel

I wasn’t getting errors on the code but I think it needs a comparison with excel results to determine if it operates correctly which I have not done.

The question with the code is whether the CBT equity array continues to take all signals when actual buy signals are being ignored due to being less than the average equity array.

If using excel, you need to be careful that trades are being ignored when the average is breached the bar before as in real time (same for switching back on).

[LEONARDZIR]

Jan 2020

US MR+ -3.6%
Nasdaq Aggressive +4.7%

All accounts excluding above – 0.5%

[LEONARDZIR]

February 2020

US MR +7%
Nasdaq Aggressive -4.9%
US Rotn SP500 -4.9%
All accounts -5%

Notes
US MR was in the hole earlier in the month had very strong returns this past week as the market dived.
Ordinarily I Get out the first day of the month when my filter turns negative, Deleveraged today instead.

[LEONARDZIR]

Correction US Rotn sp500 – 7.8%

[LEONARDZIR]

Learned a couple of things about my MR systems. They were flat to down up until Feb. They don’t appear to thrive in a low volatility uptrending market. Really had excellent returns last week during the downdraft. So now I know they perform well in a selloff. I am betting we have increased volatility from here with a potentially up and down market. I am guessing my MR is going to do well in this kind of market. So I am joining Nick’s train of thought and increasing my exposure to my US MR.

[JulianCohen]

Len I thought you had stopped trading your MR system. When did you restart it?

[LEONARDZIR]

Julian,
I think I might have mentioned to you that starting in September I started trading with a trader who has made his living from trading for the last 20 years. I switched to his baxktesting software and API. Despite excellent backtested results I immediately went into drawdown and stopped trading in December when my equity curve fell below its 200ma. He reworked two of the systems again with excellent backtested results.I decided to start trading again in January but had a down month. Early in February the drawdown continued but based on backtesting and some discussion I continued to trade. The week before last weeks historic drop was the worst week for the models in its history. Last week was the best week in it’s backtested history with a very profitable month.
I am going to continue to trade the systems since I believe the market has changed. I don’t think the systems I am trading does well with low volatiltiy uptrending markets. If I am right I think volatility will increase which I think is good for my systems.
Incidentally I am trading 4 systems. 2 are long and 2 are short. Of the 4, 3 are short term mean reversion and one is an IPO long breakout system.
Of interest, last week both longs and shorts made money.

[LEONARDZIR]

Julian,
One other point. I am not trading with any leverage.

[LEONARDZIR]

It’s times like this that led me to Nick and his mentoring. Nice to have my accounts essentially in bonds,gold and cash.
My thanks to Nick and Craig for helping me with my system trading and investing.

[ScottMcNab]

Hope its not in oil…US open tonight (Oz) will be interesting

[LEONARDZIR]

Scott,
No oil.
My MR systems up 4.6% for this month. Not sure how they will do tomorrow but I have an almost equal balance of longs and shorts..

[ScottMcNab]

I would certainly take comfort in having that sort of setup…never been able to construct a viable short system…good trading tomorrow

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