Mean Reversion Idea

[ChrisVirides]

Based on my testing of my MRV system, there are alot of days in the year with not that many Signals generated. On these days Selection bias is not an issue. What do you guys think of “relaxing” your parameters in order to get more signals, that still are expected to be profitable. The objective being that when we do not have quantity, we take on some signals that do not have as much quality in order to obtain the quantity.
What do you guys think of this and have you had some similar thoughts in order to “maximise the effectiveness” of your system.

[SaidBitar]

It is annoying when you run explore on your system and you get only 5 signals
More annoying when you place them and non get filled

You can test with the different parameters if you are OK with the results then be it, or for some time trade it as it is till you are comfortable with the system and you have real feeling of how it performs then you can modify for more signals

Or trade two strategies on the same account

[Nick Radge]

It’s a great question Paul. One of my objectives is to trade the account as hard as I can as often as I can.

I don’t have the answer as yet…

[JulianCohen]

How would you propose to do it Paul?

[ScottMcNab]

I do this by relaxing the amount the price needs to drop to allow entry ..

eg

ATRMult = IIF(EMA(Index,5);

[ScottMcNab]

Hmm…was not meant to be a face there sorry

ATRMult = IIF(EMA(Index,5) ;

[ScottMcNab]

Much better

[ChrisVirides]

Julian Cohen wrote:

How would you propose to do it Paul?

I assume you mean test it, I got no idea. Said’s suggestion of trading another system is a very good one.
Given that even Nick does not have an answer to it, maybe it warrants discussion in tonight’s group call?

I also think the opposite is true, Ie when we have too many Signals for the amount of Buys we would like we could tighten our parameters.
eg, we have 120 Signals and we only want 2 fills, maybe we place limit orders at C – ATR(10)*3 instead of C – ATR(10)*2.5

[TrentRothall]

Hi Paul

I joined 2 similar systems together to increase the number of trades, but when the index is down it selects the better of all available signals – this helps to decrease drawdown and increase win % + profitability

[ChrisVirides]

When you say 2 similar systems, I assume you mean 2 trend following systems, 2 Momentum or 2 MR Systems? When the index is up, do you still select the better signals?

[TrentRothall]

Sorry two MR systems but are a similar style – when the index is up i take all signals generated by both to try and trade more often in favourable conditions

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