ROC instead of MA

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November 18, 2016 at 5:25 am #105825

JulianCohen
Participant

Scott McNab wrote:

Does SIPC policy not help ?

https://www.interactivebrokers.com.au/en/index.php?f=ibgStrength&p=acc

Yes it does. Didn’t know that! Cheers

November 18, 2016 at 8:45 am #105826

TrentRothall
Participant

If you actually are only using cash there wouldn’t be any issues i don’t think.

November 20, 2016 at 1:29 am #105806

JulianCohen
Participant

So after a few days of disappearing down this rabbit hole, I have emerged with nothing except experience.

I found I couldn’t get results anywhere above 58% win rate and that is really not good enough for me. Plus with 58% win rates I would be doing approx 2,000 trades a year. Back to the drawing board. Finding MR systems for MOC with win rates over 60% is pretty bloody difficult. I know I have one already but I’m always looking for easy ways to push funds harder.

November 20, 2016 at 8:29 pm #105830

ScottMcNab
Participant

Why isn’t 58%win rate any good Julian ? Is the expectancy poor ?

November 20, 2016 at 10:48 pm #105832

JulianCohen
Participant

Scott McNab wrote:

Why isn’t 58%win rate any good Julian ? Is the expectancy poor ?

Well I’d rather it was over 60% and the sheer amount of trades to achieve it is high…2010-2016 is around 13,000 plus.

Maybe I’m being too hard. I’ll go back and have another go at it

December 8, 2016 at 2:27 am #105807

JulianCohen
Participant

I just read Cesar’s blog and revisited ROC. I wrote a stonking good system for the ASX as a 5 day swing system. Trying to make it work well on the US markets now.

Well worth a look.

http://alvarezquanttrading.com/2016/12/07/using-recent-returns-for-mean-reversion/

December 9, 2016 at 8:13 am #105927

SaidBitar
Member

I tested the system last night I noticed that the trade frequency is a bit low or at least lower than what I desire but the nice thing is the high winning percentage around 71% on ASX maybe I will try to relax some parameters for higher frequency.

But I liked the function of percent rank I believe some nice systems can be built around it

December 9, 2016 at 10:36 pm #105938

JulianCohen
Participant

Yes I got a great result with the All Ords. I couldn’t get the US markets to yield as nice a result. The system is certainly profitable on US so undoubtably robust, but I have better performing US systems. On the ASX it fits perfectly into my portfolio as it has a low correlation to my existing Swing system.

I too like the percent rank function. It’s what was missing when I tried to write this a couple of weeks ago.
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