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TUE 23/2
Final trial for better index Filter. Instead of Simple moving average for the close it became a channel made up of simple moving average for the highs and moving average for the Lows. if the close is above the MA of the highs then the index is UP if the close is bellow the moving average for the low then it is down.
tested it and the result is like this:
number of trades decreased around 30%
draw downs increased
CAR decreased
winning percentage increased about 5%no more playing with the Index Filter
it is good as it isstarted to draft idea for a system (combo ) mean reversion and swing trading. Still building up the idea so coding later will be easier. the principle is like this:
if the market is in trading range then the mean reversion will be ON
if the market is trending then swing trading is ONthe swing trading part will be something similar to Dr. Elder Triple screen system but with a twist since the original system has so many filters but the main concept will be pull back on the daily and still higher MACD on the weekly
I will check the coming days what will have
Quote:no more playing with the Index Filter it is good as it islol. Yes, simple tends to work reasonably well.
WED 24/2
Few months back i started developing web application to manage the different portfolios that i have/had. The target was to replace the separate excel sheets that i have for each portfolio. The final target is to have one thing where i can check my trades almost real time (15 min delay because of yahoo finance delay) and access to the history and other statistics from my phone/tablet/computer online and offline.
But it seems like never ending mission all the time new ideas to add and modifications to do.
I know that in the course there was the excel sheet “Share trade tracker” which is beautiful and lots of work is done in it, but i use multiple brokers and thus multiple commission schemes also if the portfolio is using margin it does not help to inform me about the remaining amount of money in the account and finally it does not support partial sell (maybe it does all of what i mentioned but did not figure it out yet)
regarding trading
All Index Filters are still in no trade Zone
one open position on the weekly system (shame i did not have huge position
)Recently i was working on new mean reversion strategy
the performance of the strategy was surprising because the idea is so simple 5 days low enter on Limit price and I tested it with three different exits all similar results.
above are the results of 100 runs, i did not put it for the full testing yet but i noticed one thing the same pattern in all the mean reversion systems i worked on
as if the performance is degrading with time. In mid 1990s there were several years with 100+ % returns while as we move towards the current date the best performing year is 40+% as if the average return is just sliding down.
i was thinking that maybe it is due to trade frequency that may be in the 90s there were more signals than now
so i checked the number of trades per month and per year
but seems that the number of trades did not decrease.
so i started to think that it is possible that the EDGE is disappearing and may be soon it will not work, but again the idea is difficult to accept there is no optimization done, no special pattern nothing out of the ordinary.
Hi Said
I am guessing that you are testing it in the US? I noticed the same thing with my MR system when testing there big results early on and fading away now – although not too bad. My system has been in drawdown for the best part of 2 years by the looks. This is on the Rus 1000 with index filter on. the equity curve is also alot choppier than on the ASX with deeper and longer drawdowns.
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