Said Bitar Daily Journal

[SaidBitar]

Trades
MRV
Wed 2/3
20 new positions

Thursday 3/3
11 closed
4 orders but ZERO filled

Friday
3 exits
No entry

[SaidBitar]

was thinking about mean reversion systems, these systems they are beneficial in direct proportion to the trade frequency. so the more trades the more they can use their edge. so why to limit the trading universe to S&P500 or even Russell 1000 when it can be used on all the stocks.

I tried to run the system on all the US stocks including the delisted ones to see the results but amibroker was crashing :ohmy:

Trades:
WTT
7 New entries
0 Exits

MRV
7 Entries
0 Exits

[SaidBitar]

[email protected] wrote:

I tried to run the system on all the US stocks including the delisted ones to see the results but amibroker was crashing :ohmy:

Ok now i managed to backtest it results are good, draw downs are deeper but still acceptable.
so what is the benefit of one universe over all the universes.

[Nick Radge]

Quote:

why to limit the trading universe to S&P500 or even Russell 1000 when it can be used on all the stocks.

Selection Bias

[SaidBitar]

7/3/2016

WTT
7 new Entries so total open positions is 8

MRV
no signals were filled

somehow it makes me sad when i put the trades and nothing get filled :silly:

[Nick Radge]

Quote:

somehow it makes me sad when i put the trades and nothing get filled :silly:

I think that means you have got to a very high level of trading actually. You accept risk and completely at ease with the market and your strategy. Well done.

[SaidBitar]

Thanks Nick and I hope so.

Today’s US market was real roller coaster few days up the slope and today down we go.
it is funny how stocks struggle to go up few % in a week or two and how they give all back in a day.

[SaidBitar]

9/3/2016

Trading:
MRV (systems 1 and 2 )
28 Pending orders

MRV (system 3 paper trading)
146 Pending orders

when trading weekly system i have enough time over the weekend to check the signals if any of them is going to be delisted or acquired by another company so i do not take the trade. while with MRV the signals are many to check the news for each one of them. For example like today the total number of signals is 174 just to go very fast over the history of news in yahoo finance to see anything related to the stock being delisted will take lots of time. Normally i just check visually the graphs of each stock to see if there is any huge gap up which i noticed that it happens before getting delisted, so if i see the gap i will skip the signal.

may be it will be good to hard code it so any stock that had gap up of certain percentage to be ignored.

[SaidBitar]

[email protected] wrote:

MRV (systems 1 and 2 )
28 Pending orders

Non filled

[Nick Radge]

Quote:

may be it will be good to hard code it so any stock that had gap up of certain percentage to be ignored.

Yes, a good idea.

[SaidBitar]

Friday 11/3

MRV:
1 exit
7 open trades
55 new buy orders

the reason the number of orders is high is that at the moment i am using two strategies on the same account.
2 different entry setups but same position size , buy limit, and exit.

next target is adding 2 more strategies and the final strategy will be like a mishmash the only target is to increase trade frequency. Here is my logic if the edge is around 0.6% per trade this means 600% for 1000 trades so by combining more strategies trade frequency increase and i can reach 1000 trades in relatively less time than running one strategy at a time.

so for the weekend i will just clean up the code and stress test have a better feeling and understanding of its performance and its journey. then paper trade it with IB for 1 week if all went ok i will switch to it.

If the mishmash strategy was ok then i will stop checking MRV systems for the moment and i will concentrate on trend following for still unknown reason MRV gives me the feeling of hit and run while trend following gives the pleasure of seeing the profits growing and accumulating.

[SaidBitar]

13/3

Cleaning the code helped i found out i made one mistake due to laziness instead of deleting one condition and modifying the code i set it to true while it should be false.
so i ran MCs again there is a degradation still the system is good and serving its purpose. Anyhow i have to do all the stress testing procedure all over again.
Lesson learned: Don’t be such a lazy *** extra 10 minutes will not kill me.

Trades:
WTT
1 exit
3 New entries
7 open positiosn

MRV
7 exits
5 orders

MRV paper trading
19 orders

Seems recently lots of stocks are acquired by other companies I had signals for 4 such cases

[TrentRothall]

Hi Said

I am also combining 2 MR systems together at the moment, i was wondering if the systems you are combining are similar or do they have alot of different signals. My systems are fairly similar ie alot of the same signals come up when running the systems separately . So far for me, it appears that most of the profit comes from trades that trigger on both systems, so while trade frequency and exposure increases (not a massive amount) when combining them, i am only gaining about 2% more on CAR and DD goes up about 1%.

I haven’t done extensive testing as yet though, but it might work better to combine systems that are more independent of each other. Interested to hear your thoughts

[SaidBitar]

The systems that I am combining are so similar and as you mentioned signals overlap. the end result is not far from each system alone a but higher CAR a bit lower MDD but the thing that I am targeting is number of trades and exposure.

the higher number of trades will lead to higher over all return over time. regarding combining systems that are not similar I tried few ideas that are not so similar such as buying the cross of the close with the lower Bollinger band and selling on the cross with the MA. for some reason the when I put these types of systems together the output was not as good as similar systems.

The advantage of combining similar systems in my opinion are the following:
[ol]
[li]Similar over all market conditions[/li]
[li]Similar position size[/li]
[li]Similar exit mechanism[/li]
[li]easier to control priorities within systems[/li]
[/ol]

[TrentRothall]

Yeah ok thanks

One of the systems i added to my original was a bit more consistent – the lower return years were closer to the overall average. i was hoping that this system might help pick up the slack of my main system when it is ‘out of sync’ with the market. it helped a bit but nothing fantastic.

The higher trades i was targeting too because like you said more trades should = more profit. The trade number went up 25% but CAR only 2%ish. so i figure that the trades are not as good quality if they dont have the original rules applied to the entry.

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