Said Bitar Daily Journal

[SaidBitar]

THUR 31/3/2016

MRV
1 Exit
0 Open positions
5 Entry Orders

[SaidBitar]

Fri 1/4/2016

MRV
0 Exits
0 Open positions
6 Entry Orders

Mom
0 Exits
0 Open Positions
20 Entry Orders

MRV performance for March 2016 +11.67% and it all came from 5 or 6 days and the remaining of the month was mainly putting orders and not getting filled

[LeeDanello]

That’s excellent

[Nick Radge]

boom!

[TrentRothall]

Very nice!

Are you trading the system where you added multiple systems together, or still your original one?

[StephaneFima]

Well done Said!

[SaidBitar]

Trent Rothall wrote:

Very nice!

Are you trading the system where you added multiple systems together, or still your original one?

Still Original

[SaidBitar]

I noticed from testing some codes and playing around with strategies that for Trend following strategies the exits/trailing stop i.e. the trade management is much more superior to the entries and for mean reversion strategies the entries are more important.

So i decided to test several exit criteria on MRV strategy over the same universe , period, ..

the exits are the following:
[ol]
[li]1 Higher close[/li]
[li]2 consecutive higher closes[/li]
[li]Cross above the 5 day MA[/li]
[li]RSI above 65[/li]
[li]after one day[/li]
[li]after 3 days[/li]
[li]after 5 days[/li]
[li]with the first profitable close or exit after 50 days[/li]

[/ol]

here are the results

so the exits play a role as well depending on what is your risk tolerance and target

Cross with the 5 Day MA OR the RSI 65 gave the highest returns many multiples of the other exits also higher CAR and percentage of winners but deeper DD
2 consecutive higher closed returns were high also CAR and winning percentage is high also DD were deeper
using x days for exits were also decent closes but with lower winning percentage and CAR
1 higher close is lower in gains and DD but the returns are good as well and the risk is low
finally if you like to be correct more than wrong then the last exit will provide this with 80+% winning rate

[Nick Radge]

Quote:

for Trend following strategies the exits/trailing stop i.e. the trade management is much more superior to the entries and for mean reversion strategies the entries are more important.

Yes, this is a good observation. Basically it comes down to time – the less time involved, the more important entry accuracy becomes. The more time the more important the w/l ratio becomes.

It follows the expectancy curve.

Another important element in one’s personality. Let me use a real time example.

Salem Abraham has a CAGR of 17% and manages about $240 million
Toby Crabel has a CAGR of 10.4% and manages $2.1 billion

The main reason why the assets being managed is because of the volatility of the strategies, namely the risk/adjusted returns. It shows that investors want a better risk adjusted return rather than just the highest return. This is a difficult concept for many new traders to conceptualize.

In summary, it means you trade to your own personality, beliefs and risk tolerance and forget what the next person is doing.

.

[SaidBitar]

MON 4/4/2016

WTT
4 Entry orders
16 Open positions
0 Exits

HFT
17 Entry orders
0 Exits
2 open positions

[SaidBitar]

Tue 5/4/2016

MRV
1 Exit
5 open positions
59 Entry Orders

recently i changed the WTT system position size from 5% per position to volatility based position size, what i noticed is the following:
Now i have 20 open positions so i should be fully invested but since it is based on volatility i am only 83% invested same for the Momentum strategy i am holding 20 positions with 83% invested.

maybe when the market conditions will be calmer then the percentage utilization per position will increase.

[JulianCohen]

That’s interesting. I would have thought the vol based position sizing would have eaten the equity much faster…What settings are you using?

[SaidBitar]

honestly this is what i was expecting

I am using portfolio risk of 0.5% per position for WTT and 0.1 for momentum

[SaidBitar]

I was asked recently on the slippage that i have on the MRV and the effect

So i checked for March 2016
Total number of trades is 55 trades
trades that had positive slippage ( sold higher than the open) 5
trades that had negative slippage (sold lower than the open) 3

slippage in total was 0.15% for my favor

[SaidBitar]

WED 6/4/2016

MRV
3 Exits
17 Open positions
112 Entry orders

[Author]

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