Still in cash :-)

[JulianCohen]

Dual moving averages for the Index Filter eh?

Bugger that’s another weekend in front of the computer……

[MichaelRodwell]

Just taking a moment to re-test with a simple MA… going back through the process of checking that everything I am using is actually making a difference. I’m using a short MA and long EMA. MA > EMA = indexup

Update: the index filter is making about 1.5% difference

[ScottMcNab]

Profit factor and payoff ratio excellent..I have not been able to achieve those sorts of numbers but would love to…sharpe above 0.5…like all those stats….seemed to handle meltdowns in 2018 with hardly a bump

better go and test dual ma too…

[MichaelRodwell]

Easy does it for me Scott. Need the boss man to take a look… will report back if it passes the test.

[MichaelRodwell]

My system is ready to be broken. I’m interested to find out how long everyone took with their additional testing and trying to break the system.

I need to have confidence so I plan on doing a considerable amount of additional testing so I know my system like the back of my hand.

This morning I ran an optimization on my dual momentum measure and was very pleased to find a nice big flat spot in the parameters. Turns out I guessed and it was a pretty good guess – nice to know though.

As I type this I’m now investigating my dual MA index filter to ensure it’s robust.

Knowing that I will miss the end of this month is good because i wont have any trading signals for another month… more time to get confidence built.

[SaidBitar]

Michael Rodwell wrote:

Quote:

Said Bitar: On the NDX MOMO i used two periods look back for measuring momentum and it works good mainly because the number of positions is small but i did not see big difference on SPX momo where i can hold way more stocks

Hey Said. When you say good, what does that mean? I was able to improve my return by about 1% which I was happy with but having some context from someone else would be good. Perhaps my ranking method is flawed…

Have you found that using worst rank held makes a difference for your momentum systems? So far for all my system iterations I havent found a way to use this to my advantage. Thanks!

Sorry for the late reply
for me good is lower DD, normally i measure everything with CAR/MDD whenever it is higher it is good also i care about the smoothness of the equity curve

[MichaelRodwell]

Thanks Said. My current system holds 10 positions so that may be why I havent been able to improve much using a weighted measurement.

[MichaelRodwell]

Thanks for the encouragement and ideas shared in the group. Nick has almost convinced me if I asked the same question (no matter how I pitch it) I’ll get the same answer – go find an idea and test it.

So, that’s what I did.

So many useless ideas and then one that works.

Today I combined the ADX indicator with my ROC momentum measurement and reduced my mDD.

My original goal was 20% CAR and 25% DD which I have now surpassed. All the testing and working on my system has been very beneficial in getting to know it. more to come…

[MichaelRodwell]

More tinkering and testing today has allowed me to squeeze out another point or so.

CAR: 23.23
MaxDD: 18.83

I’ve been running back tests on each year or data and in various blocks to try to get a feel for how it will be to trade on a monthly basis. Some years its like a bloody see-saw so I’m glad I did this bit of testing so I know what Im getting into. Even on the years where the system has a great run, it’s still a pretty bumpy ride.

Code check with Craig all cleared.

Next steps, more stress testing and a clean up of the exploration code.

[MichaelRodwell]

Looking inside my system – this has been awesome.

Every day I get to know more about my system and I’m liking what I see. I’ve been running back tests, optimizations using different universes etc and I can’t blow it up.

It ‘seems’ robust.

For example, the weighting for my momentum ranking gives better results if it’s more weighted towards my short term measurements however, any weighting on a scale of 1-100 provide a profitable, tradeable result within the scope of my goals.

Also, I’ve been able to bring my DD down to under 16%.

I’m trying not to develop a more more more mentality but while I keep improving I will keep experimenting.

CAR: 23.23
MaxDD: 15.75

[MichaelRodwell]

Public Service Announcement: I’ll be launching my system at the start of May.

Some have said that that the introduction of a new system is enough to trigger a mass market sell off – you’ve been warned!

I’m equal parts excited and nervous about the milestone of going live with my first system. The journey to this point has been very rewarding – the end of the beginning might even be in sight!

Buy The Bulls Monthly Momo:

1/04/2004 -> 31/12/2018

url=https://ibb.co/v4hfhC4][/url]

[GlenPeake]

Good work Mike!!! All the best with the system!

Lol @ the the warning!!!! :woohoo: I’m guilty of that!!! :silly: e.g. Oct 2018!!!!! Lol……

[TimothyStrickland]

I couldn’t agree more on that point. Both times I have launched a new system the market sold off hard and I went immediately into a stiff drawdown. Its just the nature of the beast! As long as you focus on following your system as it was tested, time and discipline will be your friend. Now that I have multiple systems running, I couldn’t agree more that having multiple systems running is the only holy grail out there. Focus on getting this one done and then once that is up and running, look into starting another one.

[MichaelRodwell]

Thanks guys. I have felt a pretty big smack in the face from the market in the past and managed to get on with it. There was always a way I could justify that it was not 100% my doing though. It feels pretty vulnerable being 100% responsible for the system and owning the outcome – good, bad or indifferent. I can definitely feel the shift from problem solving and putting the market puzzle together to the psychological challenge of owning it and taking action. Taking action is one of my strengths though, so come May 1, the trigger will be pulled!

[MichaelRodwell]

After small hiccup (IB deleting my trading permissions) I’m back up and running.

Just got my first set of orders placed for my new system:

Buy The Bulls Monthly Momo

Top 10 Positions Ill be taking

Ticker Last Close
CDNS 68.54
QCOM 86.37
CTRP 43.54
JD 30.2
CMCSA 43.42
CSCO 55.58
MDLZ 51.64
SBUX 77.52
SNPS 120.09
CERN 66.7

will report back in at the end of the month and see how its gone.

[Author]

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