Tim's Journal

This topic is empty.

Viewing 15 posts - 31 through 45 (of 390 total)

← 1 2 3 4 … 24 25 26 →

Author

Posts
September 2, 2018 at 9:05 pm #109085

Nick Radge
Keymaster

Quote:

One person had been trading for 12 years and another for 30 and still wasn’t profitable.

Everyone gets what they want from the markets.

Trading is simple. But its not easy.

September 23, 2018 at 12:46 am #109100

TimothyStrickland
Member

My first system using rate of change, index filter. Rotational system.

Still trying to improve but at least I know I can get some decent results!

September 23, 2018 at 12:53 am #109203

TimothyStrickland
Member

Gotta figure out a way to reduce my drawdown. My in sample period was 2010-2012.

September 23, 2018 at 5:08 am #109204

JulianCohen
Participant

Tim Strickland wrote:

Gotta figure out a way to reduce my drawdown. My in sample period was 2010-2012.

Did you try using ADX(dur) > 30 ?

Seems to help my drawdowns without affecting CAGR too much

September 23, 2018 at 2:17 pm #109206

TimothyStrickland
Member

I’ll give that a shot, thanks!

September 23, 2018 at 2:30 pm #109208

TimothyStrickland
Member

I’m watching Nicks momentum video again as well to see if I can come up with more ideas. This is the early stages right now, I have not done rigorous testing on it yet, monte carlo etc. I’m just trying to figure out what parameters produce some decent results and which ones do not.

September 23, 2018 at 10:34 pm #109209

TimothyStrickland
Member

Nice Julian. That helped. Reduced my system performance only by 2-3% but reduced the max system drawdown by 10!

September 23, 2018 at 10:38 pm #109210

TimothyStrickland
Member

I’m not sure if I’m doing this right but if I test the system using the dropdown under the filter section and select “Nasdaq 100 current and past” and also enable my Survivor-ship historical watchlist to be set as Nasdaq 100, it breaks the system completely, almost no signals.

September 24, 2018 at 12:42 am #109211

Nick Radge
Keymaster

Tim,
Can you send the system to me. This is the part of the exercise that you and I should be doing together.

Regards
Mentor feeling left out

September 24, 2018 at 1:18 am #109212

TimothyStrickland
Member

Sorry about that Nick! Let me make sure the settings are how I’m running them and I’ll send it too you.

September 27, 2018 at 12:15 am #109213

TimothyStrickland
Member

With Nick’s help I am getting further along, system is getting better results, now tampering around to see if I can get the drawdown to acceptable levels.

September 27, 2018 at 12:19 am #109216

TimothyStrickland
Member

Got up to 36% CAGR with a Max DD of 62.7% HOLY MOLY!

September 27, 2018 at 12:46 am #109217

TimothyStrickland
Member

A good portion of the drawdown was coming from using so few positions, the system seemed to be too focused. Lower returns but the drawdown did improve quite a bit

September 27, 2018 at 12:54 am #109205

RobGiles
Member

Tim Strickland wrote:

Gotta figure out a way to reduce my drawdown. My in sample period was 2010-2012.

Tim, is the ‘in-sample’ period long enough to test a momentum system? I’m just going off Nick’s comments in the last mentor hookup, where he said there’s no point taking a 3 – 5 year window, 2007 – today or 1998 to 2007 would be ea better test window as it gives this type of system the chance to show what it can do in the types of markets it is designed to capture.

Has playing around with the index filter length had any impack on MaxDD?

September 27, 2018 at 12:57 am #109207

RobGiles
Member

Julian Cohen wrote:

Tim Strickland wrote:

Gotta figure out a way to reduce my drawdown. My in sample period was 2010-2012.

Did you try using ADX(dur) > 30 ?

Seems to help my drawdowns without affecting CAGR too much

Hi Julian
Excuse my ignorance, but where in the code file does this get placed? Is it a replacement ot the Index Filter or in addition to?
cheers
Author

Posts