Trading System Graveyard

[JulianCohen]

Quick answer Scott is I can’t remember. I got the code from Craig initially and so I left everything as it was and just tested for different entry criteria.

[JulianCohen]

Scott McNab wrote:

Does the rotational system automatically account for this variation by just selecting the top stocks based on score until the equity is depleted ?

Yes that is correct. I just started running my system this month. I have 8 positions using the whole of the equity. One of them is 18%, one is 14%, one 12.7 etc etc…

[SaidBitar]

Julian Cohen wrote:

Scott McNab wrote:

Does the rotational system automatically account for this variation by just selecting the top stocks based on score until the equity is depleted ?

Yes that is correct. I just started running my system this month. I have 8 positions using the whole of the equity. One of them is 18%, one is 14%, one 12.7 etc etc…

Same for me I have 8 positions the max is 22.1% it was supposed to be 30% but cash ran out at 22.1%

[SaidBitar]

Scott McNab wrote:

Julian Cohen wrote:

Maurice Petterlin wrote:

Looking for a discarded rotational system.

here’s One for you maurice. I ran it for a few months but it went into hard drawdown so I stopped it. Fairly basic. I haven’t found a rotational system that I want to run yet. I feel better using WTT variants instead.

_SECTION_BEGIN (“System Parameters”);
//=================================================================================
//Parameters
//=================================================================================
Duration = Param(“Length of ROC”,252,10,504,10);
MADuration = Param(“MA Length”,200,150,250,25);

LMA = WMA(C,MADuration);
HV = 100 * StDev(log(C/Ref(C,-1)),20) * sqrt(252);

//=================================================================================
//Entry & Exit
//=================================================================================
OnLastTwoBarsOfDelistedSecurity = BarIndex() >= (LastValue(BarIndex()) -1) AND !IsNull(GetFnData(“DelistingDate”));

Cond1 = HV > 5 AND HV < 20;
Cond2 = ROC(C,Duration) > 0;
Cond3 = C > LMA;
Cond4 = IndexUp AND OptFilt AND HDBFilter AND gapFilterOn;

LESetup = Cond1 AND Cond2 AND Cond3 AND Cond4; //Any additional buy rules apart from the rotational criteria – e.g index, price filters etc
LE = Ref(LESetUp,-1) AND NOT OnLastTwoBarsOfDelistedSecurity;

//=================================================================================
_SECTION_END();

_SECTION_BEGIN (“Backtesting Options”);
//=================================================================================
//Backtesting Parameters
//=================================================================================
posqty = Param(“# Positions”,30,1,100,1);
Eq = Param(“Initial Equity”,100000,1,10000000,1);
SetOption(“InitialEquity”,Eq);
SetOption(“MaxOpenPositions”,posqty);
SetOption(“UsePrevBarEquityForPosSizing”,True);
SetOption(“AccountMargin”,100);
SetOption(“AllowPositionShrinking”,True);
//SetOption(“WorstRankHeld”,100);
SetTradeDelays(0,0,0,0);

SetBacktestMode(backtestRotational);
EOM = Month() != Ref(Month(),-1);
score = Ref(ROC(C, Duration),-1);//score is the rotational criteria
Score = IIf(LE,score,0);
PositionScore = IIf(Year()>=1985 AND EOM,score,scoreNoRotate);
//

---

PortfRisk = Param(“% daily Portfolio Risk”, 0.2, 0, 2, 0.05);
SetPositionSize( Ref(C,-1) * PortfRisk /Ref(ATR(20),-1), spsPercentOfEquity);

[/code]

Can I ask about the line of code containing worstrankheld please Julian? I am trying to read through the info on rotational and I thought that this was the setting that forced the exit of securities…i.e. when the stock falls below the worst rank held….did you find it was not needed ?

In rotational system if you do not specify this then the worst rank held will be the maximum number of open positions allowed
if it is 20 then 20 will be the worst rank

[ScottMcNab]

Thanks Julian and Said..

Said..just to confirm I understood this please …in your answer when you state “…then the worst rank held will be the maximum number of open positions allowed…” does “allowed” refer to the number of positions filled based on the available equity and it will therefore changes for each rotation ?

Thanks again

[SaidBitar]

posqty = Param(“# Positions”,30,1,100,1);
SetOption(“MaxOpenPositions”,posqty);

for example over here the maximum allowed is 30 so the worst rank you can carry is 30

even if you do not have cash for 30 still you need to use 30 as the worst rank.

this is my understanding

[ScottMcNab]

Said Bitar wrote:

Julian Cohen wrote:

Scott McNab wrote:

Does the rotational system automatically account for this variation by just selecting the top stocks based on score until the equity is depleted ?

Yes that is correct. I just started running my system this month. I have 8 positions using the whole of the equity. One of them is 18%, one is 14%, one 12.7 etc etc…

Same for me I have 8 positions the max is 22.1% it was supposed to be 30% but cash ran out at 22.1%

I’ve been trying to understand more the success of this position sizing…my rotational systems are pretty average with fixed position sizes

It seems to do this by loading up the weighting (favoring) the more expensive stocks, especially those with lower atr.. implying that these stocks are more likely to continue their momentum than the cheaper stocks ? Makes me wonder if volume could somehow be useful too (OBV maybe)

[ScottMcNab]

Said Bitar wrote:

Said Bitar wrote:

PFFFT
I found the mistake
I believe the code is correct but when testing the ASX 200 i forgot to pick the universe here are the correct results

now makes more sense

Interesting to do a backtest from 1995-2007 and then compare 2007-2017…incredible difference in my rotational asx system…hopefully 2018-28 will be somewhere in between ?

[SaidBitar]

From look to the graph of $XAO.au monthly 1995 till end of 2007 was a strong bull market with a dip in 2002 but from 2008 till now the prices did not reach the high of 2007 yet this is why there will be difference in the results

[Nick Radge]

The Australian market has had almost no growth since 2010. Almost all upside in the index is from dividends.

For example, over the last 2 years the actual growth has been +1.3% whilst growth + dividends has been +10.5%

[ScottMcNab]

I think we are all pretty much in agreement. My (poorly) implied question was whether to trade the ASX. I don’t think the system as such performs “worse” on the ASX but rather the aussie market has had a poor decade…to not use the same system on the ASX would imply that we knew or thought that it was going to be a dud for the next 10 years too….maybe it will be great and the US markets will go flat. So even though backtests on aus markets show that the rotational systems have significantly worse stats than the US, I feel it would be prudent to trade both….but I am interested to hear if others are doing this.

[JulianCohen]

Scott McNab wrote:

So even though backtests on aus markets show that the rotational systems have significantly worse stats than the US, I feel it would be prudent to trade both….but I am interested to hear if others are doing this.

You are quite correct I believe. You can’t know the future so you should be trading both.

I am not but I am trading WTT in US and ASX.

[MichaelRodwell]

Old thread Brent but thanks for posting. Thanks also Said.

The results here are quite close to the goal for my first system which is a monthly rotational system.

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