Trents Weekly Journal

[TrentRothall]

Mon 7.3.16

1 Exit
1 Entry

1 Open Position
8 Pending Entries

Working on some other MR systems, there are a lot of different ideas to test

[Nick Radge]

lol…you’re down the rabbit hole mate – there is never an end to it all!

[TrentRothall]

Yep you’re right if you are still hunting around after 30 odd years – I have a fair way to catch up :blink:

[SaidBitar]

TrenRoth wrote:

Working on some other MR systems, there are a lot of different ideas to test

This is exactly my problem every few days new idea come up in my head or i read it some where the thing is that many are “profitable” especially when it comes to mean reversion or swing trading (which i feel it is type of mean reversion)
the funny thing the most simple ideas work the best and give confidence that they will continue to work in the future
here is an idea that is so simple if todays low is lower than yesterday you enter the second day
it is with no margin and the thing that the results are really good for such simple idea
the only problem with it is when you run 1000 MCs you will notice that the results are varying so much i mean for example max DD is ranging from -16% to -23% same for the CAR while i prefer to have tighter range. but still simple ideas give wonderful results.

---

Backtest started.
Profit = 57522112.06 (57522.11%), CAR = 35.00%, MaxSysDD = -10750959.99 (-17.82%), CAR/MDD = 1.96, # winners = 17679 (63.10%), # losers = 10339 (36.90%)
Completed in 11.74 seconds. Number of rows: 28018
( Timings: data: 3.43, setup: 0.01, afl: 41.80, job: 3.86, lock: 0.88, pbt: 4.56, UI thread: 8.00, worker threads: 45.67/44.79 )

---

I found out that the enemy of traders is time

[TrentRothall]

I am not sure if you are entering on the open in the system above but if you are then maybe that is why there area wide range of results. With simple entry criteria like you said there would be a massive amount of signals and entering on the open means a massive amount of possible trades.

But yes i agree that simple seems to work best

[TrentRothall]

Tuesday 8.3.16

Zero Entries

1 Open position

10 Pending entries

Finding that there are a fair few repeat entries, ones that don’t get filled often throw a signal up again the next day. Just an observation

[TrentRothall]

Wednesday 9.3.16

No Entries

7 Pending entries

1 Open position

Coded up the MRV that Said mentioned in his Journal that uses the lowest low in x days. Changed it so close < LLV(L,7). Works well on ASX, pretty consistent with low DD

[SaidBitar]

The nice thing in this system is that the results are almost the same with and without the index filter.
the difference between 7 and 5 days is the trade frequency.
the original system has 10 days

[TrentRothall]

[email protected] wrote:

The nice thing in this system is that the results are almost the same with and without the index filter.

Oh really? When i turn the filter on it hurts the system a fair bit. Are you testing on the XAO?

[SaidBitar]

I use RUSSELL 1000
I think the results were almost the same for me because I am using filter on the stock I mean the close should be above the MA(C,100)

[TrentRothall]

Thurs 10.3.16

1 Entry

1 Exit signal
2 Pendng entries

Will be 1 open position

[TrentRothall]

Friday 11.3.16

No entries
1 Exit

4 Pending entries
1 Open position

System Weekly Wrap – to date

6 Closed trades
5 Winners
1 Loss

1 Open position

Quiet week really only 1 closed trade i think – hoping the system starts pumping out some trades so i can make sure everything is working correctly
my IB Margin account is finally setup so next week i will have access to a better paper trading setup.

[SaidBitar]

TrenRoth wrote:

my IB Margin account is finally setup so next week i will have access to a better paper trading setup.

also i applied for paper trading account even though i am not fan of paper trading, but i will use it to test at least for one week one strategy that is combination of 4 MRV strategies.

[Nick Radge]

Paper trading gets a bad wrap for the good reason, but in this case its valid pretense. You’re not ‘practicing’ trading here, your ensuring signals match the code in real time and to ensure any overlooked postdictive errors show themselves (which they will very quickly.

[TrentRothall]

Monday 14.3.16

1 Entry

6 Pending orders
2 Open Positions

Tested a couple of different systems that are a combination of separate MR systems, results are ok – no great improvements but i haven’t delved too deep into testing.

[Author]

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