Trents Weekly Journal

[TrentRothall]

When combining two separate mean reversion systems I was hoping to increase trade frequency which in turn should equal more profits. The two systems are fairly similar so there are a lot of overlapping signals when they are run separately. My thinking was that if I could take the signals that triggered by system 1 then I could also take additional signals that triggered in system 2. While the number of trades increase by about 25% when the systems were combined the annual return only increased by about 2%.

So I went back and tested all the signals from system 2 that did NOT meet the entry criteria from system 1. Basically it is all the additional trades that show up in the back test when the two systems are tested together.

As I thought might be the case these additional trades are not as successful as trades that meet the criteria from system 1 AND system 2.

Winning percentage on these additional trades are about 5% lower than system 1
expectancy per trade is 0.92% compared to 1.42%
MAR is 0.57 compared to 2

So although the trades add a bit to the overall return of the system without adding to much to the maximum drawdown, and you might feel a bit better because you are placing more trades I’m not really sure if it is worth it in this instance.

It might work better if you are combining systems that don’t have as many overlapping signals, you might be able to tighten the restrictions on both systems so that you are only taking quality trades from both

[Nick Radge]

Some great findings there Trent. Well done.

[TrentRothall]

Thanks Nick.

Tuesday 15.3.16

3 Entries
0 Exits

1 Pending Exit
15 Pending Entries

Will be 4 open positions

A bit more action today which is good, would still like a big lump of entries to ensure the explorations track the trades properly.

ARF bucked the trend today with a nice bounce to trigger a exit tomorrow morning. Nice and quick in and out hopefully

[TrentRothall]

Wednesday 16.3.16

1 Exit
0 Entries

4 Open positions
16 Pending

[TrentRothall]

Thursday 17.3.16

1 Entry

1 Exit signal
Will be 4 open positions

4 Pending

[TrentRothall]

Friday 18.3.16

0 Entries
1 Exit

2 Pending exits
6 Pending entries

will be 2 open positions

System Weekly Wrap – to date

8 closed trades

6 wins
2 losses

A few more entries this week with a few pending exits. Trading MR system I expect fairly quiet times with the lower exposure. Hopefully won’t be far off trading it live.

Got out just in time here on HFR – I had a feeling it was going to pop one way or another

[TrentRothall]

Mon 21.3.16

2 Exits
0 Entries

3 Pending entries

2 Open positions

Trying to get the IB DDE to work through TWS, keep getting an error message but i haven’t spent too long on it yet.

[TrentRothall]

When I was combining 2 MR systems together I noticed that when a trade triggers that met the conditions from both system 1 and system 2 those trades tend to be of a better quality with a higher win rate and profit per trade. But when ran like this the lower trade frequency hurt returns

The 2nd system that I added to my main system doesn’t have as high CAR as my main system, one thing that appeals to me out of it is that it seems to be a bit more consistent in the leaner years. I.e in 2008 it returned around 15% where my other system was around 5%.

Because my system doesn’t use an index filter I thought I might be able to use my main system when a normal index filter is up but once the index turns down then take the higher quality signals (signals from both system 1 and system 2)

This is my main system run only when the index is DOWN

This is taking only the quality signals that come from the combined system 1 and 2 when the index is down.
This does 30% less trades
The ave trade p/l per trade is 2.5% compared to 1.67%
CAR is also higher just

[TrentRothall]

This is my original system on XAO – no index filter

This is the ‘Hybrid’ syystem only taking quality signals when the index is down

Looks better so far returns are the same exposure drops – about 12% less trades

[SaidBitar]

Here are my observations from doing the same exercise

If you want higher exposure try changing the exit to a longer one such as
Two higher closes
Cross with moving average
Oversold level on short term oscillator

If you want to increase trade frequency use
Fast exits such as one higher close or the close of the same day
Or decrease the stretch

All the above are doable on the system that you like

What I noticed that higher frequency is good at least for me since it is returning higher profits with a bit deeper drawdown but my aim is to make profits

So I started putting systems with each other and merge them in one system
The initial plan was to merge four systems and control the priority by stretch length so higher priority will be with shorter stretch and so on

Four systems together were not doing what I expected from them since of overlapping signals and some early entries of one system that didn’t allow other system to play their role. Still they are profitable but I was expecting better results so I decreased from 4 to 3 and I found out that the three together are having same performance as the one that went out.

At the moment I am paper trading this combination and hopefully in the future if this system will generate enough profits I will use the profits as trading capital for the remaining system.

No idea if it is good idea or not

So what I want to say is to check which direction is better for your systems is it higher frequency or higher exposure

[TrentRothall]

Thanks for that Said will keep those points in mind, and let you know how i go. At the moment i am finding increasing frequency is not necessarily as profitable if the extra trades are half as profitable as the main ones.

Tues 22.3.16

no entries or exits

1 Exit signal
4 Buy signals

1 Open position

[TrentRothall]

Wednesday 23.3.16

1 Exit
No entries

10 Pending entries

1 Open

[TrentRothall]

Thursday 24.3.16

0 Exit
2 Entries – should have been 3 but i made a mistake and the order cancelled. Hopefully the API will not allow these errors

17 Pending orders
1 Exit signal

Weekly Wrap

11 Closed trades

8 Wins
3 Losses

3 Open Positions

[TrentRothall]

Tues 29.3.16

1 Exit
3 Entries – 1 partial fill in one though

24 Pending Entries
5 Open positions

Having the API up and running defiantly makes things easier!

[TrentRothall]

Wednesday 30.3.16

2 Entries

12 Pending orders
7 Open posiions

[Author]

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