[AnthonyFuentes]

Thanks Ben and Julian. Here’s what I am working with now.

For EntrySkip I setup something like this to check various percentages to see the effect they have on the system.

Code:

Parameters:

     

Code:

RandomSkipVal: from 0.05 to 0.25 step 0.05

Code:

Strategy: MOC

     

Code:

EntrySkip: Random() < RandomSkipVal

Then I run 10 iterations of each test to check the variances.

For signal variance, I’m doing something like this:

Code:

MAPer: 200*Random(0.75,1.25,0.05)

Code:

Uptrend: C >  MA(C, MAPer)

The random low is a great idea as well. This test shows me that if my system starts taking too many trades, the performance suffers as it ends up taking poorer quality trades.

Your random low example could be used as well to change the closing price, similar to the way we were showed in the course. To do that I added the following:

Code:

Data:

     

Code:

ClosePrice: Random(C*0.95,C*1.05,0.01)

And then added that to any parameters where I’m setting closing price, like this:

Code:

Uptrend: ClosePrice >  MA(ClosePrice, MAPer)

EDIT: It looks like the forum doesn’t support the code tags.

[AnthonyFuentes]

December 2022
[list]
[*]MOC 1: -2.41%
[*]MOC 2: -0.68%
[*]Monthly Rotational R1000: -3.47%
[/list]

My plan was to deploy another MOC system by the end of December, but had some delays this month. I expect to have it deployed by the end of January.

On the bright side, I got going with RealTest and wow it flies! I’m looking forward to 2023.

Best wishes to everyone in the near year.

[AnthonyFuentes]

Thank you Julian! I’ll let you know.

[AnthonyFuentes]

I starting using ChartVPS this week and so far so good. Nick mentioned this VPS service to me. I selected the standard and they gave me a free and permanent upgrade to their Intraday VPS. They also set me up with an uptime monitor that will email me if the VPS is offline.

I’ll update in another few weeks/month with how things are going.

More info at https://chartvps.com/.

Thanks to Howard for mentioning using Dropbox (the free version). I am doing this too and it’s made syncing a breeze.

[AnthonyFuentes]

Thank you for the insight Terry, that is helpful! I like the idea of having a benchmark that the system should hit. I expect that removes some second guessing about whether or not a system is worth trading live. Curious, is there a reason you use 1/1/2010 to 1/1/2020 for your backtesting period? I ask because I’m looking to shorten my testing period as AmiBroker can be dreadfully slow at running MCS.

I think it was Seneca who said “Luck is when preparation meets opportunity.”

And yes, nice thoughts on seeking longevity. I’m in the same camp as well.

[AnthonyFuentes]

I just went through your journal from start to finish — incredible results! Even more, there was a lot of useful information shared here.

Terry, at the top of page 14, you said:

To make it through my MOC/MR back testing process and be traded live, I use the Monte Carlo Simulation results as follows:

1. The average (of the MCSs) CAGR must be greater than 20% and greater than the average Max DD
2. the worst case (of the MCSs) Sharpe Ratio must exceed 1

Would you be able to share, are these statistics from the default backtest in AmiBroker or from a MCS test that’s run using optimization?

Thank you.

[AnthonyFuentes]

I’m only a week in, but it’s inspiring to see that only 6 weeks in you’re already trading a trading system. Nice work!

[AnthonyFuentes]

Absolutely!

[Author]

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