[LeeDanello]

Yep, Pretty much what you’re saying. AFL is pretty expansive and to remember everything requires a photographic memory. It all comes dow to practice practice practice. The whole idea of the snippets is to utilise as much as you can and then fill in the blanks. I find the logic of the looping easy to remember and difficult to recreate. Having said that I can now see where I’ve made errors and I’m able to correct it because I have the understanding

[LeeDanello]

That’s excellent

[LeeDanello]

Just wondering who in their right mind would use Guppy Multiple Moving averages. I understand that someone else came up with the concept but he’s the one taking all the credit. Sorry but I don’t think much of him. By the way all the nics are gone. Is the aim for more transparency?

[LeeDanello]

Got some US data and ran the system with the same parameters except the price filter which had a minimum price of $5 and a maximun of $100 and a 10 day average minimum turnover of $1,000,000. Numbers that came out weren’t too bad

[LeeDanello]

Impressive mertics. Thanks for sharing

[LeeDanello]

That’s interesting. I might have to get some US data and tweak some parameters to improve those results.

[LeeDanello]

I’ve run a Monte Carlo on my mean reversion system which is based on the RSI(2) and 3 consecutive lower closes on the historical All Ords constituents and came up with the following results

These are the results of a walk forward over the same period. Some divergence in 2012

Equity curve is moving up in the out of sample so that is a positive.

Here’s the code if anyone is interested in playing around with it. No ground breaking secrets in here. Haven’t tested it on any other markets.
I used 10 days for the short MA and 150 days for the long MA. These were the only variables that I tried to optimise. These seem pretty stable.

[LeeDanello]

Scott, 12000 trades over 20 years averages out at 600 trades a year or 50 trades a month. That’s quite a bit of trading.

[LeeDanello]

What time period is the back test over.

[LeeDanello]

Said, I’m just wondering what your criteria is for entering trades is. Are you by any chance using the zig zag function for establish low points and then entering on a 20% rise from that or are you using some sort of oversold oscillator to signify low/turning points?

[LeeDanello]

Yeah great anytime for me.

[LeeDanello]

Just been thinking that a dedicated section (depository) within the course where all the downloadble spreadsheets and other downloadable stuff could be kept. I suppose they could all be kept in the forum. For example I was trying to find the MC spreadsheet and it took me a while to locate.

[LeeDanello]

I’ve been working on the mean reversion system for the last few weeks. Probably similar in type to others on here. I thought I had some reasonable results except the drawdowns were a little high for my liking closer to 20% even though the MAR was about 1 or slightly higher – payoff ratio was just under 1 which was also an issue as was the profit factor which was slightly less than 2 and win rate was about 60 to 65%. The problem was 2008 and even though the index filter would help I found using that reduced the CAGR so I’ve been trying to work a way around not using an index filter. Seems like the stretch is the way to go (thanks TrenRoth), but found with that it was1 step forward and 2 steps back. In other words some of the entry conditions became superflous and bloated. So I’ve had to strip the code back and find out what was working and what was not. It’s an interesting excercise, one tweak of a parameter here and there or an introduction of a condition can make the code look good but really underneath it’s probably flaky. Mind you I’m doing this on the XAO and I suspect things may be different on the S&P. The other issue I’ve found is trying to push the exposure rate. Initially it was 30% with highish drawdowns and then with the addition of a few conditions drawdown goes down but then so does exposure. Getting it back to 25% with a maximum 15% drawdown is the goal with a MAR over 1 would be good.

[LeeDanello]

Wouldn’t call this a stretch but this is a similar concept.

CP = Param(“Close %”,40,1,100,1);
Spread = H-L;
WeakClose = C <= L +(Spread * CP/100);

[LeeDanello]

Thanks Darryl,

I’ve done something similar myself, but have varied some of the parameters. I didn’t see Nicks post in the Earn A Second Income Series, but I saw his strategy on Cesar Alvarez website while I was trawling for some ideas and I thought it looked interesting. Should have looked in the backyard first! It’s all here!

Just wondering for these type of systems what minimum exposure should we be aiming for?

[Author]

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