[GlenPeake]

Nice Julian!!! :woohoo:

Hopefully the ‘next 1000 trades’ contains many more mean reversion trades like this one!!

[GlenPeake]

Hi Tim,

Thanks for your comments….

RE: Drawdown.
As they say, your worst drawdown is always in front of you….. :woohoo: So atm, just testing various combinations to find a balance I’m comfortable with.

The good thing is, the length of the drawdown is not overly prolonged and the Recovery Factor for this version of the system is 11.46 (anything above 10 is very good).

Cheers
Glen

[GlenPeake]

Hi Len,

Here is 2018 thus far……

[GlenPeake]

Currently testing different variations of this system, adjusting parameters to see “what works pretty good most of the time”

Cheers
Glen

[GlenPeake]

When I apply the index filter that I had applied in my original/first system…..

So although my original/first system didn’t pass the ‘sniff’ test, I managed to find an option that has made a positive impact on this system.

[GlenPeake]

So with a new approach along with Nick’s assistance and guidance during the week…….This is what things are looking like atm….

[GlenPeake]

I’ve been working away on my MOC system and had been experimenting testing various ideas/options.

I managed to improve the performance of my system with the use of an index filter. Increase CAR, decrease MDD decrease exposure etc.

So although there’s improvements, the system doesn’t really fit the “perform pretty good most of the time” profile.

So, it was time to changed things up……

[GlenPeake]

Trend Following & Mean Reverting Indicators: How to Use, When to Use, and How to Use Together

https://cmtassociation.org/wp-content/uploads/2015/11/0107-geisdorf.pdf

[GlenPeake]

Hi Julian,

There was a discussion around the Pad & Align function here:

https://edu.thechartist.com.au/kunena/amibroker-coding-and-afl/323-rotational-systems.html#5025

To quote Craig’s comments:

“AB have recommended using P&A for rotational systems due to the way the ranking is processed in regard to the first symbol in the watchlist being tested. It will give erroneous results if that symbol does not have full data history for the test period. This was a recent development after noticing a small number of trades being held past rotation dates when testing certain watchlists.

You can use any symbol for P&A so long as it has full data history, but I’d suggest it needs to make sense for your system and universe being tested.

Do not use P&A for other systems. It can skew some indicators. “

So it seems like a function specific for Rotational Systems.

I haven’t used the function myself… So perhaps others can expand on the thread above if necessary.

Cheers
Glen

[GlenPeake]

Thanks for that Julian…. Some very nice numbers you have there..!!!

Yep…In terms of the market over that period, that was something that I had noticed….. The market just kept making Higher High Lower Lows etc….from 2012 to mid 2015…. etc…so possibly a lack of volatility is hurting the system…I might see how applying the VIX as a filter works out.

BTW… this system is only initiating/closing the position on the same day. I haven’t yet gone down the multi day hold MR ‘rabbit hole’ yet…. to see what difference that makes.

Cheers
Glen

[GlenPeake]

Combined IS and OOS 1/1/2006 – 1/1/2018 on S&P500

Just curious how other members MR MOC systems perform during the 1/1/2012 – 1/1/2018 period on the S&P500?

Thanks
Glen

[GlenPeake]

My Out Of Sample period, doesn’t look quite as nice: 1/1/2012 – 1/1/2018 on S&P500

[GlenPeake]

Bit of an update on my progress….

I completed the theory part of the course last month and since then have been working on my first system.

I’m heading down the Mean Reversion MOC path atm.

I’ve been looking through the forum for ideas and other websites for ideas. I’ve found the Cesar Alvarez website and then Better System Cesar podcasts beneficial and a good starting point for ideas..

I’ve registered a PTY LTD trading entity via https://www.ecompanies.com.au/

I’ve subscribed to the Norgate Data offer/deal they had going for Beta Testers. Previously I was only subscribed to ASX data, now I have both US and AU data and converted my existing subscription over and am subscribed for the next 400 days.

I still need to sort out my IB Account and get that setup.

In terms of my MR MOC system, my idea is roughly based around a ‘day’s down’ system.
(This is version v0.36)

Current work in progress stats for 1/1/2006 – 1/1/2012 (In Sample) on S&P500

[GlenPeake]

Hi Justin, welcome to the Mentor Course.

In short, I’ve been trading Trend following systems exclusively on the ASX. As you might already be aware, trend following on the ASX has been tough over the past decade. Simply put, my trend following systems have been ‘out of sync’ for large periods over this time, additionally the systems I’ve been trading have a large percentage of “Selection Bias” with them, therefore my returns have not been that great when comparing against the backtests for the systems. I.e. I’ve generally been picking the trades that end up being the losers etc.

“out of sync” and “Selection Bias” are terminology you’ll become ‘very’ familiar with and understand as you progress through the course.

So I’m looking to diversify both trading systems and markets to smooth out the equity curve i.e. add a short term system(s) like Mean Reversion and trade it on the US Markets in parallel to my Trend following system(s) on the ASX. I’m still looking to trade the Weekend Trend Trader or a variant of it with less Selection Bias.

Cheers
Glen

[GlenPeake]

Perfecto….Thanks Julian.

Thanks for the tip on the padding….

Cheers
Glen

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