[KateMoloney]

Ah – you are still young at heart Terry.

[KateMoloney]

Update

34% drawdown now down to -32.68% with some minor tweaking. Still want to get it lower.

Upon review, the drawdowns over 25% occurred 4x in 17 years of backtests. On two of those occasions the drawdowns recovered very quickly (eg one month) … think March 2020 – mid 2020 era.

I can either adjust one of the systems down to 5% pos size to reduce maxDD to a more comfortable spot, or see what I else I can do to get the drawdown a bit.

More research to do, lots of fun.

[KateMoloney]

Thank you for sharing Terry, appreciate it.

That is a great goal to work towards – have you achieved that MDD target of 20% or is that still in progress?
Re: your index filter, do you avoid trading during periods of low volatility?
Like you I have a larger stretch.

Re: drawdowns, it also depends on your age, goals, risk tolerance, capital etc. You might have been burned in the past, but you are also at a different life stage.

My husband & I have a 30+ year vision, the goal is to compound capital and live off earned income. So 6 – 12 month drawdowns don’t bother us as much. I’ve educated my husband on the risks of the strategies, so when we had (for example) a 20% drawdown in Trade Long Term in January, he didn’t even flinch.

[KateMoloney]

Thanks for bringing the topic up Terry

One of my combined MOC had a -32.88% max DD, but upon investigation it only touched that point 4x in 17 years and 2 of those times it literally only stayed in that drawdown for a week or month (march 2020 period).

Its super insightful to know why.

[KateMoloney]

90% drop in one day – ouch.

[KateMoloney]

Thanks Terry for the education on UPI. When I google searched it, it was mentioned as an indicator …. not a system performance metric.

In relation to your UPI, my understanding is you take up to 10 positions per system and have higher % per position ? Maybe that is the reason for the difference in UPI? I take up to 40 positions per system at 10%.

Last night worked on the daily equity spreadsheet. Combined CAGR is good, but the max DD is 34%. So this weekends task is to get the max DD down. Might end up reworking a system to get the metrics I want.

Creating the first system is easy, but the second and third is a task, because you have to look at things like trade double ups between systems and combined performance metrics. Lots of fun …

[KateMoloney]

As for UPI, Terry, can you please explain what a “good” UPI is and a “bad” UPI is?
A quick google search didn’t reveal much.

System two UPI is 8 – 12

System three UPI (draft version) is
#1 13.24
#2 6.9
#3 9.36

The Sharpe ratios are 1.5 – 2

Still learning what all these metrics mean to be honest.

When I built the second system I noticed when I focused too much on achieving certain metrics, I over perfected the system and my ideas didn’t flow. At the end of the day, the daily equity gain/loss / max DD spreadsheet is the one I use most to make a decision. I’ll scroll through 40,000 odd rows of daily data (yep, nerd) and ask myself “am I ok trading this” ……

Because of that spreadsheet, I wasn’t expecting to make any decent profit until 10 -12 months into trading the MOC systems.

[KateMoloney]

Thanks Terry.

That is a valid thought about system one. The ultimate goal is to have 3x MOC systems.

Eventually I will scrap system one, but mainly because I made all the rookie errors when creating it. I optimized more than one parameter (didn’t know about this till after) and tested it at price of $5 – $5,000, which has cost more in commissions. The system has generated a tidy profit, but I think a rebuild from scratch will be wise.

At the very least I will use the same parameters and just optimize ONE parameter

What I am enjoying about having multiple MOC systems is being able to combine the systems that suit each other better.

For example, my system 2 had 10% position sizing, but the max DD combined was 35%, so I adjusted one of the systems to 5% and the max DD reduced to a more comfortable 27%.

Today I created one system that produces returns of 33% with an 11% max DD. I’ll probably tack it into system 2 and then move the pos5% system from system 2 to 3, and then change it to 10% pos sizing.

The daily equity excel spreadsheet will show how they stack up together (its going to be a wild Friday night!).

[KateMoloney]

Currently working on my 3rd MOC system, with the intention of decommissioning my first MOC system. I was never happy with the metrics, but made the decision to start trading it to get the experiencing, knowing I would get new ideas.

The metrics for system one

– 27% – 28% CAGR
– max DD of 15% – 17%
– testing period 2005 – 2022
– R1000 & R2000

System 3 has similarities to system 1, in terms of the rules, however the metrics sit at a healthier

– 34% – 37%CAGR
-11.5 % – 15% max DD
– Tested on R1000 & R2000
– Improved metrics in quieter years
– One system has more consistent returns (previous I struggled to get decent returns in 2018 & 2019)

More importantly, trade frequency has increased 35% – 40% and the win% has increased slightly. After listening to Nicks recent you tube video, trade frequency is burned into my brain.

Got some more stress testing to do, MC etc. Aim is to be trading this new system by the end of the month.

[KateMoloney]

Welcome to the group Arthur

[KateMoloney]

Here is a review. I wonder if they make their money when you buy/sell (from a spread on buy/sell).

Have not found anything yet in their paperwork.

https://brokerchooser.com/broker-reviews/stake-review

[KateMoloney]

Some articles … posting here for future reference

https://www.priceactionlab.com/Blog/2020/01/trading-strategy-curve-fitting/

https://therobusttrader.com/curve-fitting/

https://www.automatedtrading.com/2014/05/08/curve-fitting/

https://www.quanttrader.com/index.php/how-to-avoid-curve-fitting/KahlerPhilipp2019

[KateMoloney]

Inspiring results.

Can you share what made the biggest difference? Was it a rule / param change or change in the position sizing model ?

[KateMoloney]

Welcome to the program

[KateMoloney]

I had that lesson too. Luckily, didn’t exit early and made another 16% – 19%.
Trust the system.

[Author]

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