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Nick,
I am on level 4 as well. The hostwinds guys told me the norgate upgraderwas hogging too much memory and slowing things down.

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Thanks Said. Will do.

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Said, just read that the top 15 stocks in the sp500 account for more than 1/2 of the sp 500 gains this year. Big cap tech like amazon, apple, google, Microsoft are driving the us market so extremely narrow advance.

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Had problem with hostwinds VPS. I added windshield after Nick’s posts. Things seemed to slow down. When I started my second IB workstation it would’nt load. Found that for my level of service had to close down norgate updater to have both IB workstations working.

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Julian,
Couple of things. The turtle system was developed when there were strongly trending commodity markets.
Richard Dennis ultimately went broke.

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Brent,
I am trading an MOC system on the Russell 1000 with very few rules and filters and virtually no selection bias and CAR > 30% over last 10 years( less over the last 5).
My email is [email protected] if you want to contact me.
I

[LEONARDZIR]

I joined Nick’s continued mentoring program. He has reviewed my US MOC code and given me a tweak which has made a significant improvement in my US MOC system and US mr system

My US MOC from 2007 to date CAR 36%,MDD 7%. Selection bias has pretty much been eliminated and the number of trades was reduced from 16000 to 11,600.
The downside is that it is not for the feint of heart. I am using 4:1 leverage.
I used the same tweak on my US MR system with 2:1 leverage. CAR 26% MDD 10%. Selection bias dramatically reduced, as has the number of trades.
Considering the amount of money I am trading I think the service is a bargain. I like the idea of periodically reviewing my systems with 2 professionals. I am also not as adept in coding systems as some of you and like the availability of checking code before trading a new system.

heart

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Brent,
You raise a very interesting question, namely should you trade a system that doesn’t make logical sense even though it tests well historically and is robust. . I don’t have a definitive answer but I believe it is probably yes. Before I joined the mentoring program I traded a number of systems which made sense but didn’t make (lost) money.. Since I joined the program I have been surprised by a number of systems I developed that were based on logical assumptions that didn’t test well.
In addition to my US MOC and US MR I have traded Nick’s US momo since Jan 2016 with satisfactory results. Nick has told me that he has incorporated Said’s ROC/ATR ranking criteria with a significant improvement in CAR and MDD.

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Correction my backtested results were from 1995. to 2016

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Brent,
Looking at your results for SP 500 from 2000-2016 Said’s original ROC in SP500 you have CAR at 18.7% with MDD at 25%.I believe Said’s results were something like CAR/MDD 20%/17% or something close to that.. I get CAR/MDD of 21%/20% in the same universe and timeframe. How do you account for the differences?

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Miguel,
Those are outstanding results!
I don’t understand however how the combined results are higher than any of the components.
Len

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April results:

US MOC 0.4%
US MR 1.8%
US MOMO -0.95%

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I backtested the rotational code I posted on SP500 with Said’s ROC/ATR as momentum with a couple of tweaks. I used Julian’s wma instead of sma for trend, optimized ROC and ATR duration and ran backtest from 1995. I had CAR/MDD 22.9/21. Not bad, certainly tradeable but nowhere near Juian’s and Said’s MDD of 16-17%. Also 2016 was pretty modest at 10% CAR not Said’s 35%.
Not sure what is Said’s”secret sauce”.

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Thanks Julian,
I’ll give it a whirl. Was able to increase CAR but not able to bring MDD below CAR.
Len

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Julian,
Did you get down to 16%DD with the rotational code you posted?
Len

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