[LEONARDZIR]

Said,
Thanks for your comment. Did improve the CAR/MDD by changing duration of ROC and ATR but nowhere near your 19% CAR and 16% drawdown.
Len

[LEONARDZIR]

Said,
I substituted roc/atr for roc but didn’t get much improvement on the sp500. I used ROC(200),ATR(200) 30 positions with risk of 0.2, price 10-110 from 2000 until today.Ended up with CAR/MDD of 15/20.
I am not the most proficient of coders so perhaps that is where the error lies. I have included some of my code for you to take a look.

_SECTION_BEGIN (“System Parameters”);
//=================================================================================
//Parameters
//=================================================================================
//MYROC = Param(“ROC periods”,200,10,260,10);
//MYROC = Optimize(“ROC periods”,240,10,260,10);
//SetOption(“ExtraColumnsLocation”,1);
//MYROC2 = ROC( Close,MYROC);

GpP = Param(“Gap %”,15,1,200,0.01);
GpD = Param(“Gap Up Lookback”,100,1,1000,1);
PF1 = C;
PF2 = Ref(C,-1);
R1 = ((PF1-PF2)/PF2)*100;

G1 = GapUp() AND R1 > GpP;
GapNum = Sum(G1,GpD);
GapFilt = GapNum == 0;

MyDuration =Param(“ROC and ATR”,200,10,260,10);
//ROCDURATION = ROC(MyDuration);
//ATRDuration = ATR(MyDuration);

//=================================================================================
//Entry & Exit
//=================================================================================
Cond1 = Close > MA(C,100);
Cond2 = ROC(C,MyDuration)> 0;
Cond3 = OptFilt AND IndexUp AND HDBFilter AND GapFilt;//all the optional filters

OnLastTwoBarsOfDelistedSecurity = BarIndex() >= (LastValue(BarIndex()) -1) AND !IsNull(GetFnData(“DelistingDate”));

LESetup = Cond1 AND Cond2 AND Cond3; //Any additional buy rules apart from the rotational criteria – e.g index, price filters etc
LE = Ref(LESetUp,-1) AND NOT OnLastTwoBarsOfDelistedSecurity;
// MCS code part2
if(MCP)
LE = LE && Random()*100>=MCP;
//=================================================================================
_SECTION_END();

_SECTION_BEGIN (“Backtesting Options”);
//=================================================================================
//Backtesting Parameters close
//=================================================================================
posqty = Param(“# Positions”,30,1,100,1);
Eq = Param(“Initial Equity”,100000,1,10000000,1);
SetOption(“InitialEquity”,Eq);
SetOption(“MaxOpenPositions”,posqty);
SetOption(“UsePrevBarEquityForPosSizing”,True);
SetOption(“AccountMargin”,100);
SetOption(“AllowPositionShrinking”,True);
//SetOption(“WorstRankHeld”,100);
SetTradeDelays(0,0,0,0);

SetBacktestMode(backtestRotational);
EOM = Month() != Ref(Month(),-1);
//score = Ref(MYROC2,-1) ;//score is the rotational criteria
//Score = IIf(LE,score,0);
//PositionScore = IIf(Year()>=1985 AND EOM,score,scoreNoRotate);
score = Ref(ROC(C,MyDuration)/ATR(14),-1);
score = iif(LE,score,0);
positionscore = iif(year()>=1985 AND Month() != ref(Month(),-1),score,scoreNoRotate);

//

---

//SetPositionSize(100/posqty,spsPercentOfEquity);
Riskfactor = Param(“Risk Factor”,0.2,0.005,1,0.005);

Risk = Riskfactor*(Ref(C,-1)/Ref(ATR(21),-1));

SetPositionSize(Risk,spsPercentOfEquity);

[LEONARDZIR]

Said,
Are you using the same duration for ROC and ATR?
Len

[LEONARDZIR]

Said. Those are outstanding results for your momentum strategy on the sp500. A car of 19% and max dd of 16% is excellent. The best I could do on the sp500 was car 15% and. Dd of 23%.
What did you use to define momentum? I only used ROC.

[LEONARDZIR]

I would also be interested in ongoing mentoring.

[LEONARDZIR]

My guess is that 99% of the value of the course is the mentoring and forum.
However the LMS has value.
I could see a product where you sell the LMS as a standalone product and provide consulting . The forum and group calls could be a subscription service.

[LEONARDZIR]

Tweaked my MOC and MR swing to meet selection bias guidelines so only have trades for 1 1/2 weeks.
US MOMO (80% of my trading funds) up 0.76% for march.

[LEONARDZIR]

When testing my mr system I had less signals than I thought I would have. The reason is that after I accumulated a number of positions which had not reached my profit target they were then excluded as potential buys when I ran my daily exploration even though many of these positions would be buy setups. So to check selection bias I ran my system with the usual 200 positions at 0.5% and seemed to have reasonable selection bias numbers.

[LEONARDZIR]

When testing my mr system I had less signals than I thought I would have. The reason is that after I accumulated a number of positions which had not reached my profit target they were then excluded as potential buys when I ran my daily exploration even though many of these positions would be buy setups. So to check selection bias I ran my system with the usual 200 positions at 0.5% and seemed to have reasonable selection bias numbers.

[LEONARDZIR]

Agree Scott. Worth testing. Since I am in the states if I woke up and the market had tanked would have to consider stretch for entry

[LEONARDZIR]

Said,
And if the market crashes in the middle of the day? Potentially you get all fills and no bids so you are out of luck.
Len

[LEONARDZIR]

Trent,
My thanks as well.
Fix worked fine
Len

[LEONARDZIR]

Maurice,
I think you asked a very important question. Namely does MCS testing with 25% trade skipping account for the possibility of selection bias. I don’t know the answer but I think Nick can answer that question. My guess is that you can still have significant selection bias despite the results of MCS testing.

[LEONARDZIR]

Scott,
I think this answers your question. I ran my system with max 20 positions and had all signals traded on 86% of days, and 77% of all trades taken. When I ran the system with 40 max positions 95% of days all signals were taken and 89% of all trades were taken. Obviously the tradeoff is lower CAR.but a more reasonable chance of negating selection bias. So Nick’s adaptive positioning allows me to increase the frequency of trades and still have reasonable success of tackling the selection bias issue..
I agree selection bias is probably a bigger issue MRV swing. I just started trading an MRV system with max 20 positions at 10% per position. There are frequent days when I am holding 10 or more positions and have many more signals with potential trades that the system can take..

[LEONARDZIR]

Scott,
I was playing around with the usual culprits on my MOC system ;like universe, stretch and degree of pullback all the time trying to keep 2:1 leverage. but it wasn’t until I could put on at least 40 positions that I could get reasonable CAR but get reasonable signal/trade and percentage of days with all signals taken. The only quantification I can give you is that at 20 positions at 10% per position my CAR was a little over 40% and with 40 positions at 5% the CAR was about 23% so I assume I will get somewhere between the two.
Len

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