Julian a slightly different perspective on hostwinds. The motherboard went kaput on my new trading computer. Luckily I had backed up all my mentor work and trading systems on the amibroker on the vps(also all my systems on Hotmail) continue to trade on the vps without a hitch.
Said, my code was testted with high>channel of highs as coded in the course not cross(price,channel).
Did mcs test 2006-2016 as noted above with ranking added and no significant change in CAR or DD., 13.4%,27%.
WTT does not seem as robust in US markets as rotation which has a higher CAR and more consistent returns.
Craig pointed me to the correct module to add ranking to the WTT when there are too many signals for capital. I used roc to rank. Ran the numbers for a single run and clear improvement with CAR at 16.4% from around 13% Looks more promising. Will run mcs on WTT overnite.
I ran MCS on WTT from 1/1/2006 to present, 1000 runs with 25% seed (because of selection bias) on Russell 1000 price limiters 1-10 with rules as written in Grail book.
Average Min Max
CAR 13.35 7.96 20.25
DD 25.6 36 18.82
#trades 551 522 583
These numbers weren’t as good as my rotation momentum system so I have been hesitant to trade this system and also concerned about selection bias. Perhaps ranking the stocks when there are too many signals for the amount of capital is the answer.
Said, how exactly do you include ranking in selection? For example let’s say you come to the end of the week and have capital to buy 10 stocks and the system generates 10 trades. Will you take all 10 trades or do you have ranking criteria that excludes some of them?
Also over the last 10 years what did you get for CAR and drawdown?
Said. Never thought about using a ranking to sort through the stocks..I have been hesitant to trade WTT because even with price limiters on Rusell 3000 there are still too many trades for the available capital.
Said, about the WTT. You mentioned that there were a lot of signals in the WTT this year. You also mentioned that you were “lucky” to have picked some really big winners and avoided at least one big loser. This raises the question of selection bias. Do you have any concerns about selection bias?
Said, a couple of questions about WTT. Your 11% return in September is pretty spectacular. I backtested WTT using Nick’s rules in his book and came up with a-1.5% loss in September for the WTT. Are you using different rules or did you optimize? Nick raised the issue of selection bias with the WTT. How have you worked around the bias?
