[MichaelRodwell]

Why do you think that was Nick? I would have thought he would have the knowledge or at the very least put these systems in front of someone that would call these errors out.

[MichaelRodwell]

Hey Thibaut,

Do a search for ‘Index Filter’ on here and should find some suggestions. There’s also a good article from Helix Trader (search for regime filter on google).

Probably not that popular but I’ve found success w a combination of EMA and MA.

Good luck!

[MichaelRodwell]

Looking inside my system – this has been awesome.

Every day I get to know more about my system and I’m liking what I see. I’ve been running back tests, optimizations using different universes etc and I can’t blow it up.

It ‘seems’ robust.

For example, the weighting for my momentum ranking gives better results if it’s more weighted towards my short term measurements however, any weighting on a scale of 1-100 provide a profitable, tradeable result within the scope of my goals.

Also, I’ve been able to bring my DD down to under 16%.

I’m trying not to develop a more more more mentality but while I keep improving I will keep experimenting.

CAR: 23.23
MaxDD: 15.75

[MichaelRodwell]

Hey Travis,

Can you elaborate on your position in SHY?

Thanks!

[MichaelRodwell]

I spoke w IB yesterday and they said the following:

– my SMSF account can hold AUD, USD or GBP

– currency conversation can be done via TWS trading and attracts commission

– IB will perform currency conversion automatically when buying stocks. Ie, if you hold AUD and are buying US the conversion is seemleas. When the stock is liquidated funds stay in USD until being converted back

[MichaelRodwell]

More tinkering and testing today has allowed me to squeeze out another point or so.

CAR: 23.23
MaxDD: 18.83

I’ve been running back tests on each year or data and in various blocks to try to get a feel for how it will be to trade on a monthly basis. Some years its like a bloody see-saw so I’m glad I did this bit of testing so I know what Im getting into. Even on the years where the system has a great run, it’s still a pretty bumpy ride.

Code check with Craig all cleared.

Next steps, more stress testing and a clean up of the exploration code.

[MichaelRodwell]

Thanks for the encouragement and ideas shared in the group. Nick has almost convinced me if I asked the same question (no matter how I pitch it) I’ll get the same answer – go find an idea and test it.

So, that’s what I did.

So many useless ideas and then one that works.

Today I combined the ADX indicator with my ROC momentum measurement and reduced my mDD.

My original goal was 20% CAR and 25% DD which I have now surpassed. All the testing and working on my system has been very beneficial in getting to know it. more to come…

[MichaelRodwell]

Hi Julian

Thanks for the suggestions!

I was just checking in to let you know I got some great progress using ADX. Glen P had mentioned it to me before but I couldnt figure out a way to use it. What I did was use a combination of ROC (short and long) with ADX to confirm strength. The main bang for buck I got was over 1% reduction in my drawdown. I’ll post my latest stats in my journal.

Thanks!

[MichaelRodwell]

Thanks Said. My current system holds 10 positions so that may be why I havent been able to improve much using a weighted measurement.

[MichaelRodwell]

Hey Julian,

On the last monthly call you spoke about your success using ranking. Can you some pointers or some areas to investigate? As with my index filter I have been going through as many ideas as possible but havent found anything that is making a really difference above a simple ROC/ATR.

Thanks for any info you can share!

[MichaelRodwell]

My system is ready to be broken. I’m interested to find out how long everyone took with their additional testing and trying to break the system.

I need to have confidence so I plan on doing a considerable amount of additional testing so I know my system like the back of my hand.

This morning I ran an optimization on my dual momentum measure and was very pleased to find a nice big flat spot in the parameters. Turns out I guessed and it was a pretty good guess – nice to know though.

As I type this I’m now investigating my dual MA index filter to ensure it’s robust.

Knowing that I will miss the end of this month is good because i wont have any trading signals for another month… more time to get confidence built.

[MichaelRodwell]

Easy does it for me Scott. Need the boss man to take a look… will report back if it passes the test.

[MichaelRodwell]

Just taking a moment to re-test with a simple MA… going back through the process of checking that everything I am using is actually making a difference. I’m using a short MA and long EMA. MA > EMA = indexup

Update: the index filter is making about 1.5% difference

[MichaelRodwell]

Nice to meet you Julie! Great goal! Good luck and let me know if I can help at all. I’m a little bit ahead of you and been keeping my journal on here so you can see my journey if its of interest. I got a lot out of reading about other people’s progress.

[MichaelRodwell]

Pretty happy right now. I’ve managed to get my system returning above 20%. :cheer:

Before I get ahead of myself i’ll need to get the code reviewed and also get Nick to take a look to make sure I’m not doing anything stupid.

I’ve made a few changes:

– Index filter is now using dual moving averages
– Dual momentum weighting shifted
– incorporated the worst rank held function
– changed universe to NDX

alrighty then… load up the account, let’s go! (just joking).

[Author]

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