[nicBecker]

So again…its been a few days between updates but have made a bit of progress with my system. I had Nick have a look at my system and he flipped my entry criteria to the opposite end of the spectrum and added on a failsafe exit. This smoothed the equity curve regarding the 35+% drawdown to a more manageable ~17% drawdown and bumped the annual return +another 2-3%. With Nicks suggestion of adding a time based filter I ran the system and popped the results into an excel spreadsheet, then broke the returns down on a ‘days in trade’ basis – this showed that on average, trades held up to 3 days were ~70% positive however once they were 4+ days open this average dropped to ~20%. So changing the looping coding here to a sell when LBIT is 3 days has again added another 1-2% and also reduced the drawdown. So currently ~25%annual return with a ~13% drawdown. Nothing exceptional but maybe a bit closer to something more workable.

Still when running the system to show all possible trades I end up with 65000 possible trades over a 15 year period. Using current position sizing of a 10% allocation and no margin I roughly end up with approx. 10,000trades over that period. This would suggest to me there is still some room to not enter some of the negative traders or to try and squeeze some more out of the positive trades.

[nicBecker]

Hi Scott,

I will have a look over the coming days as I have to work tomorrow onwards for a few days. I have run the system using say, larger then normal equity and a low % allocation and maximal open positions to try and see how many trades are possible before position sizing and ranking. There is definitely some room to move with additional parameters.

More out of interest would be to find out why over recent times performance has waned relative to 2000’s.

Thanks

[nicBecker]

Julian….returns relative to drawdowns :woohoo:

I presume being market on close your volatility or drawdowns would naturally be quite low. Do you find all your systems have similar return/drawdown profiles or do they support each other to create the end result?

My systems would be purely be cash only with nil / minimal margin.

I think I have some work to do.

thanks

[nicBecker]

Thanks Glen!

Not sure if you have the data going back till 2000 but that would be impressive if you’re getting similar results. I thought my results were not too shabby up until around 2013 (not sure what the annualized return is but probably high 20’s. I guess at the moment I have kinda rationalised that away on the sense that post 2010 markets may have behaved a bit different than prior – ‘the death of mean reversion’, lower returns on value funds vs growth funds. So i thought that would align itself with Nick’s thoughts of a combination of strategies – there would be times were mean reversion may under-perform and times when trend following would out perform.

I don’t really have a return profile that i’m after – obviously greater than a passive buy and hold post expenses. I’ve always been under the belief that ~15-20% p.a. is something to aim for, but maybe that’s a bit naive. Those backtest results were in the R1000, cash only, and using a 10% / 10position allocation. Again, i would have thought having only 5 positions active would increase your potential risk of a drawdown.

How would I have felt trading it? with much envy compared to your last 5 years!

thanks for your comments

[nicBecker]

So its been a little while since updates. I’ve finished going through the theory section and have been playing around with a mean reversion based system.

Essentially this one uses a z-score to find a value away from the mean. I think the results are not tooooo bad except for 2018 onwards. However I seem to be going around in circles ATM trying to figure a way to curb that level of drawdown.

[nicBecker]

My first “System” before staring at the computer screen for 10mins. Its a start

//Moving Average Crossover;
// 50 day and 200 day moving averages
//need to create a list of a system;
// i.e. entry, exit, position sizing, market, filters

FastMA = MA(Close, 50);
SlowMA = MA(Close, 200);

Buy = Cross(FastMA, SlowMA);
Sell = Cross(SlowMA,FastMA);

//============================================================
//Chart Plotting
//============================================================

Plot(Close,”Closing Price”,colorDefault,styleBar);
Plot(FastMa,”Fast Moving Average”, colorRed,styleLine);
Plot(SLowMA,”Slow Moving Average”, colorGreen,styleLine);

//Importance of coding settings, so i think SetOption and then I need a list of things to think about for these
//short cover is the first obvious one as the system wouldn’t run without me going into the settings for that one.
//I also need to go through chart plotting and indicators on the chart to see the buy and sell points.

[nicBecker]

Thanks Michael, that’s the plan, also a bit of accountability

[nicBecker]

😆 😆 Thanks for the heads up Julian

[nicBecker]

As for my first 7 days since enrolment I browsed through the section 2 content. I figured there would be content that I would struggle wish and other bits that would be easier so I wanted to find that harder content just so I didn’t get caught later on. Alas I found the looping section. So that has been the focus this week. I don’t have a programming background but have been working through the code line by line trying figure out what it is saying. I then copied the moving average crossover system and some chart plotting from other pages to help visualise what the code is saying and that has really helped. This section will be something that I will have to come back to a couple of times but it should be easier next time. As for the 3rd looping assignment I won’t worry about that one for a couple of weeks :sick:

This coming week I will pick another of the later sections and work through that coding and maybe attempt some of the earlier assignments.

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