[TimothyStrickland]

Wow! and here I thought running a system with only 5 stocks was aggressive lol.

[TimothyStrickland]

Yes, a red flag Nick picked up. We are analyzing the code now which checks out good. I have a meeting with him on Sunday to diagnose. He thought the results were a little TOO good.

After fixing some of the code my NDX Momo system is now
41.62% CAGR
-20.51% Max DD

I threw away the NDX aggressive system for the time being as its way over leveraged, I will use it again but probably spread the leverage over more stocks. It was using 2x leverage 40% per stock. If one stock gets wiped out the system would easily break.

[TimothyStrickland]

Re-tuned my systems (yearly) to the last 5 years and then re-stressed them, everything looks good.

NDX Aggressive: 70.1% CAGR 36.1% Max DD. (this will be a smaller account)
NDX Momo: 36.1% CAGR 18.9% MaxDD
MR HFT: 22% CAGR 19.1% MaxDD (This performs better on the S&P 500 Composite Index, experimenting with it now. Running all strategies for a full year before going live, using Nick’s systems until then.

[TimothyStrickland]

NDX Momo stats (conservative)

[TimothyStrickland]

Stats for NDX Aggressive strategy:

[TimothyStrickland]

Hmm, I haven’t spent to much time with dividends to know enough about how they work, I may have to take a deeper look now.

[TimothyStrickland]

Slide

[TimothyStrickland]

I sent this to Nick already but wanted the groups thoughts as well. To make a long story short, I am in the process of looking for more trading ideas to expand my knowledge and ran across someone who claimed the following:

97% and even 100% Win% lol
0% drawdown or 0.88% drawdown.

The person claims that these are the only traders they will accept, ones that have drawdowns less than 3%.

This is a single market system on GLD

[TimothyStrickland]

Yikes, if he would have just spent 9 months on 1 good system. *facepalm*

[TimothyStrickland]

Awesome Terry! I am sure your 20 years of experience will add a lot of value to us newer traders as well! Only been doing this for 3 years and I love it. Looking forward to seeing your results

[TimothyStrickland]

Yes, I started to sim it but the one I posted was a modified version so I will re-introduce it again. Unfamiliar with acronmyms you used here, RUI?

If I eliminate the tech bubble the system gives mid to high 20s for RAR and high teens for DD.

I did more testing last night and ran it over the Russell, Nasdaq, S&P 1500 Composite and I got similiar results, it performed better on the composite.

[TimothyStrickland]

Agree with Scott. Focusing on one system type is better as they are all very different and require unique thought processes. I started with a trend system as they have a lot less moving parts (code wise) to deal with. My mean reversion system was much more complicated to code. I had to reach out to Craig 3-4x during my trending system development for instance. For my mean reversion system I think I was sending Craig an email every day for a month (probably an exaggeration but you get my point).

[TimothyStrickland]

I only built the system over a 5 year period and then opened it to see what it could do over the long term.

CAGR: 35%
MAX DD: 31% (during tech bubble) 21% otherwise.

[TimothyStrickland]

Stats

[TimothyStrickland]

Nick, Craig, I honestly can’t thank you guys enough for helping me on my journey to be a profitable trader. I have never before been so confident in my system as I am now.

I am nearly done with my Mean Reversion system. It seems to be extremely robust. I would like to get more profit out of it but I feel as though it would be over optimizing. The worst year was 2018 oddly enough and the system does not have a single losing year. This is because of the amount of trades it makes, about 600-800 per year. It exploits its edge often.

Oddly enough the Out of Sample data most of the time performed better than the In Sample data. I used multiple years at several time periods and could not break the system. I did multiple variance tests on the system and also could not break it that way either. 2018 was the only anomaly but even the losses were not that bad.

[Author]

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