[TimothyStrickland]

Thanks Rob,

This system trades the NQ 100. I have gotten some good performance now, just putting the finish position sizing touches on it.

[TimothyStrickland]

Way too much. Some of the drawdown was coming from the concentrated positions and the 2nd was coming from the dotcom bubble which Nick told me not to put to much weight on. the ADX(dur) that Julian mentioned also seems to help.

[TimothyStrickland]

Rob, that is a good point. I thought I had written that down somewhere but I did not. 9 years seems better for this system. The in sample size just isn’t enough trades to really get a feel for what it can do. Then when I open it up to the broader time frame the MaxDD is tremendous. I’ll try a larger sample and also mess with my position sizing, haven’t touched that aspect yet.

I haven’t played around with the filter so much yet, I wrote that down. Mostly it has been volume filter, rate of change lookback, gap filter and price filter settings.

[TimothyStrickland]

My In sample data performed far better. 2010-2014. 27% CAGR and only 24% DD, very very close to what I would like to see.

[TimothyStrickland]

A good portion of the drawdown was coming from using so few positions, the system seemed to be too focused. Lower returns but the drawdown did improve quite a bit

[TimothyStrickland]

Got up to 36% CAGR with a Max DD of 62.7% HOLY MOLY!

[TimothyStrickland]

With Nick’s help I am getting further along, system is getting better results, now tampering around to see if I can get the drawdown to acceptable levels.

[TimothyStrickland]

Sorry about that Nick! Let me make sure the settings are how I’m running them and I’ll send it too you.

[TimothyStrickland]

I’m not sure if I’m doing this right but if I test the system using the dropdown under the filter section and select “Nasdaq 100 current and past” and also enable my Survivor-ship historical watchlist to be set as Nasdaq 100, it breaks the system completely, almost no signals.

[TimothyStrickland]

Nice Julian. That helped. Reduced my system performance only by 2-3% but reduced the max system drawdown by 10!

[TimothyStrickland]

I’m watching Nicks momentum video again as well to see if I can come up with more ideas. This is the early stages right now, I have not done rigorous testing on it yet, monte carlo etc. I’m just trying to figure out what parameters produce some decent results and which ones do not.

[TimothyStrickland]

I’ll give that a shot, thanks!

[TimothyStrickland]

Gotta figure out a way to reduce my drawdown. My in sample period was 2010-2012.

[TimothyStrickland]

My first system using rate of change, index filter. Rotational system.

Still trying to improve but at least I know I can get some decent results!

[TimothyStrickland]

Thanks Julian, good advice. I will keep that in mind, getting more familiar with the code, will probably take me more than a couple of weeks but that’s fine with me. I plan on this being a long term thing for me.

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