[ScottMcNab]

Eye opener….trade frequency seems so important…for SP500 the same system has lower payoff ratio for same win rate and through compounding makes almost 3 times as much net….which reinforces thought that I should stick to US market. Does the greater avg. proft/loss fo SP500 simply reflect a greater inherent volatility in the US market that the system is then able to capture?
Thanks for posting Nick

[ScottMcNab]

Thanks Said..I think I will go through the rolling returns in more detail and scrutinize market conditions in periods of drawdowns to get a better feel for why they are happening. Its interesting that the end of 2015 and early 2016 were two very bad months for this strategy….if I had just started trading it back then I would have been suspicious that I had made some error in coding.

[ScottMcNab]

I would like to listen in but I dont get home from work till 7-7.30pm though so I’m out I suspect….I’d be very grateful if the main points could be posted please…or maybe an audio file for download.?..I know nothing about this technology however so I have no idea if this is a simple or complex undertaking.

[ScottMcNab]

Weekly system remained within the limit I had set at the start of the course (maxDD of 25%) with the additional stress testing…combining variance in both the open and close prices in the same test increased range of returns for both CAR and maxDD as the system has exits that use both close and open prices and the system enters on open…so while increase in range of returns was to be expected it was reassuring that the maxDD did not blow out too much

Time will tell whether I am actually able to remain calm and trade in a 25% DD.

Time to start paper trading weekly system…positionscore has ranked possible stocks and will “buy” top 25 on open on Monday 21st

Ideally I would have a system with lower maxDD to work along the weekly one …suspect daily system would have potential for limiting DD…the weekly system buys strength so I think will concentrate more on a mean reversion system that buys weakness

[ScottMcNab]

Spent the week trying to formulate a trend following system to sit along side the weekly momentum system I have…no success yet.

I listened to Nick’s interview on the podcast “Chat with Traders” on the way to work yesterday and realized that when I was stress testing my weekly momentum system over the last few weeks that I was doing it with the hope that it would survive..I had invested time in the system and it was the only one I had developed that worked so the last thing I wanted was for it to fail. I appreciate now that for me to have complete confidence in the system through the draw-downs when the system is out of sync with the market I need to have no doubts regarding its robustness. I will start paper trading in on the open on Monday. Sunday will be spent trying to break the system.

[ScottMcNab]

I have really struggled to get a system with metrics that I would want to trade on XAO. The frequency of trades with SP1500 seems to really help CAR. It may be worth trying some of your older versions on the SP (as they are) just out of interest ?

[ScottMcNab]

Will do

[ScottMcNab]

Hmm…only early days reading about this but on that basis 400-500 dollars for a custom API is probably a good investment

[ScottMcNab]

How do you arrange the backtest so that the system takes 20 trades one week and 200 trades the next week ? Do you use the historical maximum number of trades ? Does this reduce exposure ?
Many thanks
Scott

[ScottMcNab]

Be interesting to test:

PositionScore = Ref(ATR(10),-1)/Ref(C,-1);

[ScottMcNab]

Many thanks Darryl…much appreciated

[ScottMcNab]

Hi Darryl,
Is the limit buy order as follows ?

LE = ref(buysetup,-1) and low<=ref(low,-1)-ref(atr(10),-1)*0.5;
BuyPrice = ref(low,-1) – ref(atr(10),-1)*0.5;

Just interested as I tried to get this system to work for me but couldn’t ..along with many others…testament to my inability to code….
Cheers
Scott

[ScottMcNab]

Thanks Trent…thats been my approach to date too.
Cheers
Scott

[ScottMcNab]

Hi Trent…any websites/forums that you would recommend regarding MR systems ?
Thanks
Scott

[ScottMcNab]

Thanks Craig…thought I had it. I have not done the module with the interpretation window so I tried to verify it using what I had covered so far by adding:

Filter = Buy;
AddColumn(PortEquity,”Portfolio Equity”,1,colorDefault,colorDefault,100);
AddColumn(Close,”Close”,1.2,colorDefault,colorDefault,100);
AddColumn(NoShares,”Number of Shares”,1,colorDefault,colorDefault,100);

I got the same results for the number of shares in both the exploration and backtester for a number of random stocks but it seems I am barking up the wrong tree altogether and will let it go.
Cheers
Scott

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