[TaranveerSingh]

Nick, I did opt for reinvestments and was confirmed of the same by a rep. Will go through my trades once again.

[TaranveerSingh]

July results
R1000 trench 1 = -4.56%
R1000 trench 2 = -9.7%
NDX trench 1 = -6%
NDX trench 2 = -6.3%

Another down month which is just routine.
Feeling stupid/uncomfortable due to some problems I realized –
1) I was executing my strategy using Unadjusted prices so last month there was some shuffling.
2) Dumb question but how do I know if my dividends are being added to my holdings? I did select that option when I opened my IB account.
3) When I update my dividends in STT, I don’t think the dividends get added in the holdings. (I think as a result of this) my account balance is more than what STT is displaying. Or my STT book keeping isn’t perfect. I’ve been updating the trades correctly. Anyone who’s been through the same?

[TaranveerSingh]

Hey Glen. So that’s what I thought of at first but referring to five candles back, isn’t necessarily the close of the previous week right?

[TaranveerSingh]

Thanks Glen.
So I’m using last trading day of the week as
lastday = dayofweek() > ref(dayofweek(), 1); (faulty for execution but will be ok in backtesting)
buysignal = buycondition and lastday;

for the actual buy condition, I want it to be referring to the previous last day (so a week ago), not that the “lastday” was a bar ago.
So I think buy = ref(buysignal, -1) would be incorrect here. Can you advise something? I hope my problem is explained clearly. If not, please let me know, I’ll rephrase.

[TaranveerSingh]

June 2021 returns –

(All monthly rotational)

R1000 trench 1 = -1.61%
NDX trench 1 = -2.48%
R1000 trench 2 = -1.52%
NDX trench 2 = -3.44%

I am doing real good emotionally. There was a steep fall mid June but didn’t bother me much as I trust the index filter, Knowing that “there can’t be an uptrend” without me in it is reassuring.
Was waiting for a negative month to see how I feel through it and I’m glad.

[TaranveerSingh]

Scott, it just “happens” that I use unadjusted but I didn’t think of what you pointed out. Thanks as always.

[TaranveerSingh]

Thanks guys.
Tried many variants. While rewarding volatility destroys performance (dividing the ranking metric by positivecount/negativecount), punishing volatility doesn’t do much.

Something I didn’t expect to conclude –
There’s ROC/ATR ranking used in the forum. I thought this ATR represented volatility. But when you use ATR as a percent of close, it downgrades the performance. I feel what works in ROC /ATR isn’t the volatility part but the absolute price bit (it rewards lower priced stocks). Next I tested for ROC/C and that did increase performance compared to ROC ranking.

Naturally, tried reducing max price in the price filter but somehow it didn’t do much.

Out of curiosity, I also tested how my strategy fares if I reversed my filters (tried say CMA) to see if they mattered in the first place. Glad to say all of the filters are relevant.

[TaranveerSingh]

Amazing experience Tim. Lovely to know you kept at it. Not finding success in trading initially is really frustrating and the uncertainty is cruel.. Hoping to see you prosper even more mate.

[TaranveerSingh]

1) One of the smartest guys I knew in college shared how frantic he’s feeling now that equities are doing well (he’s buy and hold).

2) Shared the basics of how I trade, with the man who introduced me to mutual funds years ago. Given that he swears by mutual funds and buy and hold, he was way too shocked/impressed by how good trading considers risk more than buy and hold does.

3) Explained backtesting and stress testing to a data scientist friend. She comes from a family of stock brokers. Had approached her grandfather 5 years ago to learn trading from him (he denied). Now she’s explaining these concepts to her dad.

Needless to say, I feel grateful for where I am process-wise. Scary to think where I’d be without the course.

[TaranveerSingh]

Good luck Kate!

[TaranveerSingh]

May 2021 results:

R1000 trench 1 = +5.46%
NDX trench 1 = +2.93%

R1000 trench 2 = +4.93%
NDX trench 2 = -0.67%

[TaranveerSingh]

Makes sense. thanks

[TaranveerSingh]

Thanks Terry. That’s creative. Tested it out.
The results are similar. It did however reduce the trades significantly..

[TaranveerSingh]

Thanks Julian, Scott. Hope I’m only missing a Canadian drawdown.

[TaranveerSingh]

Will be testing for the following =>
buy = close above monthly R1
sell = close below monthly S1
(not a rolling lookback as is the case with MA).

I intend to keep just a few moving parts. If anyone could share any more suggestions, I’d appreciate it.

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