[TrentRothall]

If you actually are only using cash there wouldn’t be any issues i don’t think.

[TrentRothall]

I mght do some mcs testing tomorrow or the weekend over the 87 crash. Just hold 20 random stocks for 3 or 4 days over that period with 200% leverage and see what happens with the DD

[TrentRothall]

In the podcast he also mentions they test for ‘black swan’ events, ie you have a full portfolio of 20 stocks @ 10% then the index drops by 20% in a day.

Has anyone else looked into this or adapted their strategy for something like that?

[TrentRothall]

Inital testing is looking good Julian. What’s interesting is that my current system is sitting at around 8%dd over the last 4 months and the ROC has added +15%!

[TrentRothall]

I found that quite interesting too, i am going to do some tests tomorrow. Will let you know what i find.

Are you using ROC as the longer term stock filter instead of a MA?

[TrentRothall]

Not exactly sure what you mean

[TrentRothall]

Scott McNab wrote:

I may be doing it incorrectly but I do it with fixed to remove compounding

That’s correct if you want to know the daily profit/loss in dollar terms per $10,000 position for example. Where if you have compounding on you look at the figures in % terms.

[TrentRothall]

I’ve found that taking less trades can be beneficial if you are eliminating trades that have little or no edge. The hard thing is finding the trades that are not doing what you expect, out of a back test with 1000’s of trades. That’s where adjusting the stretch (or a similar tweak) can come in handy. You are better off doing less quality trades than – like Nick said the other day, taking trades which are just noise.

So there might be something with a index filter or MA that may help, even though you have probably tried a lot of different things by the sounds!

[TrentRothall]

Hi Brent

Have you tried extending the “stretch” to minimise selection bias? This will probably help enlarge the average win size too.

I haven’t done extensive moc testing as yet, but i haven’t got anywhere near a 70% win rate either..

[TrentRothall]

Thanks Maurice,very handy!

[TrentRothall]

This might be a topic for a new thread but regarding selection bias..

In a MR system is selection bias as important? the scope for potential gain/losses in drastically reduced when only holding a day, as opposed to trend following where missing 1 or 2 trades could ruin a year. As long as a good number of MCS is done and the spread of results is within your risk tolerance does it matter if the system can only take 50 or 75% of trades?

Thoughts?

[TrentRothall]

Are you guys trading the r1000 or sp500 with your moc systems? I am in the process of stress testing a system and tentatively thinking about starting next year

[TrentRothall]

I think Nick may have written an article about it before and if i recall correct, it was almost random..

[TrentRothall]

It’s almost like the when the Aus market gets some unexpected news first without the US hinting what direction to go it just panics and says “wtf do we do – SELL” then the US comes in and pull in back into line.

[TrentRothall]

Where’s the xao opening gap down when you want one???

[Author]

Posts