[TrentRothall]

Thankyou that might help me also! Frustrating at the moment!

I am getting an error msg saying “no security definition has been found for your request” will keep hunting!

[TrentRothall]

Thanks for that Said will keep those points in mind, and let you know how i go. At the moment i am finding increasing frequency is not necessarily as profitable if the extra trades are half as profitable as the main ones.

Tues 22.3.16

no entries or exits

1 Exit signal
4 Buy signals

1 Open position

[TrentRothall]

This is my original system on XAO – no index filter

This is the ‘Hybrid’ syystem only taking quality signals when the index is down

Looks better so far returns are the same exposure drops – about 12% less trades

[TrentRothall]

When I was combining 2 MR systems together I noticed that when a trade triggers that met the conditions from both system 1 and system 2 those trades tend to be of a better quality with a higher win rate and profit per trade. But when ran like this the lower trade frequency hurt returns

The 2nd system that I added to my main system doesn’t have as high CAR as my main system, one thing that appeals to me out of it is that it seems to be a bit more consistent in the leaner years. I.e in 2008 it returned around 15% where my other system was around 5%.

Because my system doesn’t use an index filter I thought I might be able to use my main system when a normal index filter is up but once the index turns down then take the higher quality signals (signals from both system 1 and system 2)

This is my main system run only when the index is DOWN

This is taking only the quality signals that come from the combined system 1 and 2 when the index is down.
This does 30% less trades
The ave trade p/l per trade is 2.5% compared to 1.67%
CAR is also higher just

[TrentRothall]

Mon 21.3.16

2 Exits
0 Entries

3 Pending entries

2 Open positions

Trying to get the IB DDE to work through TWS, keep getting an error message but i haven’t spent too long on it yet.

[TrentRothall]

What do you do in that situation, 1 year ago if you built the system it would have looked good. Does that recent drawdown make it no good now? I imagine you would be stressing once your DD went below 10-20%

[TrentRothall]

Sounds like a good idea.

I should be able to make time whenever – i am pretty flexible

Trent

[TrentRothall]

Yep got it, thanks for that Said

[TrentRothall]

I noticed this

Quote:

It should be well noted that simulated trades during bootstrap are performed sequentially. If your original trading system traded multiple positions at once (so some or all of the trades are overlapped) it may result in smaller system drawdowns being reported by bootstrap test, because drawdowns from individual trades would occur sequentially (not in parallel as with overlapping trades).

Basically it is only useful for systems with 1 position at a time??

[TrentRothall]

Yeah ok

With our trade skipping MCS if you have the skip set at say 10% and you have 10 days in a row with 1 trade each day. 1 of those trades will be skipped wont it? even though there is no selection bias going on.

So the Amibroker MC wont skip the trades just shuffle the trades when there is more entries than open positions?

is that right?
Thanks

[TrentRothall]

Friday 18.3.16

0 Entries
1 Exit

2 Pending exits
6 Pending entries

will be 2 open positions

System Weekly Wrap – to date

8 closed trades

6 wins
2 losses

A few more entries this week with a few pending exits. Trading MR system I expect fairly quiet times with the lower exposure. Hopefully won’t be far off trading it live.

Got out just in time here on HFR – I had a feeling it was going to pop one way or another

[TrentRothall]

I wondering if anyone uses the built in Monte Carlo Simulator in Amibroker for anything useful?

[TrentRothall]

Thursday 17.3.16

1 Entry

1 Exit signal
Will be 4 open positions

4 Pending

[TrentRothall]

Wednesday 16.3.16

1 Exit
0 Entries

4 Open positions
16 Pending

[TrentRothall]

Thanks Nick.

Tuesday 15.3.16

3 Entries
0 Exits

1 Pending Exit
15 Pending Entries

Will be 4 open positions

A bit more action today which is good, would still like a big lump of entries to ensure the explorations track the trades properly.

ARF bucked the trend today with a nice bounce to trigger a exit tomorrow morning. Nice and quick in and out hopefully

[Author]

Posts