| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 ... 23 24 25 26 27 ... 49 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #132234 - Ignore Kevin_in_GA |
10/30/2016 4:31:19 PM I don't want to turn this thread into a "how do you get XXX in Stratasearch?" discussion, so this will hopefully answer what you are asking and we can get back to the main topic. a. Your first set of results/stats is entitled 'Fixed Trade Equity-Portfolio Size 5' but I believe you only ran the 20 strategies on a single symbol VIX, so what does Portfolio Size 5 refer to?<< If you read the first post carefully you will see that even though there are 20 systems that could signal, it is uncommon that more than 5 do so at any time. Hence, the best utilization of equity is with a Portfolio size of 5.>> You can take multiple positions in the same ETF - portfolio size is the number of allowable open trades at any time. I looked at the max open trades (graph 2 in the first post) and it rarely exceeds 5. Therefor I advocate allocating your trading equity into 5 tradable "units" and trading each one based on the generation of new signals. If all 5 units are in play additional signals are ignored until a currently open trade is closed. b. Careful reading discovers a contrast between your stated first requirement of “Have a win % of 90% or higher” yet the first set of stats you provided only have an overall win rate of 86.7%. Did most of the individual strategies you picked have win rates of 90% and you had to pick a couple with less than 90% in order to have 10 long and 10 short strategies in your system? No, but that is what the results ended up as - I was a little surprised since each system should trade independently of any other and all should have 90% or greater win rates, but truth be told the overall performance is still exceptional at ~87% win rates. c. Further below in the section "And the absolute Number of Open...." ; you mention 20 slices and 5 units. Is a unit equivalent to a slice of investment funds?<< Yes, a unit is 1/5th of your trading equity for this approach>>. This was explained already, and again in answering your first question. d. Your out of sample test had a much lower win rate of 70.6%, leading me to wonder if you had first run the original test on the out of sample dates you would not have picked the same 20 strategies to follow. Especially since total gain for out of sample 10 year backtest was much less than double the total gain of the 5 year backtest. The much longer flat period of 299 days seems to be a bit of a shocker considering the nature of the VIX and how many different trading signals are present in the 20 strategies. It is rare that an OOS backest does as well as the in-sample dataset. The purpose is to see how the system does when faced with new data (it can be older data or new data as time goes on). The bottom line is that I wanted to be sure that recessionary periods (which were not included in the data used to construct the multi-system) were not detrimental. They were not, as a 70% per annum return indicates. If that concerns you, then I suggest not using the system. e. I can't seem to be able to add bold to any text in my reply either typing in the forum text box directly or pasting in from MS Word. how are you bolding text in your responses? HTML code can be written here to add effects to text. Use the following (I will write out certain symbols rather than type them since they would trigger text effect and not be seen in the post): to turn on a text effect such as bold, italics, or underlining start the section with the "less than" symbol, then type in B, I, or U, then the "greater than" symbol. That starts the effect. To end it, type "less than", /B, /I, or /U, then the "greater than" symbol to end the effect. |
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| nibor100 1,096 posts msg #132248 - Ignore nibor100 |
10/31/2016 2:09:19 PM Kevin, no reply expected, Thanks for being patient with all of my questions regarding your system origination post, which being about 2 months old to you, is only 4 days old to me as a new StockFetcher user. I definitely don't want a Stratasearch tutorial as I plan on doing a 30 day trial after I've used StockFetcher for a few weeks. I'm curious how it differs from Edgerater Pro. This is the phrase from your original post that kept hanging me up on the units/slices questions: "so you make the best returns just trading five units whenever ANY filter triggers" Using a rough approximation of your absolute # of open positions column chart it looks like following the 5 unit portfolio allocations would have lowered the total possible trades in the first backtest results by about 10%, whether that's good or bad only time will tell going forward... Ed S. |
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| Kevin_in_GA 4,599 posts msg #132256 - Ignore Kevin_in_GA |
10/31/2016 4:34:31 PM ... but doubled the size of each trade versus a portfolio of 10. If you are willing to concentrate your trades into a smaller portfolio of 1 or 2 you will achieve even higher returns but at a reduced Sharpe Ratio. |
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| Kevin_in_GA 4,599 posts msg #132258 - Ignore Kevin_in_GA |
10/31/2016 8:52:17 PM SIGNALS FOR TUESDAY 11/01/16 SELL TO CLOSE THE SINGLE LONG POSITION AT THE OPEN TOMORROW.
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| nibor100 1,096 posts msg #132276 - Ignore nibor100 |
11/1/2016 11:39:49 AM Unless the full backtest has been re-run for portfolios sizes of 1 and 2, I suspect greater returns are not guaranteed; due to the much greater # of trades that would be missed as a result of such small portfolio sizes. The odds of missing some of the larger gaining trades would probably increase. Ed S. |
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| Kevin_in_GA 4,599 posts msg #132290 - Ignore Kevin_in_GA |
11/1/2016 7:45:29 PM 3 NEW SELL-TO-OPEN SHORT SIGNALS FOR TOMORROW. NOW 6 OUT OF 10 SHORT FILTERS HAVE TRIGGERED. I WILL STOP ENTERING IN THESE NIGHTLY UPDATES AT THE END OF THIS WEEK - I WILL BE ON VACATION AND WILL NOT HAVE TIME TO UPDATE THIS. THE RESULTS FOR THE LAST TWO MONTHS SHOULD HELP PEOPLE ASSESS THE VALUE OF THIS STRATEGY, AND I HAVE PROVIDED ALL OF THE NECESSARY CODE FOR FOLKS TO SET THESE ALERTS UP ON THEIR OWN GOING FORWARD.
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| VenturaTrader 44 posts msg #132291 - Ignore VenturaTrader |
11/1/2016 8:32:40 PM Kevin, Thank you so much for your kindness and patience in posting this thread. I have been following your posts all along; the next step is to learn Stratasearch. Enjoy your vacation Bud! Mike |
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| tennisplayer2 210 posts msg #132298 - Ignore tennisplayer2 |
11/2/2016 6:53:36 AM Kevin, have a great vacation. Thanks for all the help with this strategy. God bless. |
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| dtatu 143 posts msg #132299 - Ignore dtatu |
11/2/2016 9:06:02 AM https://itunes.apple.com/ca/podcast/option-alpha-podcast-options/id932492307?l=fr&mt=2&i=377361177 Very enlighting discussion with Mark Sebastian ( Specialist in VOL products at Optionpit.com) -look for episode OAP 068 ( Oct 31) * what products to use, options to favor , etc. I found it helpful. |
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| gmg733 788 posts msg #132312 - Ignore gmg733 |
11/2/2016 2:22:17 PM @datut Thanks. I've been starting to dig into this. Very timely. |
| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 ... 23 24 25 26 27 ... 49 >>Post Follow-up |
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