nibor100
1,045 posts
msg #139510
- Ignore nibor100 |
11/26/2017 1:00:40 PM
@shilllihs,
I believe that the results that Kevin has posted for his latest XIV Trading System is based on fixed equity per trade and a portfolio size of 10.
The Stratasearch manual defines it as:
Fixed Trade Equity: All trades are entered with exactly the same cash amount. If
sufficient cash is not available to enter a position, the trade will be bypassed.
Just for grins and assuming that means each trade his StrataSearch backtest took was for $10K, I ran a very hypothetical compounding trade calculation in Excel based on the completed 931 trades with the reported avg return of 4,51%,
It only takes about 890 trades to get the equity above your $5M number. (Isn't compounding great with a winning system with low drawdowns)
If I use 930 trades it turns into $6M.
Enjoy,
Ed S.
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nibor100
1,045 posts
msg #139511
- Ignore nibor100 |
11/26/2017 1:31:47 PM
For those trying to code these SS filters into SF, you may find some help/ideas by referring to Kevin's post of Sep 2016, "a New ^VIX Trading System" where he provides some similar SS filters code and how he coded many of them for use in SF.
Ed S.
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mahkoh
1,065 posts
msg #139512
- Ignore mahkoh |
11/26/2017 1:32:55 PM
" the way OneClick systems run will look at market, sector, and stock as different entities, even if as in this case they are all the same. It is to allow for more complex sectors to be analyzed in ways SF cannot do."
The sector code looks like this:
sector($cursector, close) = sector($cursector, high(close, @eval)) and
sector($cursector, mom(close, @days)) <> sector($cursector, high(mom(close, @days), @eval))
Whereas the stock component code is:
close = high(close, @eval) and
mom(close, @days) <> high(mom(close, @days), @eval)
If the symbol is the same as the sector then how would it be different?
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Kevin_in_GA
4,599 posts
msg #139516
- Ignore Kevin_in_GA |
11/26/2017 4:51:24 PM
@mahkoh - it is not, but to SS these are two different strategies. SS does not care if the sector and the single stock are the same, it simply sees them as two distinct entities. Hope this helps.
In the end, does it matter? The filters are fully coded and whether or not they could be simplified, they are still viable and work fine.
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Kevin_in_GA
4,599 posts
msg #139517
- Ignore Kevin_in_GA |
11/26/2017 4:53:27 PM
@ron22 - not interested in converting these into SF code. That is why I gave you the complete filter code set, and provided the link to the free and final version of Stratasearch. It is incredibly simple to get this up and going on your own.
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shillllihs
6,047 posts
msg #139529
- Ignore shillllihs |
11/27/2017 1:39:42 PM
Nibor, very interesting stuff.
Kevin, question remains, how this will perform in a bear market and if you would really ride out the sideways action from late 2014-2015 for 7 months.
Sometimes the biggest obstacle is ourselves.
But by any token, great work.
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mahkoh
1,065 posts
msg #139532
- Ignore mahkoh |
11/27/2017 6:28:26 PM
I guess you're right. Reminds me of something Pete once suggested: To just use all trading rules at your disposal, if they don't produce they will not appear in the results.
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tennisplayer2
210 posts
msg #139534
- Ignore tennisplayer2 |
11/27/2017 11:23:27 PM
Is anyone else having problems importing data from google tonight? SS stops working during the import. Thanks.
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sandjco
648 posts
msg #139536
- Ignore sandjco |
11/27/2017 11:33:44 PM
Kevin...thank you for sharing. You could have kept it; but you've chosen to share.
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Kevin_in_GA
4,599 posts
msg #139542
- Ignore Kevin_in_GA |
11/28/2017 8:11:43 AM
The value of these systems does not change for me if I share them with others - the incredible liquidity of XIV means that there is basically no impact on pricing regardless of how many folks here trade the same trades at the same times.
The real value for me is that I can help others better understand how valuable tools like SF and Stratasearch can be in their trading, and that the best approach is to build and rigorously test SYSTEMS rather than just eyeballing trades from filters that only describe entries but not the required exits as well.
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