Search results

The current version of the system uses a trend-identification mechanism which is fine-tuned to CL. The patterns are also fine-tuned to CL. I did test on other markets using a more general trend-identification mechanism, in general the patterns are different market to market (even though, I...

Results for the week ending September, 13th: - 9 wins / 4 losses ; net -385. At least the win% this week is back above its long-term average. The system was caught long overnight Monday, resulting in a -2500 loss. CL has had an abundance of abrupt overnight moves lately, where...

Not having a stop doesn't necessarily mean not having an exit plan.

"Time Series Analysis" by James D. Hamilton is all you'll ever need in that area.

Build or buy is a decision most engineers struggle with ... it used to be called the NIH syndrome (Not Invented Here). The only reason to build, would be after trying to make work all buy options, and having an acute understanding of what it takes to build a better thing, than the ones...

Results for the week ending September, 6th: - 2 wins ; 6 losses ; 2 ~BE : net -1280 It was the 6th consecutive losing week. Really not fun.

The system changes its position only when it makes a trading decision opposite to the current position. No pattern => no trading decision => no position change Matching pattern => trading decision => position reversed if trading decision is opposite to the current position.

The system doesn't make any decision when there is no matching pattern (ie., it just keeps the current position as is).

From start of live trading (March-19) to July 3rd (P&L peak), my average net per trade (live account) was about 70% of the backtest value excluding 2008, on ~200 trades. Since July 4th (last 150 trades), my account has been in drawdown, most of the time less than 50% of the max historical DD...

I tried both simple-stop & stop-and-reverse ... stop-and-reverse was even worse than plain simple-stop. I suppose the explanation for it is, that whenever I have spotted a pattern with an edge, the system uses it to reverse. I am left to using stops which placement have no edge, whatever I...

Results for the week ending August, 30th: - 6 wins / 8 losses / 3 BEs : net -2625 The week had a good start (+3300 by Tuesday afternoon), then the system got caught short in the overnight spike-up (Tuesday -> Wednesday), reversed shortly after the top, and got another big loss right away...

drawdowns % of what? I would suggest using only $-values when you assess a strategy, as this is what's in your account, not % The most important figure when you evaluate a strategy is the avg net per trade (using a fixed position size). Of course, with stocks, you want to make that rather...

It takes many months & hundreds of trades to get some level of statistical significance ... this is why usually trading strategies are backtested on a period long enough to provide the desired level of statistical significance, from there you can use MonteCarlo simulations to define an envelope...

I think your number of trades is (too) low, and your max drawdown is (too) high. Let's say you start trading this strategy ... anyone will say "make your system stop 2 or 3 times its max historical drawdown". Best case, your max historical drawdown was 7200, worst case it was about 72000...

As an example, in the last couple of days, I have been evaluating different ways of making my system's trading decisions, using the same set of patterns, just working through conflicts differently. I have been evaluating 7 new ways of making those decisions, for the basic system (~ 5500...

Why bother manually backtest? No-one will ever trade real-time like it was assumed in a manual backtest. Lots of reasons for that, for example: - all types of breaks (lunch, bathroom, coffee) - all types of interrupts (tel., door bell, animals) - all types of distractions / loss of focus (you...

Jack, IMO, SCT isn't a tool, it is a highly sophisticated manufacturing plant ... ... take your 35 End-Effects as an example ... are they all identified through totally separate "tools", or do some of these use the same tool, just in different ways or settings? Cheers D.

Results for the week ending August, 23rd: - 6 wins ; 11 losses ; net -1855 Unrealized P&L on the open position is about +1450 at this time. Not a good week, Monday & Tuesday were particularly difficult for this system. I understand clearly why (in terms of PA) the system is in drawdown...

+1 I would add that not a single tool works if used in the same manner all the time. You'll have to study where & when to follow their signals, where & when to fade their signals, of course ignore the rest of their signals. Force yourself to work on thousands of datapoints (setups or...

My system CLAlwaysIn uses 24 patterns for its trading decisions ... those trade decisions are only taken at every trend-change (signaled by my PA-based trend-indicator). The current (and all prior versions) of the system, uses a fixed-priority scheme amongst the 24 patterns, and selects the...