Quote from bwolinsky:
I started using my new pairs model with the price physics system on the last trade.
My old model took a 5% loss versus a 1.3% gain in the new one.
Pretty big difference.
The model is really only starting right now, but there was a trade I executed $1.25 above the last ask in SQQQ in the morning and this added an immediate 5.25% loss to the account. Other than that I see the new pairs model took a profit on the last trade as did my Covestor account so from here on out unless I get an exit signal from my price physics system it should be pretty much the same with slightly better risk reward due to integrating both methods together.
Quote from newwurldmn:
This isn't answering the question. You are down 9percent. Is your model, the old one or the new one, supposed to be down 9percent over the same period. Is your -9percent inline with your model or above or below that?
You have 5 years of backtested data. So this should be a question you can answer in 10 seconds.
If your results are below the model it doesn't invalidate the model if you can discern why.
If you are below that it doesn't invalidate the model but could be execution related.
Quote from EPrado:
I just believe there are many ways to skin a cat.......and those how claim that only their way is right...well.....are full of it.
Your strategy sounds interesting.
Quote from EPrado:
If he was able to really make any kind of money trading what he trades, he wouldn't be hawking off his strategy on a website. He has a cute strategy for the person who wants to make a few grand a year.
Quote from bwolinsky:
Many of my trades have re-entries, so it's not always a straight bet with my pairs models. I haven't done a backtest on both of them but I do know its win percentage is 88% with a 0% or greater trade being treated as profit even if there is a little commission.
As far as the last trade goes, yes, that's how the model ought to perform, but accounting for every single trade there's only one that really threw me out and that was a morning buy where I lost 5.25%, so if that wasn't there, and I was actually following the system through its drawdown based on the pairs system versus exclusive price physics based trades that I wanted in on it's really hard to say where I ought to be. I know I ought to be at least 5.25% higher, just from that, but as far as monitoring both systems the pairs system is a snap. That's a 1 night ordeal, it's watching the price physics system make its trades during the day mostly, so I don't know.
Quote from newwurldmn:
So you can't compare your results with the reality.
How can you say the win percentage is 88 without a backtest?
Without these verifications how do you know the model is any good in reality? One trade doesn't make a system.
Quote from bwolinsky:
I know this is confusing.
I have two systems that I use: pairs and physics. The pairs model has a 0% profit or better on 88% of its trades. Physics has a 62-69% win percentage by itself. Combine the two drawdown gets cut in half, and return is actually greater. I know when I did backtest doing that the win percentage was in the high seventies versus 88% of straight pairs trading. The lower win percentage with physics has more to do with the fact that it tries to catch every single possible turn before it happens, and if you're nearly always in the market you have to have a second check by another quantitative analysis to determine whether you should trade or not.
Quote from newwurldmn:
But over the last four months are the results what you expected? Or are they better or worse?
Quote from bwolinsky:
After the last trade I don't think it really matters what I was expecting the first few months. Personally it was going as expected and my model will have a proverbial J-curve so common throughout all of finance.
I would say they've been worse than I expected, but that could be because the trend is changing to bull in NQ, but no trend for ES.
Oh, MAN! I just looked. We've changed trends from primary Bear to primary Bull. We'll see if we break the high of today, otherwise that's a lower high on its way to a higher low followed by what now will be a higher high.