Cycle strategy

Quote from annaland:

Hoo_doo,

Using the indicators you talk about on your website(trends, momentum, acceleration, market cycles), whats your profit/loss on average?

thanks
More...

Hello Annaland!

The performance obviously depends on the symbol and the time frame, but I'm attaching a copy of the strategy performance report from Tradestation. The performance report is from the same Euro chart that I outline on my site.

The performance report states that it is from 1996 until 2006, but my system doesn't actually start taking trades until 2000. This is due to the way that the indicators are calculated.

Also, keep in mind that this performance report is based on the idea that you are only trading one contract at a time and scaling your way up to 5 contracts.

Thank you for looking at my site! I really appreciate you taking the time and interest in my strategy.

-Hoo_doo
 
Does your performance report take into consideration commissions and slippage? Many times you can get nice looking results only to find they are false unless you estimate all costs accurately.
 
Quote from humble1:

Does your performance report take into consideration commissions and slippage? Many times you can get nice looking results only to find they are false unless you estimate all costs accurately.
More...

Right you are my friend!

However, adding in commissions has very little affect on my performance report. I can add in slippage and repost the results if you'd like to see them again.

Please let me know what slippage you would like to see and I'll add it in.

Thanks!

-Hoo_doo
 
hi bobby,

i've read that you add contracts up to 5 bars. why just 5 bars?
does it mean everytime you get a higher close you will add..and this just up to 5 times?

best karla
 
Quote from Karla.F:

hi bobby,

i've read that you add contracts up to 5 bars. why just 5 bars?
does it mean everytime you get a higher close you will add..and this just up to 5 times?

best karla
More...

I was wondering if anyone was going to ask about that ;-)

If you read through New Trading Dimensions you'll see that Bill Williams adds on "zone trades" up to 5 times. According to Bill, adding on after 5 bars becomes a little unreliable. Bill Williams also starts setting a trailing stop after 5 bars. I've tested the trailing stop and wasn't very impressed with the results.

The add criteria is as follows:

For a long, the AO and AC must be in the same direction and the close must be higher than the previous bar.

For a short the AO and AC must be in the same direction and the close must be lower than the previous bar.

-Hoo_doo
 
Quote from hoo_doo_one:

Right you are my friend!

However, adding in commissions has very little affect on my performance report. I can add in slippage and repost the results if you'd like to see them again.

Please let me know what slippage you would like to see and I'll add it in.

Thanks!

-Hoo_doo
More...

Slippage will depend on how your orders work in your strategy. and it will also depend on the time frame you are trading. Some multiple of the ATR for the time frame you are working in should give you a reasonable estimate. As ATR increases so does slippage on market orders. In real trading the slippage will float as volatility rises and falls.

My point is, you average winning trade is not much higher than you are verage losing trade and your winners run about 15% higher than your losers. I like to see average winners 2 to 3 times the size of losers to give the strat some room move before the expectancy goes negative.

It has also been my experince that most strategies fall flat on their face in real time trading no matter how good they looked in backtesting. I suspect this is because the market is too dynamic for a static strategy to work for long.
 
yes the markets are of couse dynamic and that's maybe one of the reasons why bill williams changed his style a bit.
in his last book he added a very subjective reversal bar to catch much better the shorttime trends today.
he said for pyramiding you always need some more bars and a fast swing market will kill your strategy.
if you average your entry your risk will go also higher.
but hoo-doo has the stats. so he should know what he is doing <g>

karla
 
Quote from humble1:

Slippage will depend on how your orders work in your strategy. and it will also depend on the time frame you are trading. Some multiple of the ATR for the time frame you are working in should give you a reasonable estimate. As ATR increases so does slippage on market orders. In real trading the slippage will float as volatility rises and falls.

My point is, you average winning trade is not much higher than you are verage losing trade and your winners run about 15% higher than your losers. I like to see average winners 2 to 3 times the size of losers to give the strat some room move before the expectancy goes negative.

It has also been my experince that most strategies fall flat on their face in real time trading no matter how good they looked in backtesting. I suspect this is because the market is too dynamic for a static strategy to work for long.
More...


Thanks humble1,

I agree with your assessment of back testing. I'm acutally watching this in real time on futures charts and trading it on stocks.

There are a couple of reasons why my average winners are smaller than my average losers.

1.) I scale in to the position. My winners get smaller as I scale in. This greatly affects the size of the average winner, but it adds to the overall profitability.

2.) My losers are generally only one contract since I obviously try to avoid the idea of scaling into a bad trade ;-)

As far as slippage goes, I'm looking at daily charts. I'm going to take your suggestion for calculating slippage and repost my results later today.

Thanks again for the help!

-Hoo_doo
 
Quote from Karla.F:

yes the markets are of couse dynamic and that's maybe one of the reasons why bill williams changed his style a bit.
in his last book he added a very subjective reversal bar to catch much better the shorttime trends today.
he said for pyramiding you always need some more bars and a fast swing market will kill your strategy.
if you average your entry your risk will go also higher.
but hoo-doo has the stats. so he should know what he is doing <g>

karla
More...

Thanks Karla,

I'm going to be reading Bill's new book when my friend finishes with it. I'm definitely interested in any new information that he has available.

A friend of mine is also buying Bill's home study course. I'm awaiting his verdict.

-Hoo_doo
 
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