No changes for today
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No changes for today
No changes for today.
Because we are stuck in a barely moving market, I will postpone daily updates until something effectively changes in my strategy.
Hopefully next week I will post a new paper that holds my improved strategy using 6 models.
PdP
pdp,
looking forward to reading about your latest work on your strategies.
have a nice weekend,
lisa
Last week I finished my renewed back-testing. I have used the warmest weekend of the year here in Belgium to write a summarisation. I post it here. As with my previous papers, I look forward to any feedback. I am still very eager to learn and improve my trading.
PdP
[QUOTE=pdp-brugge;23421]Last week I finished my renewed back-testing. I have used the warmest weekend of the year here in Belgium to write a summarisation. I post it here. As with my previous papers, I look forward to any feedback. I am still very eager to learn and improve my trading.
PdP[/QUOTE]
Hi Pdp,
Fantastic work !
I will follow along with keen interest !
Will you also show the ATR levels on the table ?
Trev
[QUOTE=pdp-brugge;23421]Last week I finished my renewed back-testing. I have used the warmest weekend of the year here in Belgium to write a summarisation. I post it here. As with my previous papers, I look forward to any feedback. I am still very eager to learn and improve my trading.
PdP[/QUOTE]
Very interesting work.
Did you find out whet the strategy has not worked well in the last few months?
Pascal
[ATTACH=CONFIG]15543[/ATTACH]
Pascal,
Good Question!
Until the beginning of March, I had a long series of large winning trades, my strategy was in "full-force" mode (Kelly Criterion +/-25% and NoFear at 0). See the trades marked in green.
From that point on the market went for more then 4 months nowhere. My strategy had a sequence of losing trades. The first bunch of those trades where made in "full-force" and let to a serious draw down. See the trades marked in red.
I have noted that the strategy does not cope well in a sideways environment. Perhaps (and this is a feeling) is following MF-based EOD signals not optimal for brief short trades. The largest negative trades where made around March 7, April 11 and May 5. This where brief periods where the market changed direction every few days. Nearly all of the losing trades between March 7 and April 17 where short trades.
[QUOTE=pdp-brugge;23421]Last week I finished my renewed back-testing. I have used the warmest weekend of the year here in Belgium to write a summarisation. I post it here. As with my previous papers, I look forward to any feedback. I am still very eager to learn and improve my trading.
PdP[/QUOTE]
PdP,
sorry to be a knucklehead, but i cannot find any XLX_Trades file on the website. could you or someone point me in the right direction?
thanks for sharing your work!
lisa
Lisa, you clock on the link shown by the arrow.
pascal
[ATTACH=CONFIG]15545[/ATTACH]
exellent, and thanks, pascal! told you i was a knucklehead.
lisa