No changes in signals nor trades.
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No changes in signals nor trades.
[QUOTE=manucastle;23600]Hi PdP,
I take it you will be closing the XLY long position at the open.
Should the ATR(3) of TQQQ be 2.138 ?
Also, would it be possible to publish a running total of the equity trend of the model when you are able ?
Thanks in advance.
Trev[/QUOTE]
Hi PdP,
Regarding the 3rd point, are you able to provide a running total of the equity trend of your model from time to time ?
Trev
No changes in signals nor trades
I have exported the equity and draw-down data from my application into excel. This is just the rough data. I publish it here without large makeup.
If one looks at it at first glimpse, the current draw-down is long and very huge. Since May 2012 there have been 4 consecutive negative months. This is somewhat painful. Fortunately my NoFear measures have prevented larger draw-downs.
However, if one looks at it as a whole, then it is easy to see that most of the times the strategy does perform quite well.
Since January 2010, there have been 24 positive months and only 8 negative months. That is a ratio of 3:1. The average result of the positive months is 12.18% where the average negative month is only -2.79%. 16 months where above the monthly median of 7.0%. That is 50%
Since January 2010 there have been 77 positive weeks and 42 negative weeks. That means that 65% of the weeks have ended positive. The average positive week is 4.08% where the average negative week is only -1.40%. 70 weeks where above the weekly median of 0.17%. That is 58.8%
I hope this will answer the questions that Trev still has.
Any feedback is always welcome.
PdP
[QUOTE=pdp-brugge;23658]I have exported the equity and draw-down data from my application into excel. This is just the rough data. I publish it here without large makeup.
PdP[/QUOTE]
PdP - Great numbers! Are they based on actual trading or do they come from back testing your strategies?
Sorry if you disclose this before in the thread - The two kids are still out of school - so I am a bit delayed in reading all threads.
Ernst
Hi Ernst,
The results are achieved through back testing. Personally I have followed this strategy with real trades since approx 6 months.
I have published several papers regarding this strategy. The latest one is this:
PdP,
FYI, I went back to the beginning of this thread and tried to re-download the first few papers (I read them but cannot find where I saved them) and the links are now invalid ("Invalid Attachment specified. If you followed a valid link, please notify the administrator")? Did you take the attachments down or is it an issue with the site?
Thanks,
Harry
Harry,
Here is my first paper published March 3
The XLB model is now in cash. It has been since the close of the 13th but because of a technical problem with the EV data I did not get this change of signal until Saturday morning. The XLY model is also in cash.
Since the remark last Friday of Pascal concerning the 20DMF current "neutral" status, I am considering the 20DMF (for my filters) as being "long". Because of this attitude-change I am going to open a new trade in UXI. The XLI model has been in "Bought" status since the close of September 6. I did not take that trade at that time because my back-test statistics learned me that following a "bought" trade in XLI is not profitable when the 20DMF is in cash. Now that I consider the 20DMF to be in forced long status I will follow the "bought" signal of the XLI model.
Please notice that I have placed the 20DMF in status "long" only for my filters and that this is my interpretation of the current market situation after the launch of QE3.
The trades in TQQQ and TECL are still on.
No changes in signals nor trades