Great!
Now the billion dollar question: when???
Just teasing...
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Great!
Now the billion dollar question: when???
Just teasing...
[QUOTE=pdp-brugge;21439]Great!
Now the billion dollar question: when???
Just teasing...[/QUOTE]
Why not now?
[url]http://www.effectivevolume.com/content.php?1054-20DMF-Real-Time-View[/url]
[url]http://www.effectivevolume.com/content.php?1055-gdx-rt[/url]
Trader D
wow!
is this official?
Hi Pascal,
GDX/RT MF dipped to -1.75% on 3/14 (intraday low price was $49.69). Since then MF is making higher highs with price making lower lows. MF just crossed 0% upward and price is slightly over the 3/14 intraday low. Would you interpret the entire period from 3/14 to now as accumulation by large players?
Trader D
[QUOTE=TraderD;21452]Hi Pascal,
GDX/RT MF dipped to -1.75% on 3/14 (intraday low price was $49.69). Since then MF is making higher highs with price making lower lows. MF just crossed 0% upward and price is slightly over the 3/14 intraday low. Would you interpret the entire period from 3/14 to now as accumulation by large players?
Trader D[/QUOTE]
Yes. I believe that these are deep pockets that accumulate for the longer term than most of us.
Pascal
[QUOTE=Pascal;21454]Yes. I believe that these are deep pockets that accumulate for the longer term than most of us.
Pascal[/QUOTE]
I would also interpret that the MF detected “smart” large players starting to cover short positions from the 3/14 intraday oversold level and accumulating for LT positions yesterday and today with the cross over the average MF.
Billy
[QUOTE=Pascal;21454]Yes. I believe that these are deep pockets that accumulate for the longer term than most of us.
Pascal[/QUOTE]
Thanks, Pascal. That immediately begs the question - if the large players are gearing up their positions for a longer-term uptrend than our swing trading intent, wouldn't that subject us to more whipsaws and being knocked out of positions while the large players enjoy the luxury of optimizing their positions' average costs? What else could we possibly do to circumvent that?
Trader D
[QUOTE=TraderD;21456]Thanks, Pascal. That immediately begs the question - if the large players are gearing up their positions for a longer-term uptrend than our swing trading intent, wouldn't that subject us to more whipsaws and being knocked out of positions while the large players enjoy the luxury of optimizing their positions' average costs? What else could we possibly do to circumvent that?
Trader D[/QUOTE]
Doron,
Why do you think it would be different this time? It always happens that way and the models have been developed with backtesting and statistical observation of the way it happened in the past. No model can be successful all of the time and some disappointing losing trades always come along the way. But objectivity for optimal LT performance forces us to follow the model rules to circumvent guessing or fearing subjective and emotional interpretations.
Billy
[QUOTE=Billy;21458]Doron,
Why do you think it would be different this time? It always happens that way and the models have been developed with backtesting and statistical observation of the way it happened in the past. No model can be successful all of the time and some disappointing losing trades always come along the way. But objectivity for optimal LT performance forces us to follow the model rules to circumvent guessing or fearing subjective and emotional interpretations.
Billy[/QUOTE]
Billy, I'm with you on that one, of course. My question merely highlights the observation (made by Pascal) that the underlying theme the EV models follow have a longer perspective and simply "reacting faster" can back fire in the form of excess whipsaws. I'm not suggesting that there is a better solution, just that what's been done now is sub-optimal from a timeframe perspective. I hope that makes sense.
Trader D
[QUOTE=TraderD;21459]Billy, I'm with you on that one, of course. My question merely highlights the observation (made by Pascal) that the underlying theme the EV models follow have a longer perspective and simply "reacting faster" can back fire in the form of excess whipsaws. I'm not suggesting that there is a better solution, just that what's been done now is sub-optimal from a timeframe perspective. I hope that makes sense.
Trader D[/QUOTE]
If you aim at longer term perspectives, it’s probably better to focus on the EOD robot and not to worry about its occasional divergences with the RT model which can be more “noisy” and “whipsawing”.
Billy
For the official trade records of IWM/GDX models ... do you have a record of the initial stop for each trade ?
If so could you share a list of the trades including buy/short price, sell/cover price and intitial stop ?
I would like to do some calculations to get a better idea how much of my account I should risk on each trade.
I'll share my findings with the group as the question regarding position sizing has come up a few times lately.
Thanks,
Rembert
Rembert,
I do not keep track of the initial stops that were used in the trades. These stops depend on the volatility.
Pascal
Ok. If by chance there's anyone who has kept track of it ... I would appreciate it if you could share this info.
Rembert,
Hereby I attach an excel file that I once received from Shawn Molodow.
I have simplified it and kept track of the robot settings each day since their start.
A few days are missing. Those where days when I was not able to register the data.
Veel succes ! (I have a feeling that you are, as me, Dutch speaking)
PdP
[ATTACH]14190[/ATTACH]
Bedankt !
Here's the IWM data ...
Some notes :
[LIST][*]The first few trades are missing because I don't have the initial stop loss data.[*]Transaction costs are not taken into account.[*]Data is collected from various sources. I cannot garantee there are no mistakes in it.[/LIST]
[IMG]http://alfa.ddns.net:1084/images/iwm.jpg[/IMG]
For each trade I've calculated the R value. R is a measure of risk versus reward. It indicates how much you've gained or lost on the trade compared to how much initial risk you had on the trade. For example a trade with an end result of 2 R made twice as much as you risked on the trade. More info on this concept here : [url]http://www.iitm.com/sm-risk-and-r-multiples.htm[/url]
Next I've calculated some KPI's based on these R values that give an overview of the system.
Expectancy shows us the average R value of all trades. In other words what to expect from a new trade based on the history. More info on this concept here : [url]http://www.iitm.com/sm-Expectancy.htm[/url]
The standard deviation shows us how much a trade on average deviates from the expectancy. The lower this number the more consistent a sytem is considered to be.
SQN (System Quality Number) is a proprietary measure of the quality of a trading system as developed by Dr. Van Tharp. SQN measures the relationship between the mean (expectancy) and the standard deviation of the R-multiple distribution generated by a trading system. The better the SQN, the easier it is to use various position sizing strategies to meet one’s objectives.
[IMG]http://alfa.ddns.net:1084/images/sqn.jpg[/IMG]
I started this exercise to have a look at what position sizing strategy would be appropriate for the IWM robot. Based on the trade history we have to see the reality that the expectancy is negative which also translates into a negative SQN. Tharp does not advise to trade systems with a SQN below 1 and so there are no position sizing strategies or guidelines.
I sincerely hope the IWM robot evolves into a great system. For the moment I have to consider to stop trading the robot or use a minimal position sizing. I'll continue to monitor the statistics going foreward and will re-evaluate when there is an improvement.
[QUOTE=Rembert;22243]Here's the IWM data ...
Some notes :
[LIST][*]The first few trades are missing because I don't have the initial stop loss data.[*]Transaction costs are not taken into account.[*]Data is collected from various sources. I cannot garantee there are no mistakes in it.[/LIST]
[IMG]http://alfa.ddns.net:1084/images/iwm.jpg[/IMG]
For each trade I've calculated the R value. R is a measure of risk versus reward. It indicates how much you've gained or lost on the trade compared to how much initial risk you had on the trade. For example a trade with an end result of 2 R made twice as much as you risked on the trade. More info on this concept here : [url]http://www.iitm.com/sm-risk-and-r-multiples.htm[/url]
Next I've calculated some KPI's based on these R values that give an overview of the system.
Expectancy shows us the average R value of all trades. In other words what to expect from a new trade based on the history. More info on this concept here : [url]http://www.iitm.com/sm-Expectancy.htm[/url]
The standard deviation shows us how much a trade on average deviates from the expectancy. The lower this number the more consistent a sytem is considered to be.
SQN (System Quality Number) is a proprietary measure of the quality of a trading system as developed by Dr. Van Tharp. SQN measures the relationship between the mean (expectancy) and the standard deviation of the R-multiple distribution generated by a trading system. The better the SQN, the easier it is to use various position sizing strategies to meet one’s objectives.
[IMG]http://alfa.ddns.net:1084/images/sqn.jpg[/IMG]
I started this exercise to have a look at what position sizing strategy would be appropriate for the IWM robot. Based on the trade history we have to see the reality that the expectancy is negative which also translates into a negative SQN. Tharp does not advise to trade systems with a SQN below 1 and so there are no position sizing strategies or guidelines.
I sincerely hope the IWM robot evolves into a great system. For the moment I have to consider to stop trading the robot or use a minimal position sizing. I'll continue to monitor the statistics going foreward and will re-evaluate when there is an improvement.[/QUOTE]
Thank you for this analysis Rembert.
We have all noted for some time that the IWM Robot was not performing well.
No need to make a sophisticated analysis.
I have adapted the 20DMF direction model and the LT/ST edges in order to see if this situation can somehow improve.
We will give it a few more months to decide on what to do. By July/August we will have a one year experience and then we will see if it is worthwhile to continue or not. We might switch to the simpler MF RT models, with no specific entries/exists, but nothing has been decided.
Pascal
[QUOTE]We have all noted for some time that the IWM Robot was not performing well. No need to make a sophisticated analysis.[/QUOTE]
I'm doing this analysis for all the systems I have in use, including my disc trading to have a better understanding of them in general. And for position sizing.
[QUOTE]I have adapted the 20DMF direction model and the LT/ST edges in order to see if this situation can somehow improve.[/QUOTE]
I appreciate your efforts to improve the robot. Let's hope it makes an impact. No doubt the 20DMF protection so it doesn't get stuck in the wrong mode is an important one.
Rembert, thank you for posting, very informative.
I am wondering if you performed a similar analysis for the GDX Robot?
[QUOTE=Harry;22250]Rembert, thank you for posting, very informative.
I am wondering if you performed a similar analysis for the GDX Robot?[/QUOTE]
Not yet for GDX. Next week probably.
[QUOTE=Rembert;22251]Not yet for GDX. Next week probably.[/QUOTE]
For your ease, I attach a file with the GDX trade records.
Since inception, the EOD GDX Robot produced a return of 13.98%.
The EOD combined to the RT GDX MF with all the signals produced 25.10%.
The EOD combined to the RT GDX MF with only the strong signals produced 32.33%.
These results are not exceptional, but they are not catastrophic either (Buy and hold produced a return of -28.06%.)
This trading environment is very challenging to say the least.
Pascal
[ATTACH]14197[/ATTACH]
Dear Pascal,
Thank you for the updated trades and thoughts. Speaking for myself, a RT model is not much use unless a RT email alert system is developed. Even so, it still may be of no use as I spend a large part of my day away from the desk.
If time determines the RT system to be the way to go, I wonder if you have considered using IB or Tradestation and setting up an account where others can link and mirror your account's trades? With IB I believe you can earn a % profit (not sure about Tradestation)? Anyway, this may be an option for those not near the PC during market hours?
Let's have a look at the GDX robot. For an explanation of some terms used here I refer to my IWM robort analysis on the previous page. For some EOD trades I don't have the initial stop data so I replaced those by an average stop as calculated from PdP's Excel file. Regarding the real time models I did the same but used the average for all trades. This means the results will not be entirely accurate so take them with a grain of salt. I think the general picture will not be too far off regardless.
Let's start with the EOD model ...
[IMG]http://alfa.ddns.net:1084/images/GDX_EOD.JPG[/IMG]
Overall the numbers are an improvement compared to IWM. Based on the trade history GDX seems to have a positive (albeit small) expectancy and a low standard deviation resulting into a SQN number of about 1.65 (see previous post for SQN interpretation table).
The GDX model rules ensure that a position is often closed before the full R1 stop is hit or a high R multiple of profit is reached. This translates into a low standard deviation helping the model be more consistent. Tough the large initial stops makes it hard to get a high R profit resulting in a lower expectancy.
What about position sizing ? Well that's up to each individual. As a guideline one can have a look at these tables using the SQN number. Keep in mind these drawdowns are for the entire account and on top of any other mech/disc trading you might be doing.
[IMG]http://alfa.ddns.net:1084/images/DD.JPG[/IMG]
The compound return of the EOD GDX is 9.75% when putting one's entire account unleveraged into each trade. Of course in real life that's not how it works because taking that much risk on each trade carries a huge risk of ruin with it and can be called gambling at best.
Let's say you take a reasonable 1% account risk per trade. Since the model made 2.90R in total you would have made 2.90%. Combined with the IWM model's -5.25 R at 1% account risk per trade that would translate into a combined loss of 2.35%.
I realise I'm stating the obvious here but this is kind of disappointing. Especially since I like the concept and believe it can work. Another thing to note is the small sample size of trades we have at the moment which might not be a true representation of the robot's capabilities in all kinds of different market regimes. That being said I can't say the robots are a viable investment for me at this stage. I would like to see an improvement in the models KPI's first.
To end on a positive note let's have a look at the GDX RT results ...
RT (strong signals only) shows some promise with better results compared to the EOD model. RT with all signals performs about on par to EOD.
[IMG]http://alfa.ddns.net:1084/images/GDX_RT_SS.JPG[/IMG]
[IMG]http://alfa.ddns.net:1084/images/GDX_RT_AS.JPG[/IMG]
I couldn't agree with you more, Rembert. Great work and well stated. I also have a strong belief in the underlying concept of EV, but have had issues with the implementation recently. It seems to me that the effort to add complexity in the layers on top of EV should be spent instead on increasing the signal-to-noise ratio of the EV signal itself, so that those added layers become unnecessary. The primary issue I believe the development team is dealing with is absolutely fundamental: insufficient signal, insufficient samples to provide reliable indications, judged by statistical measures of robustness. Maybe the RT approach provides some of that, but like some others here I cannot take advantage of RT.
-Mike
Thank you very much, Rembert. The information you provided is quite helpful. I'm always keen to read your thoughts, as well.
[QUOTE=Rembert;22337]Let's have a look at the GDX robot. For an explanation of some terms used here I refer to my IWM robort analysis on the previous page. For some EOD trades I don't have the initial stop data so I replaced those by an average stop as calculated from PdP's Excel file. Regarding the real time models I did the same but used the average for all trades. This means the results will not be entirely accurate so take them with a grain of salt. I think the general picture will not be too far off regardless.
Let's start with the EOD model ...
[IMG]http://alfa.ddns.net:1084/images/GDX_EOD.JPG[/IMG]
Overall the numbers are an improvement compared to IWM. Based on the trade history GDX seems to have a positive (albeit small) expectancy and a low standard deviation resulting into a SQN number of about 1.65 (see previous post for SQN interpretation table).
The GDX model rules ensure that a position is often closed before the full R1 stop is hit or a high R multiple of profit is reached. This translates into a low standard deviation helping the model be more consistent. Tough the large initial stops makes it hard to get a high R profit resulting in a lower expectancy.
What about position sizing ? Well that's up to each individual. As a guideline one can have a look at these tables using the SQN number. Keep in mind these drawdowns are for the entire account and on top of any other mech/disc trading you might be doing.
[IMG]http://alfa.ddns.net:1084/images/DD.JPG[/IMG]
The compound return of the EOD GDX is 9.75% when putting one's entire account unleveraged into each trade. Of course in real life that's not how it works because taking that much risk on each trade carries a huge risk of ruin with it and can be called gambling at best.
Let's say you take a reasonable 1% account risk per trade. Since the model made 2.90R in total you would have made 2.90%. Combined with the IWM model's -5.25 R at 1% account risk per trade that would translate into a combined loss of 2.35%.
I realise I'm stating the obvious here but this is kind of disappointing. Especially since I like the concept and believe it can work. Another thing to note is the small sample size of trades we have at the moment which might not be a true representation of the robot's capabilities in all kinds of different market regimes. That being said I can't say the robots are a viable investment for me at this stage. I would like to see an improvement in the models KPI's first.
To end on a positive note let's have a look at the GDX RT results ...
RT (strong signals only) shows some promise with better results compared to the EOD model. RT with all signals performs about on par to EOD.
[IMG]http://alfa.ddns.net:1084/images/GDX_RT_SS.JPG[/IMG]
[IMG]http://alfa.ddns.net:1084/images/GDX_RT_AS.JPG[/IMG][/QUOTE]
Thank you Rembert. This is a great work.
Pascal
Nice to hear you guys liked my post. Regarding RT signals. Like some members have mentioned ... for many (including me) it's near impossible to execute trades in realtime. I don't know if it would hurt performance but I wonder if a possible compromise could be to send an e-mail alert like 20 mins before the close with the RT status at that moment. Members can then put a market on close order in with their broker if action is needed. This would also eliminate many potential intraday whipsaws by the RT system.
I believe that it is important to see how the model operates in today's environment.
Below is a MF figure for the past 500 days. Please focus on the distance between signals. You can see that on the right of the Figure, we have had many signals issued: the model is whipsawing. This tells us that the model does not react well in this environment when cheaper PM miners attract more money because of a "safe heaven" feeling of gold related investments, but then goes down fast the next day when gold reacts negatively to us US$ bounce.
[ATTACH=CONFIG]14263[/ATTACH]
I believe that the model will work again in a more appropriate environment. However, today's environment is what we are faced with (Tuning the model to use longer time frame will fix the most recent whipsaws, but will destroy past performance.)
Turning to the RT model, we can see even more whipsaws. The model avoids us being on the wrong side of the trade, but the many whipsaws render an execution almost impossible, even for me. We also all know that whipsaws can kill a portfolio, especially when one uses leverage.
[ATTACH=CONFIG]14264[/ATTACH]
When we look at the average returns of each normal "Buy" trades from the GDX MF, we can see that for the first days of trading, the drawdown is important, while the return is almost nil. The figure shown below tells to "give room to the trade." However, the RT model works on the opposite of that principle: it says "change the position because there is a MF directional change". Since December 22, the EOD strategy produced a loss of 4%, while the RT strategy produced a gain a little higher than 9%, but with 2.5 times more trades, whose execution itself might be an issue.
[ATTACH=CONFIG]14266[/ATTACH]
When we now look at the Bought Oversold signals, it is clear that these are better signals, with quicker payback and lower DD. However, we did not have such a signal since Mid of last year. A pretty safe strategy, but hardly a strategy that meets the need of an "active trader" like me.
[ATTACH=CONFIG]14262[/ATTACH]
This is the reason why I am sticking to my strategy explained earlier: at each normal buy signal, I buy a 2014 leap using 10% of a normal position. This allows to "give room to the trade," while limiting the risk to a small position. The danger is that if the market continues to whipsaw, I would be forced to buy new leaps at every (cheaper) buy signal and end up building a losing position which could stay against me if the sector continues to be negative for another 18 months, which I doubt it will.
Yesterday, while I was not at my desk, the RT system issued a buy signal. Maybe time for another leap, if I can it cheap today.
[ATTACH=CONFIG]14265[/ATTACH]
As a last word: you might have noted that most XLX models produce better trades when the signal is "Buy Oversold".
One strategy could be to Buy one position on a buy oversold signal of an XLX ETF and buy two positions when this signal is in the same direction as the 20DMF, but trade short only when the 20DMF issues a short signal.
For such a strategy, an E-mail alert system in RT seems appropriate, with a confirming e-mail 20 minutes before the close.
Anyway, something to think about.
Pascal