I will close the long trade in UYM (XLB model). At the close yesterday this trade had a return of 2.59%.
I will open a new long trade in SMN because the XLB signal is now "Shorted Overbought".
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I will close the long trade in UYM (XLB model). At the close yesterday this trade had a return of 2.59%.
I will open a new long trade in SMN because the XLB signal is now "Shorted Overbought".
pdp,
my charts show completely different atr3 values than what you are showing in your table. for example, atr3 on XLB is .2925 on my chart. can you explain?
thanks,
lisa
Lisa,
Maybe I did not explain this enough.
The ATR that I display in the table is the ATR of the instrument that my back test environment uses for its calculations.
For the XLB model, I use UYM as instrument in the simulations both for long and short trades.
Logically a short trade can be perfomed with shorting that instrument or issuing a long trade with the inverted instrument.
My back test environment always goes short when a short signal is given.
The ATR in the table for the XLB-model is therefore the ATR of UYM (even for short trades).
I personally use a long SMN trade for XLB short signals. The ATR for this instrument/trade I calculate for myself.
I hope this makes it clearer.
PdP
pdp,
perfect, thanks for clarifying. my ATR3 of UYM is still slightly different at .6533, but close enough for me to follow along visually.
thanks again,
lisa
I use Metastock to calculate me the ATR values. In fact, I export all my stock quote data from MetaStock into my custom database.
I have noticed that the ATR calculation of MetaStock is a little bit different then when compared to StockCharts or other tools. I consider that difference negligible.
[QUOTE=lisa;23520]pdp,
perfect, thanks for clarifying. my ATR3 of UYM is still slightly different at .6533, but close enough for me to follow along visually.
thanks again,
lisa[/QUOTE]
PdP and Lisa,
Do you calculate your own ATR(3) or do you get it from a website ( such as Freestockcharts) ?
Trev
[QUOTE=manucastle;23522]PdP and Lisa,
Do you calculate your own ATR(3) or do you get it from a website ( such as Freestockcharts) ?
Trev[/QUOTE]
trev,
mine is just calculated by think or swim. i did check to see if it was automatically modified by the program but appears that it is not. actually, i just found the difference. my plain ATR3 gives a value of .6533 but the wilder ATR3 gives .7385. i'll change my screen to be the wilder atr to match pdp's system.
lisa
[QUOTE=lisa;23523]trev,
mine is just calculated by think or swim. i did check to see if it was automatically modified by the program but appears that it is not. actually, i just found the difference. my plain ATR3 gives a value of .6533 but the wilder ATR3 gives .7385. i'll change my screen to be the wilder atr to match pdp's system.
lisa[/QUOTE]
Thanks Lisa.
Just checked Stockcharts ATR3's and they folow closely PdP's.
Trev
no changes in signals nor trades
No changes in signals nor trades.
The 14MA of the S&P500 started to go down yesterday. This is one of the conditions for the VSTpro to go short. Nothing to be sure of at this moment but anything can happen.
I guess everyone is waiting for Uncle Ben to speak the right words...
[QUOTE=pdp-brugge;23510]Trev,
I do intent to review all the criteria I use on a regular base. The next time I will redo the complete study will probably be end of September. Now that my back test environment is setup (the programming is done) all it takes is changing the parameters and let the system run a couple of thousands simulations. When I say redo, I mean also evaluating if other XLX models become more interesting then the ones I have been using.
Of course I use data-mining techniques (I have been a software-developer of analytical accounting software in the past). I have been careful not to over optimize the system. Because my window of data is rather small (January 2010 up until now) the statistical evidence is also rather small. I hope over time this will improve simply because my database will grow. Because my equity curve has already had a serious decline, I have been quit honest. The equity curve has been going up again the last 4 weeks.
PdP[/QUOTE]
Hi PdP (and Pascal and Billy if interested),
I noticed this and would be interested in your thoughts and do you agree, strongly disagree with the writer :-
=========================================================
MarketSci Blog
--------------------------------------------------------------------------------
Backtests Ain’t Worth the Pixels They’re Written On
Posted: 29 Aug 2012 09:55 PM PDT
The most common feedback (by far) I’ve received about our proprietary strategies over the last 6+ years have been requests for backtested results.
My response has always been that I don’t release backtested results for our own strategies…ever.
Backtests are perfectly fine for testing, sharing, and discussing ideas; that’s more or less the only thing we do here on this humble blog.
But backtests should never be used to judge the efficacy of a black box you’re considering committing hard earned funds to.
I’m cynical. I’ve seen way too many examples of folks who sold based on backtests, only to fall woefully short in real-time trading. I’m sure you could recount your own share of horror stories.
The only thing that really matters in judging a strategy is actual, real-time, verifiable trading results. Everything else is window dressing.
If I could somehow guarantee that folks would see backtests for what they’re really worth: best guesstimates, guilty of the same cognitive biases that we ALL face and inherently curve-fit, I would release them in a heartbeat.
But I can’t guarantee that.
I know that readers’ eyes get wide when they see a sexy equity curve because even though I know I shouldn’t, mine do too.
So sorry, but I can’t in good conscience share backtests. Rest assured that they would be sexy, and your eyes would go wide, but that, like all backtests, they wouldn’t be worth the pixels they were written on..........
[url]http://marketsci.wordpress.com/2012/08/30/backtests-aint-worth-the-pixels-theyre-written-on/[/url]
========================================
Trev
Trev,
I can only answer for myself.
I know my system is not a BlackBox. I know what is inside it and I know the parameters that control the decisions to buy/sell with the proper position size.
I do not sell my strategy. I share my strategy with the members of the EV website just to learn and improve my own trading.
If someones want's to follow my signals it is entirely the decision of that person and I do not take any responsibility.
PdP
[QUOTE=pdp-brugge;23542]Trev,
I can only answer for myself.
I know my system is not a BlackBox. I know what is inside it and I know the parameters that control the decisions to buy/sell with the proper position size.
I do not sell my strategy. I share my strategy with the members of the EV website just to learn and improve my own trading.
If someones want's to follow my signals it is entirely the decision of that person and I do not take any responsibility.
PdP[/QUOTE]
Hi PdP,
Understood. Just throwing this into the mix. The forum's are VERY quiet and we need some alternative opinions to stimulate discussion.
I very much appreciate your input.
Trev:O)
[QUOTE=pdp-brugge;23446]Yep, I take all the trades after a stop-loss and if the signal is still valid.
Of course: the filters keep on playing.
Sometimes the filters force me to close a trade because the odds or not in favor to continue a trade once the filters states the signal is no longer valid.
An example: let's state that at a certain time a signal came to buy XLF because the signal in the XLX-files of the EV-website changes to "Bought. The filter for a XLF Bought signal is that Combo-MF may not be in Cash. If Combo-MF is at that time not in Cash, I will take the trade. In during that trade the Combo-MF goes to Cash, then I will close that XLF trade.[/QUOTE]
PdP,
From your comments above do your backtested results include all re-buys after an instrument is stopped out and the signal is still valid for re-entry ?
Trev
[QUOTE=manucastle;23544]PdP,
From your comments above do your backtested results include all re-buys after an instrument is stopped out and the signal is still valid for re-entry ?
Trev[/QUOTE]
PdP,
I would appreciate your confirmation of the above to help with my own testing.
Thanks in advance.
Trev
Trev,
Yes, my back-tested results are based on re-entry the day after a stop-loss was hit if the signal (with the appropriate filters) still is valid.
As a reference, I have made an excel with 3 tab-sheets. The first one "Raw Signals" are all the trades between January 4, 2010 and last Friday purely based on the signals. The second sheet "After Filters" are the trades after applying my custom filters (based on statistical reference). The third sheet "After Stop-Loss" are the trades after applying my stop-loss strategy. This last sheet has all the trades that in theory my strategy should/could have made if I had that strategy in January 2010.
PdP
No changes in signals nor trades
[QUOTE=pdp-brugge;23551]Trev,
Yes, my back-tested results are based on re-entry the day after a stop-loss was hit if the signal (with the appropriate filters) still is valid.
As a reference, I have made an excel with 3 tab-sheets. The first one "Raw Signals" are all the trades between January 4, 2010 and last Friday purely based on the signals. The second sheet "After Filters" are the trades after applying my custom filters (based on statistical reference). The third sheet "After Stop-Loss" are the trades after applying my stop-loss strategy. This last sheet has all the trades that in theory my strategy should/could have made if I had that strategy in January 2010.
PdP[/QUOTE]
Thanks very much Pascal.
Trev
No changes in signals nor trades.
No changes in signals nor trades.
The 14MA of the S&P500 has again started to go down yesterday. This is one of the conditions for the VSTpro to go short. Nothing to be sure of at this moment but anything can happen.
I guess everyone is now waiting for super Mario to do what he said he would do...
[QUOTE=pdp-brugge;23551]Trev,
Yes, my back-tested results are based on re-entry the day after a stop-loss was hit if the signal (with the appropriate filters) still is valid.
As a reference, I have made an excel with 3 tab-sheets. The first one "Raw Signals" are all the trades between January 4, 2010 and last Friday purely based on the signals. The second sheet "After Filters" are the trades after applying my custom filters (based on statistical reference). The third sheet "After Stop-Loss" are the trades after applying my stop-loss strategy. This last sheet has all the trades that in theory my strategy should/could have made if I had that strategy in January 2010.
PdP[/QUOTE]
Hi Pdp,
I am checking through your Excel sheets.
It is a fairly close run between "After Filters" and "After Stop loss". You will obviously be observing this difference as we go forward and I hope you can keep us informed.
Just for clarity I am taking "After Stop Loss" as "After Filters and After Stop Loss Combined". Is this correct ?
Thanks in advance.
Trev
Trev,
As I have stated in my paper, my stop-loss strategy is not meant to add extra gains but to create a controlled environment where risk is able to be measured and applied.
The ideal stop-loss levels are automatically calculated each day by moving the 250-day window one step forward. The optimal stop-loss levels are therefor based on the performance of each model during the last 250 trading days.
Yes, "After Stop Loss" is after applying my custom filters and then applying my stop-loss strategy.
PdP
The XLI model has a "bought" signal since yesterday. I am not going to take this signal. My back tests have shown that XLI "Bought" signal are not productive when the 20DMF is in Cash and the 50MA of XLI is above the 200MA as it is now.
The other signals did not change and I will not change the trades in progress.
The XLB signal is now "Cash Overbought" since the close of September 7. I will close my short UYM trade at the open. The long trades in TQQQ, TECL and XLY remain active.
The XLB, XLF and XLY models have all a "Shorted Overbought" signal since the close of yesterday. I will follow the XLB signal and ignore the XLF and XLY signals. My statistics have shown that following XLF "Shorted Overbought" signal when the Combo-MF is long is not profitable. Following a XLY "Shorted Overbought" when the 20DMF is not short is also not profitable. The trades in TQQQ and TECL remain valid.
[QUOTE=pdp-brugge;23599]The XLB, XLF and XLY models have all a "Shorted Overbought" signal since the close of yesterday. I will follow the XLB signal and ignore the XLF and XLY signals. My statistics have shown that following XLF "Shorted Overbought" signal when the Combo-MF is long is not profitable. Following a XLY "Shorted Overbought" when the 20DMF is not short is also not profitable. The trades in TQQQ and TECL remain valid.[/QUOTE]
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
Trev,
I'm not at my desk for the moment and am unable to respond until later today
PdP
[QUOTE=pdp-brugge;23601]Trev,
I'm not at my desk for the moment and am unable to respond until later today
PdP[/QUOTE]
Hi PdP,
Some of the other figures in the tables are possibly wrong. (ie NoFear has dropped from 11.41% to 7.91%). Could you please amend them when you are able.
Trev
oeps...
I have uploaded the wrong image.
Here is the correct one:
The XLF EOD signal is now "Cash Overbought". I did not trade the short signal yesterday so here no change.
My other trades (long TQQQ, long SMN and long TECL) remain valid.
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