Kevin_in_GA
4,599 posts
msg #139508
- Ignore Kevin_in_GA |
11/26/2017 10:29:43 AM
@nibor - the numbering system I show here is 1-30, but in constructing the filters I originally had 40. I removed duplicates and a few that were weak performers to get it down to thirty, but SS does not allow you to rename strategies. Thus, the numbering is different but the filters are the same.
@shilllihs - this system does well during the period you mentioned, but also remember that part of the system is that it reduces allocations (it rarely is at full utilization). It is often easy to say that all one has to do is buy on a dip, but in truth that comes with the knowledge gained from being able to look at the future performance, which no one can do in real time. This approach yields an exceptional return with minimal drawdown, which is what I had designed it to do, not to maximize ROI at any expense.
@mahkoh - the way OneClick systems run will look at market, sector, and stock as different entities, even if as in this case they are all the same. It is to allow for more complex sectors to be analyzed in ways SF cannot do. As to how I handle buy and sell signals on the same day is to only take action based on the NET result, since you are selling and buying at the same price (the open). Just make sure to keep track of the change in system signals if you are keeping one active (e.g., you are in a trade from #8, which signals to close the same day #14 signals a new BUY. You simply track #14 to close out the trade started by #8, if that makes sense).
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ron22
255 posts
msg #139509
- Ignore ron22 |
11/26/2017 12:07:38 PM
Kevin, I am technically challenged and have great difficulty with coding. I realize that SS filters cannot be 100% coded to SF. I would greatly appreciate it if you would be willing to post SS filter signals onto SF forums nightly for the elderly and newbies. I realize that this is a lot of work for you. I would be willing to donate 20% of my profits to the charity of your choice. I am willing to provide copies of my donation receipts. SF members please reply if you would be able to make donations to charity from your profits as a thank you for Kevin's making daily postings of SS filter signals. Kevin thank you very much for your contributions to SF. Ron
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nibor100
1,096 posts
msg #139510
- Ignore nibor100 |
11/26/2017 1:00:40 PM
@shilllihs,
I believe that the results that Kevin has posted for his latest XIV Trading System is based on fixed equity per trade and a portfolio size of 10.
The Stratasearch manual defines it as:
Fixed Trade Equity: All trades are entered with exactly the same cash amount. If
sufficient cash is not available to enter a position, the trade will be bypassed.
Just for grins and assuming that means each trade his StrataSearch backtest took was for $10K, I ran a very hypothetical compounding trade calculation in Excel based on the completed 931 trades with the reported avg return of 4,51%,
It only takes about 890 trades to get the equity above your $5M number. (Isn't compounding great with a winning system with low drawdowns)
If I use 930 trades it turns into $6M.
Enjoy,
Ed S.
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nibor100
1,096 posts
msg #139511
- Ignore nibor100 |
11/26/2017 1:31:47 PM
For those trying to code these SS filters into SF, you may find some help/ideas by referring to Kevin's post of Sep 2016, "a New ^VIX Trading System" where he provides some similar SS filters code and how he coded many of them for use in SF.
Ed S.
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mahkoh
1,065 posts
msg #139512
- Ignore mahkoh |
11/26/2017 1:32:55 PM
" the way OneClick systems run will look at market, sector, and stock as different entities, even if as in this case they are all the same. It is to allow for more complex sectors to be analyzed in ways SF cannot do."
The sector code looks like this:
sector($cursector, close) = sector($cursector, high(close, @eval)) and
sector($cursector, mom(close, @days)) <> sector($cursector, high(mom(close, @days), @eval))
Whereas the stock component code is:
close = high(close, @eval) and
mom(close, @days) <> high(mom(close, @days), @eval)
If the symbol is the same as the sector then how would it be different?
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Kevin_in_GA
4,599 posts
msg #139516
- Ignore Kevin_in_GA |
11/26/2017 4:51:24 PM
@mahkoh - it is not, but to SS these are two different strategies. SS does not care if the sector and the single stock are the same, it simply sees them as two distinct entities. Hope this helps.
In the end, does it matter? The filters are fully coded and whether or not they could be simplified, they are still viable and work fine.
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Kevin_in_GA
4,599 posts
msg #139517
- Ignore Kevin_in_GA |
11/26/2017 4:53:27 PM
@ron22 - not interested in converting these into SF code. That is why I gave you the complete filter code set, and provided the link to the free and final version of Stratasearch. It is incredibly simple to get this up and going on your own.
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shillllihs
6,097 posts
msg #139529
- Ignore shillllihs |
11/27/2017 1:39:42 PM
Nibor, very interesting stuff.
Kevin, question remains, how this will perform in a bear market and if you would really ride out the sideways action from late 2014-2015 for 7 months.
Sometimes the biggest obstacle is ourselves.
But by any token, great work.
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mahkoh
1,065 posts
msg #139532
- Ignore mahkoh |
11/27/2017 6:28:26 PM
I guess you're right. Reminds me of something Pete once suggested: To just use all trading rules at your disposal, if they don't produce they will not appear in the results.
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tennisplayer2
210 posts
msg #139534
- Ignore tennisplayer2 |
11/27/2017 11:23:27 PM
Is anyone else having problems importing data from google tonight? SS stops working during the import. Thanks.
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