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526 posts
msg #141492
Ignore nibor100
1/29/2018 2:22:12 PM


a. Regarding individually re-optimizing the 30 filters using SS I went back thru his last 8 months or so of posts and have pasted below 14 of the ones that I believe are related/useful regarding the original 40 filter system and its design using StrataSearch.

1."I am using the High Sharpe Ratio OneClick, and letting it run about 25-40000 runs. By then I usually have a pretty good system. I then save it into a Multisystem, clear the results in the OneClick, and start over.

Make a signal for each MS, Merge the signals into one single signal system, then Create MS from that signal to combine all of the MS into one. "

2."Remember two things about this system:

1. It is long only. I was not able to find a lot of good short filters on XIV, although using other approaches this can be done. I would feel more comfortable if this could signal both ways.
2. It is composed of 30 filters that will over time need to be individually re-optimized. I built this about 5 or 6 months ago, and so far it continues to do well, but like all filters it needs to be retrained on more recent data periodically. I realize that is a lot of effort, but it could easily be split among several folks here."

3."By running #35 by itself. Run -> Run Combinations ... then choose "System" and select #35. Set your start and end dates to be the same as what I ran, and you can see the results for any individual system input."

4."Yes, but I usually run OneClicks with a portfolio setting of 10, then repeat several times to avoid the current selections possibly biasing the inclusion of some filters.

The speed variations are probably one of the reasons Pete wanted to rebuild from the ground up? I tried to email him but it seems that everything is closed down for good."

5."@nibor - SS determined all entry and exit criteria for each system."

6."@mahkoh - I would not sell based on a signal from a different filter than the one you used to enter the trade, unless you are in the black and are looking for a reason to sell. Each system is designed to be traded independently, or cross traded with others."

7."I'll check tonight. The strategies were selected to maximize ROI with minimal drawdown, so it is possible that the losses, while more frequent than in the other filters, are small and the trade durations short when compared to the others. Just a thought.

Also - 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 all here and are the same as in the file that I have sent to folks."

8."@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."

9." 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)."

10"10/19/2017 3:13:21 PM

The system is complicated by SF standards (it is composed of 40 different XIV long filters developed in Stratasearch), but trading it is easy. Signals are generated each night and are bought/sold at the open the next day. I trade 10 units using this approach, and also use a separate neural network filter set as well.

I do not post trades so much any more because the filters I use are not readily translated into SF code, and each filter has separate exit criteria."

11."My thought is that you should periodically reoptimize/rerun your OneClick setup - perhaps every six months or when you start to see results below prior backtest performance. It can be done in a day or so during a period where you have no trades ongoing."

12."My suggestion - start with a simple OneClick strategy against a set of ETFs (I prefer using the High Sharpe Ratio OneClick since it emphasizes both maximum return and minimal drawdown). No need to even think too much. Let it run overnight and review the results. You'll be pleasantly surprised at how well this software works at finding good systems."

13."Here is my suggestion -

1. Get StrataSearch. Learn the basics.
2. Run a OneClick Setup against your favorite stock to trade (mine is XIV). Use the "Percent of Perfect" setup to start (I also use the High Sharpe Ratio one as well with very good results).
3. Let it run through several hundred thousand combinations. This will take about 12 hours.
4. Review the result. Generate a nightly signal from it if you are happy with the equity curve and drawdowns.
5. Trade it EXACTLY as it says to do - no deviation from the system rules.

Total time is perhaps a few days to a week - that investment is going to lead to a much richer payoff than simply following someone else's trade signals without understanding how or why they are being generated. "

14."5/14/2017 3:33:33 PM

You know - I had forgotten how good SS can be at these types of systems, and how easy One-Clicks are to set up and run.

I'm running one for the period 1/2/2013 - 1/2/2017 using the "Highest Sharpe Ratio" One Click setup. Very nice results so far, especially in avoidance of significant drawdowns like one saw in XIV during August of 2015."

b. My new signals from last Friday night are 1 Buy #13 and 1 Sell #30 with 11 Holds #19, 15, 27,23,31,33,34,35,1,18,25.

My signals from 1/25 were 3 Buys #1,18,25 and 1 Sell #3, with 9 Holds #19, 15, 27,23,30,31,33,34,35.

My signals from 1/24 Friday were 7 Buys #3,23,30,31,33,34,35, and 1 Sell #23, with 3 Holds #27, 19,15.

Ed S.

1,251 posts
msg #141493
Ignore pthomas215
1/29/2018 2:43:16 PM

I'm curious about Kevin's system not having more sell signals a week ago. XIV has dropped from 144 to 130 in that time frame. shouldn't there have been an overweight of sell signals compared to holds and buys over the past week? I don't use the system so I am just asking.

5,272 posts
msg #141495
Ignore shillllihs
1/29/2018 3:14:49 PM

Backtests never work.

That’s common knowledge.

I hope this helps.

1,251 posts
msg #141496
Ignore pthomas215
1/29/2018 3:34:56 PM

The concept of the system is incredible if it can be pulled off...having a perfect mix of weighting in your position sizing in accordance with continual price action. and it seemed to work during the last bull run up...

5,272 posts
msg #141497
Ignore shillllihs
1/29/2018 3:42:50 PM

Because it’s a bull market. Buy & hold outperforms this in this market so if at any point buy & hold is below this thing, then simply go all in, otherwise you’re losing. Logic.

210 posts
msg #141504
Ignore tennisplayer2
1/29/2018 5:58:46 PM

Ed, thanks for the information. I will try and see if I can figure all this out. I am somewhat older and not too knowledgeable about SS. I wish that Kevin was still on here. Thanks for your help.

For 1/29/2018, I got 1 Buy (#10) and 1 Sell (#1).

Good luck trading this. There is a gap on the daily charts of XIV at 120.36, I don't know if this will be fill this time around. RSI 2 is at 1.30.

Have a blessed evening.

802 posts
msg #141509
Ignore Cheese
1/29/2018 7:29:42 PM

Thanks again, Ed and tennisplayer2 !

526 posts
msg #141537
Ignore nibor100
1/30/2018 10:42:17 AM


K of G's system of 30 filters is a Long only system, so there can't be any Sell signals for any one of his filters unless there has previously been a Buy signal for that filter.

There is quite a diverse set of entry criteria across the 30 different filters, some having to simultaneously meet at least 4 different criteria ,as can be seen in his initial post for this thread, and about 5% of the backtested trades have had hold periods longer than 40 trading days,

Makes me believe that the system appears to take advantage of short term, mid term and long term market/technical indicator tendencies; though as has been stated by all, including K of G, the period of existence for XIV has mostly been an overall bull market.

Ed S.

802 posts
msg #141539
Ignore Cheese
1/30/2018 11:42:04 AM

Thanks for stepping to the plate and fielding questions in Kevin's absence.

5,272 posts
msg #141560
Ignore shillllihs
1/30/2018 3:34:38 PM

Not sure where your leader asked that you enter Xiv, 145 or something but,
The Shills says 119 was a buy.

Thank you.

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