Cheese
1,374 posts
msg #155439
- Ignore Cheese |
1/25/2021 7:31:18 PM
Thank you, Graf.
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nibor100
1,042 posts
msg #155445
- Ignore nibor100 |
1/26/2021 3:40:44 AM
@cheese,
Regarding your (1.)
1. I could not find a PThomas post related to warning about XIV in either Jun 2017 nor Jul 2017 please be more specific.
2. Backtests can only show what might have happened in real time based on historical data, but if a one-time event has never occurred the backtests would probably have limited value in predicting what would happen if it occurred.
3. When investing in ETFs, ETNs we must read all of the prospectus to know what we are getting into: This line is from the old XIV prospectus In fine print reads as, " if the value of XIV dips to 20% of the closing value (if it is down 80%), the fund stops".
Clearly no backtest can provide that kind of info.
4. Of course if one only invests 1 to 2% of their portfolio in any one instrument then even the XIV wipeout doesn't have the same effect on your trading account.
One investing site recommends:
a. If the price declines by 50%, will I be OK? Don’t invest a significant percentage of your portfolio in highly volatile assets.
b. Liquidity. Many of the worst crashes in financial markets occurred because the market suddenly dried up at the same time that everyone needed to sell. When the majority of the crowd is on the same side of a popular trade, it’s time to honestly assess whether the market for that asset is deep enough to support a simultaneous stampede for the exits.
Regarding your (2.)
1. as mentioned in prior posts in this thread, in the Edgerater backtest results, Max favorable Excursions and unfavorable Excursions can help in placement of stop losses and profit stops.
2. Many backtests do not show a profit so many strategies end up never being implemented as trades which is one kind of protection, always good to never invest in a historically losing strategy.
3. Again, only invest 1 to 2% of your portfolio in any one instrument to really be protected, as backtests are not infallible by any mean,s no matter what backtesting application we use.
Hope this helps,
Ed S.
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Cheese
1,374 posts
msg #155447
- Ignore Cheese |
1/26/2021 10:16:43 AM
Ed S,
Thank you for your Edgerater info and comments on money management.
FYI only
I came across pthomas' comment on XIV only recently when researching ChartingWealth.
I don't remember where XIV was at the time of pthomas' writing.
https://www.stockfetcher.com/forums/General-Discussion/Interesting-new-site-I-stumbled-upon/137230/-1/137554
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nibor100
1,042 posts
msg #155497
- Ignore nibor100 |
1/30/2021 12:56:24 PM
@xarlor,
Chris released a couple of updates this week so I reran your original RSI backtest, results are below.
Ed S.
All Trades Winners Losers Neutral
Trade Count 13072 8599 4417 56
Trade Count % 100% 65.78% 33.79% 0.43%
Avg. Profit/Loss $ $3.75 $50.28 ($86.78)
Avg. Profit/Loss % 0.15% 4.42% -8.15%
Average Min Max SD Sum
Trade Length (Days) 7.29 2.00 41.00 4.37
Trades per position 1.00 1.00 1.00 0.00 13072.00
Daily Open Positions 36.25 0.00 618.00 60.58
Profit/Loss (%) 0.15% -83.06% 165.64% 10.09%
Max Favourable Excursion % (MFEP) 4.61% 0.00% 206.24% 6.41%
Max Adverse Excursion % (MAEP) 7.01% 0.00% 91.23% 11.07%
Profit/Loss ($) $3.75 ($2,206.41) $2,324.94 $134.17 $49,077.38
Max Favourable Excursion (MFE) $53.65 $0.00 $2,909.83 $97.45
Max Adverse Excursion (MAE) $75.72 $0.00 $2,365.68 $145.52
Starting Equity $100,000
Ending Equity $149,077
Net Profit $49,077
Net Profit % 49.08%
Investment Period (Days) 3646
Maximum Equity $182,946
Minimum Equity $88,655
Max Consecutive Winners 199
Max Consecutive Losers 75
Commission Rate $0.00
Total Commissions Paid $0.00
Payoff Ratio 0.58
Expectation % 4.33%
Expectation $ $4
Annualized Rate of Return (ARR) 4.91%
Compounded Annual Growth Rate (CAGR) 4.08%
Profit Factor (PF) 1.13
Pessimistic Rate of Return (PRR) 1.10
Maximum Portfolio Drawdown (MPD) $85,436.76
Sharpe Ratio 4.7651
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nibor100
1,042 posts
msg #155498
- Ignore nibor100 |
1/30/2021 1:15:12 PM
@graf,
Don't know if you are still on your 14 day trial extension of Edgerater...if so, did you notice that Chris has added a Template created by one of the users that screens for the appearance of 84 different candlestick patterns, each pattern's results in one output column?
I don't use candlestick patterns much, but 84 seems like way too many to be looking for...
Ed S.
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xarlor
585 posts
msg #155502
- Ignore xarlor |
1/30/2021 3:46:12 PM
@nibor
Thank you for the follow-up. Definitely something to it. Just need to tweak the entry rules to stay out of the market crashes.
Good stuff!
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graftonian
1,089 posts
msg #155504
- Ignore graftonian
modified |
1/30/2021 3:53:00 PM
I'll check out the recent developments
/*****************************************/
1700c
It took an hour but I finally got to the intended Page!
Graf
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nibor100
1,042 posts
msg #155732
- Ignore nibor100 |
2/13/2021 11:57:51 AM
Edgerater Developer has released a new Blog post on Expected Moves for individual stocks, that some of you who deal in options/implied volatility etc. might be interested in reading:
https://academy.edgerater.com/expected-move-retail-vs-professional-traders/
Ed S.
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nibor100
1,042 posts
msg #155992
- Ignore nibor100 |
3/1/2021 12:50:56 PM
Video below shows what the best trading day of the month is over the past 10 years and year by year:
Ed S.
https://youtu.be/UMi3RKS2Idk
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