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Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
jemarcks
msg #122858
2/16/2015 3:01:13 PM

mahjo;

Signalinvesting.com is under construction at this time. The site is collecting live trades (out of sample data) for each of the submitted systems. I expect the site to go live in Q3 sometime and offer its systems' signals to potential investors. I put together a few ideas for a system I submitted and polished it up during the holidays when I was off work. So far, so good! :)

Jeff


Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
jemarcks
msg #122848
2/14/2015 11:27:36 PM

It looks like you can backtest different position sizing algorithms in Tradestation. I have Tradestation and Ninja Trader platforms up an running. I use tradestation for my trading platform and I have been evaluating Ninja Trader which has the market replay feature that allows me to run live trades when I have time. Not just when the market is open.

http://www.tradestation.com/education/events/on-demand-webcasts/analysis-concepts/strategy-impact-pt-2

Jeff


Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
jemarcks
msg #122845
2/13/2015 9:59:29 PM

I have been testing several versions of this system and may have some results to post soon. I like the position sizing part a lot! Back testing the position sizing has been a challenge. Any idea?

Jeff


Filter Exchange · Need help with RSI (2) formula
jemarcks
msg #122844
2/13/2015 9:56:10 PM

reversersi() is a nice function. I also have a reverse_wlr(). Its interesting to compare them in back testing. Im sure there are others too. (reverse_momentum?) Hmmmm.....

jeff


Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
jemarcks
msg #122843
2/13/2015 9:53:07 PM

The contest on Signal Investing.com has been fun and its interesting to see how the different systems are doing with live data. Im so curious what the other systems are doing.
Email me sometime and we can compare notes on trading systems. Im always open to new ideas to test.
Jeff


Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
jemarcks
msg #122837
2/13/2015 12:55:27 PM

Kevin, Thanks for all your contributions! We look forward to your new investment systems post.

Jeff


Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
jemarcks
msg #121494
9/12/2014 9:47:40 AM

When backtesting, in the selection criteria you would use roc(16,1) ascending.



Filter Exchange · HOW TO DESIGN A SYSTEM (NOT JUST A FILTER)
jemarcks
msg #121489
9/11/2014 3:36:43 PM

I have been tinkering with this Zscore system that Kevin published (Thanks Kevin!!) for a week or so using Stratasearch for back testing and wanted to share some results.
First I wanted to reproduce Kevin's results and was able to do that. I used the same evaluation period, and same filter as posted on the first page of this thread.
Then I added an additional entry filter to limit stocks to those > $1 per share and the MA(20) of its volume * close >= 200000 to find the stock that are liquid enough. This didnt change Kevins results much at all but here they are as the baseline. This is from the variable equity report using monthly Sharpe Ratio. Multiply by 3.46 to get annual.

PortSize AvgAnnReturn ZS RRRatio SharpeRatio ZS
1 295.94 % 2.7289 0.2882
2 199.84 % 3.2404 0.3302
3 218.03 % 4.8694 0.3707
4 180.24 % 6.2112 0.3937
5 192.43 % 8.9181 0.4474
6 186.79 % 13.01 0.4959
7 159.63 % 13.1717 0.4986
8 130.22 % 13.4424 0.4945
9 105.56 % 11.5657 0.4922
10 86.32 %8.9019 0.4649


Next I was thinking about the ranking function to select stocks. Kevins system uses ZScore ascending which picks the stocks with the lowest zscore first which seems reasonable. (ZScore(@zdays))
Next I tried Price Rate of Change (proc) to rank the stocks selected and reran the combinations of days from 10 to 30.
proc(close,@zdays)
The results were better with PROC than ZScore as the ranking function. This seems to make sense because zscore tells us how far from the mean we have dipped and PROC tells us the rate of change of the dip and we have captured more profit from the stocks dipping the hardest.

PortSize AvgAnnReturn ZSROC RRRatio SharpeRatio ZSROC
1 111.69 % 1.8519 0.254
2 214.83 % 4.0376 0.3315
3 208.65 % 5.5788 0.3975
4 225.13 % 8.0273 0.4319
5 230.02 % 10.0068 0.4676
6 272.08 % 16.5115 0.5205
7 201.74 % 16.1121 0.5165
8 147.99 % 14.1959 0.5126
9 120.93 % 10.967 0.4948
10 104.78 % 10.392 0.4954

The max drawdown for both systems was about 11.5% Percent in market stayed about 58%.

I would be happy to post the detailed performance charts if someone will explain how its done.
Thanks and I welcome your feedback on this excellent system.

Also, is anyone still trading this system or some variant? Im curious how it has been working. If you found a more profitable system than this one, I would be all ears!








General Discussion · positive returns
jemarcks
msg #121408
8/28/2014 5:00:22 PM

Use Stratasearch for back testing.

General Discussion · Leading stocks on the S&P for the month
jemarcks
msg #121327
8/13/2014 3:48:17 PM

S&P 500
add column relative strength(SPY,21)
add column ROC(16,1)
sort on column 6 descending


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