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Perishabull

PositiveDev's trading journey

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NICE : Art is whatever you can get away with !

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I have been short RUT through Calls on TZA ( a 3x Bear etf ) - and RUT has underperformed other indices, per your chart

 

I covered half my position on Friday, at a very nice percentage profit, because I have September Calls, and it looked as if we might see a Rally next week, if the Syrian action gets delayed.

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The anatomy of a turn;

D1_zps4a8a24af.png

 

Here we see Dow futures making a lower low whilst the Euro, Australian dollar and AUD/JPY make a lower high. The first vertical dashed line on 28th August marks the day when the markets turned up in unison, the second on 3rd September with all the markets moving up to confirm the divergence.

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The situation in the previous post is really the reverse of the divergence set up that completed around the 8th August;

 

That was a turn in equity markets at that point

DEx_zps1f1c3f01.png

 

It certainly pays to watch AUD/JPY, EUR/USD and AUD/USD as they can often lead equity markets.

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I'm continuing from where I left off prior to my holiday with the live test of a trading strategy, the results so far;

CDHDYM_zps83afa233.png

 

It seems pretty mixed but I think it's probably wise not to judge it this early since these are only the results after around 45 days, and that would be the case whether or not the results were good or bad (although clearly if they were atrocious it wouldn't be encouraging).

 

I think after 3 months I will have a good idea about the strengths and weaknesses, so at the start of November I will be in a far stronger position. I'm not too enamoured by the large drawdown seen but then of course the flipside of that is the last few days which has seen a run of many winning trades. Objectivity is key to any analysis.

 

For anyone new to my blog, I have been trading futures for over 2.5 years on and off and have been consistently breakeven, I'm testing a new strategy using a SIM account to assess a new methodology, if I get sufficient confirmation validating it I will go live. Really by 1st November I will have a clear view on whether it works or not, I am keen to trade it but common sense dictates positive results should proceed a commitment to capital in the market.

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A positive start !

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I'm continuing from where I left off prior to my holiday with the live test of a trading strategy, the results so far;

CDHDYM_zps83afa233.png

 

It seems pretty mixed but I think it's probably wise not to judge it this early since these are only the results after around 45 days, and that would be the case whether or not the results were good or bad (although clearly if they were atrocious it wouldn't be encouraging).

 

I think after 3 months I will have a good idea about the strengths and weaknesses, so at the start of November I will be in a far stronger position. I'm not too enamoured by the large drawdown seen but then of course the flipside of that is the last few days which has seen a run of many winning trades. Objectivity is key to any analysis.

 

For anyone new to my blog, I have been trading futures for over 2.5 years on and off and have been consistently breakeven, I'm testing a new strategy using a SIM account to assess a new methodology, if I get sufficient confirmation validating it I will go live. Really by 1st November I will have a clear view on whether it works or not, I am keen to trade it but common sense dictates positive results should preceed a commitment to capital in the market.

 

Interesting chart! Looks like you're on the right track.

 

My own attempts to systematize (and objectify my trading) have lead me to look into AmiBroker. The backtesting is lightning fast which makes it quick and easy to test various ideas and then walk them forward. I did try out the Multicharts 30-day trial and I really like the interface, but I think for the moment I'll stick to AmiBroker for research. I think Multicharts could be a nice upgrade down the line if I were to go for a more automated setup etc.

 

 

Anyway, keep us updated on your progress!

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Looking a bit healthier now;

 

Healthier_zps251822bf.png

 

 

6 weeks of the test period to go.

 

 

Looks like a breakout ... have you thought about trading your equity curve? I.e., using your system equity curve as a filter for real trades?

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Looks like a breakout ... have you thought about trading your equity curve? I.e., using your system equity curve as a filter for real trades?

 

 

Here are the results after 2 months;

2months_zpsfbe1ecc1.png

 

m11_zps32c406bc.png

 

The chart below is a 10 period moving average of the run of trades, so it's really a moving average showing how the strategy fluctuates between winning and losing phases.

 

On the lower chart you can see that by trade 40 the vertical scale reaches 0.1, this reflects that of the 11 trades prior to that point, 10 were losers. Similarly by trade 80 the vertical scale is 0.8, reflecting that of the 10 trades prior to that point, 8 were winners, 2 were losers. It's an interesting way to look at the strategy.

 

I suppose it could be used as some sort of filter but I think if you start trading the equity curve it would destroy or interfere with the efficiency of the system in a negative way. It just adds another layer where potential error can occur.

 

I've often thought the that perfect strategy would be one where the performance moves like a sine wave; and of course a sine wave is easily traded.

 

I'm running this for another month so I am looking for a continuation of the positive upward trend.

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In fact a 13 period moving average on the lower chart would have worked particularly well - I'll keep an eye on that. Thanks happy.

 

I'm still researching / trying to develop strategies / systems ... obviously the usefulness of an equity filter depends on what the equity curve looks like in the first place, but I've found the equity curve feedback filter an interesting alternative to applying an index filter (at least when trading a basket of issues). Basically just to take the system off-line during periods of "under-performance" or "large drawdowns" etc. in order to smooth the resulting equity curve. But it will likely impact overall system performance (just as with stops) ... the greater the rate of return, generally the greater the max draw downs tend to be.

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Updated chart from last weeks trade

Grind_zps99dd3a8a.png

G2_zpsf3bfb56b.png

 

It's been a hell of a grind but still an up period which is good (to point out the obvious). Some of the eagle eyed among you may have noticed this chart is slightly different from before - this one factors in the commission to give a more accurate reflection.

 

The performance of the strategy is in a diminishing phase right now as evidenced by the 10 period moving average of trade success, despite that it's been a profitable period, although very much 3 steps forward 2 steps back.

 

If these reckless folks on capitol hill don't get it together then I reckon the markets could get a real fright which will make trading interesting (challenging perhaps).

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