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Skate said:
View attachment 142069

Skate.
Click to expand...

Ok, can see why you assumed that but definitely not the case--both are using the same index filter.

Main difference is the new system on the right is using a more aggressive entry setup. Current system on the left is using an entry confirmation but the system on the right is not using the entry confirmation. This is also shown by the fact the right system is taking more trades because it is not looking for an entry confirmation signal.
 
Skate said:
@MovingAverage, this backtest looks uglier but more realistic & there is much to work with. The results since COVID looks okay to me.

View attachment 142070

Skate.
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No way I would ever trade that. The post covid rise you identify is an anomaly--how often does a market crash and rebound to that extent. You'd effectively be trading year after year hoping for a rapid sell off in the hope of a massive rebound. Nope--not for me I'm afraid.
 

Fair enough.

Can you explain this?



Skate.
 

@MovingAverage, if presented with those three strategies to improve I would ask for the last one. As @qldfrog said, "People are different".

Traders, we are all different
While one person sees an opportunity, others see something completely different. Thus, it’s our perception that creates value at any given time.

Skate.
 
Agree...there is no absolute right system...you trade what suits your personal style and what your objectives are. For me I like consistent yearly returns and happy to trade off headline performance to get consistency--there's no free lunch. Highlighting this was the point of my post.
 
Skate said:
Sorry, I should have framed the question differently to avoid confusion.

My question
Why is the exposure of both systems so low?

View attachment 142074

Skate.
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Ok sorry--got it.

It is not an overly aggressive system as you can tell. In summary--the answer to your question is look at the average hold time...it has a conservative entry set up and when it does take a position it generally only holds the position for a relatively short period of time. I deliberately wanted this system to have short hold times so I could reduce drawdown.
 

@MovingAverage, I've done much the same. I have a few mainstay strategies that have "performed" over a considerable amount of time & I never play with the mix. When I code a new strategy or have a new idea about a trading system, I'll post & trade it for a short period of time so others can follow along. Sometimes it works well & there is value in doing the exercise. At other times the results are at the mercy of the markets.

The point is?
It proves none of us have a crystal ball or a strategy that works all the time. IMHO, @peter2 has nailed his style but his results at the moment demonstrate what I've just highlighted.

"You win some & you lose some"
If trading was easy, we wouldn't need this forum.

Skate.
 
I should add that more importantly the short hold times reduced significantly the standard deviation in returns during MC analysis. For me this is important since it improves OOS returns lining up with sims, which is again back to predictability of future performance.
 
What a great exercise, for everyone to see 2 experienced traders looking through the glasses of very different experiences and preferences. Thanks for sharing MA. I wasn't convinced there was a statistical difference in the 2 systems until saw how many more trades the 2nd system would take. Not my style to take too many extra trades without significant improvement in returns, so I'd be sticking with System 1 probably....
 
The extra trades was also a factor in me sticking to the original version of the system. Interesting the number of trades jumped significantly but the exposure didn't jump as significantly. For me personally I often view the number of trades as a measure of a system's efficiency--the more trades the less efficient.
 
Skate said:
"You win some & you lose some"
If trading was easy, we wouldn't need this forum.

Skate.
Click to expand...
For sure...if it was easy everyone would be making money, but reality is someone has to lose money for someone to make money and if it was easy no one would lose money.
 
You stats show for the original system winners are held for 15.67 bars for 21.93%. But the version with no market filter holds for 170.22 bars for 79%? Seems to be a big reliance on the index filter.
 
I mean that it would seem that your index filter is really doing the 'trading'. If trades are normally held for that long without a filer it is really mainly just the filter doing the trading it would seem.
 
MovingAverage said:
the more trades the less efficient.
Click to expand...
You understand that this is very debatable, I would disagree there and efficiency is based on cost, at the extreme, if it costs nothing to trade a lot, do it if the returns or risk justify it.

Then the zero sum game is actually wrong IMHO
Why? With growth of the economy/monetary inflation, the share market will always trend to grow so the buy sell exchanges making the market will always be slightly in profit by a tiny bit
The only real loser is the fact that statistically and on a long enough period, selling actions are always a mistake:
these sold shares will statistically always be worth more in the future
So the principle beyond the famous buy and forget or time in the market sayings
With a limited life expectancy, on an individual basis , it gets harder to justify as this century trend has ups and downs, and may even reverse on a society collapse.
We do not known much about the roman empire stock market trends in its decline ;-)
 
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