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[ATTACH=full]132768[/ATTACH]

I'm just putting it out there
Strategy construction consumes so much of my time it's downright annoying when I hit a stumbling block nearing the final hurdle. Having a break & discussing one of the projects might clear my mind. The project is worth the effort even though I've been working on the idea for quite some time. To explain my current project it necessitates a lengthy post but in all fairness, the post is mainly taken up with backtest reports for those who are interested.

Marrying two ideas
Since COVID my sole focus has been on capital protection. With this in mind, it necessitated a rethink on how to construct & code a trading system that has the ability to capitalise on (a) breakouts (my preferred method of trading) & (b) pullbacks (a trading method [USER=13908]@peter2[/USER] often posts about) marrying them within the same strategy.

The idea is simple enough
Recent turbulent times have required me to rethink & re-evaluate a new trading methodology. Trading breakouts with an "Index Buy Filter" helps with the downside risk to some extent but at times you can be sitting on the sideline for an extended period. Buying pullbacks, but only when the "Index Filter" is turned off allows me to have the best of both worlds.

Trading rules
1. Buy breakouts when the "Index Filter is on" &
2. Buy Pullbacks when the "Index Filter is off"

Summary
Trading has its compromises & this strategy is no different. The backtest results are within tradable limits for those wishing to have the extra comfort profiting from the markets no matter the prevailing conditions but the metrics indicate I've more work to do.

Backtest
The backtest results are from Norgate Platinum Data with "historical constituents" spanning from 1st July 2015 to now (the year & month I first started trading) & each year after that so a fuller picture of how this strategy would have handled a variety of starting dates.

1st July 2015 to now

[ATTACH=full]132761[/ATTACH]

1st July 2016 to now

[ATTACH=full]132762[/ATTACH]

1st July 2017 to now

[ATTACH=full]132763[/ATTACH]

1st July 2018 to now

[ATTACH=full]132764[/ATTACH]

1st July 2019 to now

[ATTACH=full]132765[/ATTACH]

1st July 2020 to now

[ATTACH=full]132766[/ATTACH]

1st July 2021 to now

[ATTACH=full]132767[/ATTACH]

Just keep in mind that this strategy is a "work in progress"

Skate.

<blockquote data-quote="Skate" data-source="post: 1146081" data-attributes="member: 57364">[ATTACH=full]132768[/ATTACH]I&#039;m just putting it out thereStrategy construction consumes so much of my time it&#039;s downright annoying when I hit a stumbling block nearing the final hurdle. Having a break &amp; discussing one of the projects might clear my mind. The project is worth the effort even though I&#039;ve been working on the idea for quite some time. To explain my current project it necessitates a lengthy post but in all fairness, the post is mainly taken up with backtest reports for those who are interested.Marrying two ideasSince COVID my sole focus has been on capital protection. With this in mind, it necessitated a rethink on how to construct &amp; code a trading system that has the ability to capitalise on (a) breakouts (my preferred method of trading) &amp; (b) pullbacks (a trading method [USER=13908]@peter2[/USER] often posts about) marrying them within the same strategy.The idea is simple enoughRecent turbulent times have required me to rethink &amp; re-evaluate a new trading methodology. Trading breakouts with an &quot;Index Buy Filter&quot; helps with the downside risk to some extent but at times you can be sitting on the sideline for an extended period. Buying pullbacks, but only when the &quot;Index Filter&quot; is turned off allows me to have the best of both worlds.Trading rules1. Buy breakouts when the &quot;Index Filter is on&quot; &amp;2. Buy Pullbacks when the &quot;Index Filter is off&quot;SummaryTrading has its compromises &amp; this strategy is no different. The backtest results are within tradable limits for those wishing to have the extra comfort profiting from the markets no matter the prevailing conditions but the metrics indicate I&#039;ve more work to do.BacktestThe backtest results are from Norgate Platinum Data with &quot;historical constituents&quot; spanning from 1st July 2015 to now (the year &amp; month I first started trading) &amp; each year after that so a fuller picture of how this strategy would have handled a variety of starting dates.1st July 2015 to now[ATTACH=full]132761[/ATTACH]1st July 2016 to now[ATTACH=full]132762[/ATTACH]1st July 2017 to now[ATTACH=full]132763[/ATTACH]1st July 2018 to now[ATTACH=full]132764[/ATTACH]1st July 2019 to now[ATTACH=full]132765[/ATTACH]1st July 2020 to now[ATTACH=full]132766[/ATTACH]1st July 2021 to now[ATTACH=full]132767[/ATTACH]Just keep in mind that this strategy is a &quot;work in progress&quot;Skate.</blockquote>

[QUOTE="Skate, post: 1146081, member: 57364"] [ATTACH type="full" alt="Research NEW images.jpg"]132768[/ATTACH] [B]I'm just putting it out there[/B] Strategy construction consumes so much of my time it's downright annoying when I hit a stumbling block nearing the final hurdle. Having a break & discussing one of the projects might clear my mind. The project is worth the effort even though I've been working on the idea for quite some time. To explain my current project it necessitates a lengthy post but in all fairness, the post is mainly taken up with backtest reports for those who are interested. [B]Marrying two ideas[/B] Since COVID my sole focus has been on capital protection. With this in mind, it necessitated a rethink on how to construct & code a trading system that has the ability to capitalise on (a) breakouts (my preferred method of trading) & (b) pullbacks (a trading method [USER=13908]@peter2[/USER] often posts about) marrying them within the same strategy. [B]The idea is simple enough[/B] Recent turbulent times have required me to rethink & re-evaluate a new trading methodology. Trading breakouts with an "Index Buy Filter" helps with the downside risk to some extent but at times you can be sitting on the sideline for an extended period. Buying pullbacks, but only when the "Index Filter" is turned off allows me to have the best of both worlds. [B]Trading rules[/B] 1. Buy breakouts when the "Index Filter is on" & 2. Buy Pullbacks when the "Index Filter is off" [B]Summary[/B] Trading has its compromises & this strategy is no different. The backtest results are within tradable limits for those wishing to have the extra comfort profiting from the markets no matter the prevailing conditions but the metrics indicate I've more work to do. [B]Backtest[/B] The backtest results are from Norgate Platinum Data with "historical constituents" spanning from 1st July 2015 to now (the year & month I first started trading) & each year after that so a fuller picture of how this strategy would have handled a variety of starting dates. [B]1st July 2015 to now[/B] [ATTACH type="full" alt="Core Logic 2015 to now Combined.jpg"]132761[/ATTACH] [B]1st July 2016 to now [ATTACH type="full" alt="Core Logic 2016 to now Combined.jpg"]132762[/ATTACH] 1st July 2017 to now[/B] [ATTACH type="full" alt="Core Logic 2017 to now Combined.jpg"]132763[/ATTACH] [B]1st July 2018 to now [ATTACH type="full" alt="Core Logic 2018 to now Combined.jpg"]132764[/ATTACH] 1st July 2019 to now[/B] [ATTACH type="full" alt="Core Logic 2019 to now Combined.jpg"]132765[/ATTACH] [B]1st July 2020 to now [ATTACH type="full" alt="Core Logic 2020 to now Combined.jpg"]132766[/ATTACH] 1st July 2021 to now[/B] [ATTACH type="full" alt="Core Logic 2021 to now Combined.jpg"]132767[/ATTACH] Just keep in mind that this strategy is a "work in progress" Skate. [/QUOTE]

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