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And good point on different start dates less than 30d difference at start of last year made a great difference.above 10pc
Just make sure you also play your backtests against the few recent periods is all i can suggest
One other way is for the signal used to enter to be a cross more than a more than ,less than....The different portfolio performances you've noticed due to different start dates is due to luck. It's just luck that sees the system buy at the start of what turns out to be a great trend. Start later and the system misses the perfect entry. A system with multiple entry strategies will produce subsequent signals to get into this trend. This is a significant factor in the performance of @Skate 's systems.
All systematic traders need to be aware of the significance of luck when they start. System traders that started their long equity systems in Feb20 got slammed. Just unlucky. When they get the signal to resume buying they'll rely on luck at the start.
System traders have the idea that when the system says go they buy as many of their buy signals as possible even if it means being fully invested quickly. If they want to reduce they effect of luck on their performances then they need to plan for it. The easiest way to reduce the dependence of luck is to stagger the starts.
The different portfolio performances you've noticed due to different start dates is due to luck. It's just luck that sees the system buy at the start of what turns out to be a great trend. Start later and the system misses the perfect entry. A system with multiple entry strategies will produce subsequent signals to get into this trend. This is a significant factor in the performance of @Skate 's systems.
All systematic traders need to be aware of the significance of luck when they start. System traders that started their long equity systems in Feb20 got slammed. Just unlucky. When they get the signal to resume buying they'll rely on luck at the start.
System traders have the idea that when the system says go they buy as many of their buy signals as possible even if it means being fully invested quickly. If they want to reduce they effect of luck on their performances then they need to plan for it. The easiest way to reduce the dependence of luck is to stagger the starts.
I got an email around lunch saying that my order had been placed in the market. It is concerning considering I placed this order on the weekend. The lag was unexpected.
In other news, if you are trading currencies right now, you should be having a good time. I have been trying to run a daily (d1) system on a pepperstone demo account. Started with $10,000. I tried a simple 5/10 EMA crossover with ADX to confirm. It was generally speaking, losing me money. I got down to $8800. But I also caught a couple of the big trends going right now.
USDCAD - long - +570pips
EURUSD - long - +290pips
AUDUSD - short - +350pips
Dash - short (5 contracts) - +600pips
Litecoin - short (8 contracts - +300pips
This brings my experiment to +$4800 while sitting on $9150. Believe it or not, I'm still not 100% with this system I was trying. I wish I knew how to code in C so I could actually backtest this idea and not do it as a discretionary trade. What I also learned from this is that I am not good at position sizing. I have the $10,000 account and at first was just using $10,000 for a trade but then quickly went to $50,000 per position. I lost money in the beginning as the winners were small position sizes while I lost a few at the bigger positions. Not really sure what the optimum position size would be. Even at this $50,000 size per contract the current gains are great. From -12% to what will likely be +50% is obviously good.
What I wish I had was some more knowledge in C to confirm this system with backtesting. Current market will make someone money as it is a strong and confirmed trend. Likely winnings is more due to luck.
If any more experienced currency traders have something to add, that'd be great!
Try using the ATR for determining position size.
I also use it to determine initial stop position.
This leads me to an open question: 1) is there a way to compare the correlation of your systems with AB? 2) Compare equity of more than 1 system (I'd like to see how my equity would go if, say, I put $100,000 into the monthly momentum strat and $50,000 into the Pull-back strat)?
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