Hey guys, this post is to talk about the YouTube video that I just published today. You can watch it here: https://youtu.be/fHqK97yMxeg
Please also comment on YouTube since it helps us to gain attention.
VK
Please also comment on YouTube since it helps us to gain attention.
VK
Rename
When I removed the indicator condition "High-Low is less than Lowest(High-Low,5) of 1 bar ago, I got amazing results with SPY:
Setting: All data, 100 Percent, Margin 1.2
+2,648.16% (Benchmark 1,196.34%)
Drawdown -46% (Benchmark: -56%)
Setting: All data, 100 Percent, Margin 1.2
+2,648.16% (Benchmark 1,196.34%)
Drawdown -46% (Benchmark: -56%)
Interesting, let me check it. There is always room for improvements.
I worked now the whole morning to find out good strategy settings with the Calm Range system:
10 years Backtesting on the Norgate Dataset S&P 500 Dividend Aristocrats Current & Past:
APR: +18,57%
Drawdown: -14,17%
Max. Drawdown Length: 118 days
I tested it with several other Datasets and even Futures: Most are positive or APR is about 0% (so random result).
The system seems to be robust, even if I change the timescale to Week or Month, APR is still positive.
To keep it simple, I removed the Buy by LMT order because it increases the complexity and maintenance to run this strategy without a better result.
10 years Backtesting on the Norgate Dataset S&P 500 Dividend Aristocrats Current & Past:
APR: +18,57%
Drawdown: -14,17%
Max. Drawdown Length: 118 days
I tested it with several other Datasets and even Futures: Most are positive or APR is about 0% (so random result).
The system seems to be robust, even if I change the timescale to Week or Month, APR is still positive.
To keep it simple, I removed the Buy by LMT order because it increases the complexity and maintenance to run this strategy without a better result.
If you like high win rates, then add this game changer as condition for Buy at Market:
Win rate will then increase up to 64% with up to 53 (!) consecutive profits!
Win rate will then increase up to 64% with up to 53 (!) consecutive profits!
Very interesting!
Just an esthetical remark:
Make your windows as narrow as meaningful before taking the screenshot.
Makes for nicer graphics in the forum.
Just an esthetical remark:
Make your windows as narrow as meaningful before taking the screenshot.
Makes for nicer graphics in the forum.
@DrKoch: Yes, I will do it in the future. Thanks for the tip.
There are some interesting blocks in it. It seems that the transaction weight
is leading to buy stocks with the highest price which means you might miss out of some stocks with lower stock prices. However it might be good way to avoid stocks that are losing value.
Also, I wonder if the ranked top 50 stocks from Norgate historically consider the survivorship bias?
is leading to buy stocks with the highest price which means you might miss out of some stocks with lower stock prices. However it might be good way to avoid stocks that are losing value.
Also, I wonder if the ranked top 50 stocks from Norgate historically consider the survivorship bias?
@vk:
The transaction weighting is still not optimal. My goal was to find a method to identify which stocks have the strongest uptrend. The transaction weight based on the SMA Close is therefore technically incorrect. I need to come up with a better solution for that.
For ranking the top 50 by volume: The software should (hopefully) first create an internal list of stocks to be processed (both past and current), and then recalculate the volume ranking for each day in the backtest.
Ideally, the ranking would be based on market capitalization, but since we don’t have that data, I chose to use volume as a substitute. I hope this will lead to a similar ranking as if we were using market capitalization.
The transaction weighting is still not optimal. My goal was to find a method to identify which stocks have the strongest uptrend. The transaction weight based on the SMA Close is therefore technically incorrect. I need to come up with a better solution for that.
For ranking the top 50 by volume: The software should (hopefully) first create an internal list of stocks to be processed (both past and current), and then recalculate the volume ranking for each day in the backtest.
Ideally, the ranking would be based on market capitalization, but since we don’t have that data, I chose to use volume as a substitute. I hope this will lead to a similar ranking as if we were using market capitalization.
How did you determine that ranking by market cap is "ideal" or "optimal"?
QUOTE:
How did you determine that ranking by market cap is "ideal" or "optimal"?
I can see the logic behind using market cap over the stock price. I guess the idea is to use large companies and not small ones. In the context of the trading strategy it might make sense.
Lets test it!
@vk
Since the current trend is for more and more people to invest in ETFs in the index, and the ETF weights companies with higher market capitalization higher than those with less, more and more money is flowing into the companies with a higher market capitalization. The trend is getting stronger and stronger as more and more people invest only in the index. And I believe that if we take this trend into account in our strategies, we can outperform the index.
QUOTE:
I can see the logic behind using market cap over the stock price. I guess the idea is to use large companies and not small ones.
Since the current trend is for more and more people to invest in ETFs in the index, and the ETF weights companies with higher market capitalization higher than those with less, more and more money is flowing into the companies with a higher market capitalization. The trend is getting stronger and stronger as more and more people invest only in the index. And I believe that if we take this trend into account in our strategies, we can outperform the index.
I like the thought and it is worth exploring.
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