StockFetcher Forums · Filter Exchange · MY XIV TRADING SYSTEM USING STRATASEARCH FILTERS<< 1 ... 22 23 24 25 26 ... 40 >>Post Follow-up
nibor100
384 posts
msg #140234
Ignore nibor100
12/19/2017 3:19:16 PM

@graftonian,

I've been working on Kevin filter #10, which I will post when finished with comparative testing of SF results vs. SS data.

Thanks,
Ed S.

graftonian
815 posts
msg #140236
Ignore graftonian
12/19/2017 3:31:39 PM

roger that, Nibor.
#11 was to easy, I must be missing something.

Fetcher[
/*********XIV 11 ***********/
symlist(XIV, UPRO, TQQQ, NUGT, JNUG)
add column ROC(10,1)
sort on column 5 descending
CHART-TIME IS 1 YEAR
/* PRICE CHANNEL */
SET{PCH17, CMA(HIGH,17)}
SET{PCL17, CMA(LOW,17)}
SET{ENTRY1, COUNT(CLOSE < PCL17,1)}

DRAW PCH17 ON PLOT PRICE
DRAW PCL17 ON PLOT PRICE

SET{PC_DIF, PCH17 - PCL17}
SET{PC_AVG, CMA(PC_DIF,17)}
SET{ENTRY2, COUNT(PC_DIF > PC_AVG,1)}

SET{TRIG1, ENTRY1 + ENTRY2}
SET{TRIGGER, COUNT(TRIG1 EQUALS 2,1)}
DRAW TRIGGER

/**** EXIT ***/
SET{EXIT, COUNT(Stochastic %D(13,2,3) CROSSED BELOW 79, 1)}
DRAW EXIT

]



Kevin_in_GA
4,599 posts
msg #140247
Ignore Kevin_in_GA
12/20/2017 8:05:47 AM

My signal email from last night - 2 new BUY signals:

SideActionPFOrderTypeProductSymbolNameBuyDateBuyPriceClosePriceGainLossSystem Name
LongBuy10MarketStockXIVXIV 134.81 XIV MULTISYSTEM #20
LongBuy10MarketStockXIVXIV 134.81 XIV MULTISYSTEM #35
LongHold10 StockXIVXIV12/19/2017135.5134.81-0.51%XIV MULTISYSTEM #33
LongHold10 StockXIVXIV12/18/2017135.17134.81-0.27%XIV MULTISYSTEM #40
LongHold10 StockXIVXIV12/5/2017116.7134.8115.52%XIV MULTISYSTEM #23
LongHold10 StockXIVXIV12/18/2017135.17134.81-0.27%XIV MULTISYSTEM #6


Kevin_in_GA
4,599 posts
msg #140313
Ignore Kevin_in_GA
12/22/2017 9:06:33 AM

New signals for today - I noticed that for some reason the signal for 12/19 (#33) is not showing up. Not sure why.

LongBuy10MarketStockXIVXIV 136.09 XIV MULTISYSTEM #32
LongHold10 StockXIVXIV12/5/2017116.7136.0916.62%XIV MULTISYSTEM #23
LongHold10 StockXIVXIV12/18/2017135.17136.090.68%XIV MULTISYSTEM #40
LongHold10 StockXIVXIV12/20/2017137.04136.09-0.69%XIV MULTISYSTEM #35
LongHold10 StockXIVXIV12/20/2017137.04136.09-0.69%XIV MULTISYSTEM #20
LongHold10 StockXIVXIV12/18/2017135.17136.090.68%XIV MULTISYSTEM #6


mahkoh
1,059 posts
msg #140341
Ignore mahkoh
modified
12/23/2017 6:05:11 AM

I have noticed that it is not uncommon for Yahoo to have a way off price (usually the open) and to correct that in the next couple of days.

Looking forward to following your new thread. You state that it is a problem to use SS for weekly data. I agree that transposing all formulas into weekly would indeed be a pain. But how about going the oppsite way, importing weekly prices as an ASCI file and run the regular formulas against that data?

Kevin_in_GA
4,599 posts
msg #140343
Ignore Kevin_in_GA
12/23/2017 7:53:50 AM

That would work. I havenít tried it yet but I have found with combined long and short systems SS tends to give you win rates that are in the 70/80% range over longer time frames. Certainly good but not at the level Iím seeing with the NN systems.

Maybe a contest to see who can produce the best XIV long and short system from 2011-2017 using either daily or weekly data?

mahkoh
1,059 posts
msg #140364
Ignore mahkoh
12/24/2017 6:56:24 AM

As you already have a complete system for XIV, shall we do GDX? If the neural networks are about spotting a pattern and expecting this pattern to continue; well, in hindsight even I could have spotted the pattern in XIV over the last 2 years. The GDX chart however is a different animal and might just prove to be a challenge for Neuromaster. I know it is a challenge for SS as I have tried several but have yet to find strategies that are consistent going forward.

I have purchased the software as well by the way, after all the PS4 I'm getting my son for X-mas is more expensive and of that I'm sure it will not pay for itself. As I understand support is pretty much nonexistent so you'll probably be hearing from me when I encounter issues..

GDX data starts in May 2006, that's 11 years or 570 bars. Roughly the same as a 2 year backtest when based on daily data. Currently, after 8000 runs I'm looking at 86 % profitability and 6% annual return on a portfolio size of 10.

Kevin_in_GA
4,599 posts
msg #140369
Ignore Kevin_in_GA
12/24/2017 4:44:55 PM

HOW ABOUT THIS?

Image and video hosting by TinyPic

Weekly data used (I did three separate OneClick runs and combined them). Portfolio of 10 returns 21.78% per year, annualized Sharpe ratio is a ridiculously high 4.22. Win percentage is not astounding (73%). Total number of trades is 296 (about 50/50 long and short).

mahkoh
1,059 posts
msg #140373
Ignore mahkoh
modified
12/24/2017 6:02:50 PM

Impressive.. Assuming you created the weekly GDX sector today or yesterday you must either have a very fast computer or give the one-click few runs before moving to the next. In this "multi-one-click" approach I let the one-click go for some 700K to 800K before starting the second, at what point do you move on to the next?

I'm running the system from the end of 2006 and have an initial capital of 50000, so we're a bit off here. As I'm still in my first run I assume a 5 position portfolio. 82% profitable, 116 trades also 50/50 long/short, annual return 12 % but Sharpe ratio only 0.40.

Image and video hosting by TinyPic


How do you resize the picture and get the white background?






Kevin_in_GA
4,599 posts
msg #140375
Ignore Kevin_in_GA
12/24/2017 7:30:32 PM

I am using the High Sharpe Ratio OneClick, and letting it run about 25-40000 runs. By then I usually have a pretty good system. I then save it into a Multisystem, clear the results in the OneClick, and start over.

Make a signal for each MS, Merge the signals into one single signal system, then Create MS from that signal to combine all of the MS into one.

Just resize the Detailed results box to get the picture smaller. I right-click on the graph and choose Settings - from there you can modify the colors as wanted.

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