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| General Discussion · Portfolio Visualizer -- backtesting | |
| novacane32000 msg #148422 |
7/8/2019 10:04:14 AM Thanks Dave-- |
| General Discussion · Portfolio Visualizer -- backtesting | |
| novacane32000 msg #148384 |
7/5/2019 1:36:27 PM Dave, can you explain what triggers the move in and out of the funds every month? |
| General Discussion · Portfolio Visualizer -- backtesting | |
| novacane32000 msg #148360 modified |
7/3/2019 9:34:28 PM @davesaint86 Those are impressive results and the lack of significant drawdown really catches the eye. Does the book provide a clear method for using dual momentum? Is that what you used in the backtest? Edit: Here is a review I read on Amazon. Is this accurate? "tl;dr: On the first of every month, switch 100% into either SPY or ACWX, whichever one has the highest trailing 12-month return. If the trailing 12-month return for both of them is negative (technically, less than the T-Bill return), switch 100% to BND." |
| Filter Exchange · Super Trend Filter | |
| novacane32000 msg #148175 |
6/16/2019 8:35:15 PM @nibor100 I ran your filter using var6a as the trend change signal. To avoid anticipating a signal as the market winds down for the day, I waited until the end of day signal was confirmed and then bought or sold at the open of the following day. Results are still good but you basically enter a day late and exit a day late every trade. More of a real-life scenario for the working man that may have a hard time committing to watching every market close near 4pm. Here are my results with first trade on 7/5/16 and last trade closing on 5/24/19 Compound Return = 31.6% SPY return during same time period = 36.4 % Great returns when you consider most do not beat the market anyways. I can see this filter as a legit market indicator. Will have to monitor going forward. Thanks for the input Ed. |
| Filter Exchange · Super Trend Filter | |
| novacane32000 msg #148158 modified |
6/14/2019 10:46:53 PM Let me clarify. Both backtest I mentioned are actually the same backtest and are from the first filter I posted which is the Kevin original. The stats are correct in both mentions but the signal was taken at the close on the day of the trend change and not the open of the next day as previously mentioned. Apologies for the confusion there. The 2nd filter I posted was tweaked by me and I did not discuss results but here they are. It is a little slower with the trend change so instead of 70 trend changes, you only have 32 trend changes over a 3 year period. The 2nd filter also performed better (long) over the entire 3 years but it did so because of the smooth uptrend in SPY from mid-2016 thru the start of 2018 which helped the results. The 1st filter performed very well in 2018 when the market zigged and zagged more. Thanks for asking @nibor100 as you made me look a little deeper at my results. Conclusion: The 1st filter works well in a range bound market and actually works great going both long and short in 2018. It does not perform very well with the market trending. The 2nd filter works well in a trending market but is too slow in a range bound market resulting in too many whipsaws. As many on here have figured out by now, there is no holy grail filter but there are certain filters that work very well during certain market conditions. |
| Filter Exchange · Super Trend Filter | |
| novacane32000 msg #148112 |
6/11/2019 1:15:04 PM Made some tweaks and eliminated a lot of the whipsawing. Some beautiful curve fitting if I dont say so myself :) |
| Filter Exchange · Super Trend Filter | |
| novacane32000 msg #148104 |
6/10/2019 8:13:48 PM Yes, it is a pain but I did backtest SPY from June 2016 thru May 2019. Whenever the trend changed I went long or short the next day at the open. Long: 31 Wins and 39 losses. As you would suspect, every trade of 5 days or less was a loser of which there were 30. Overall Long trades had a net win .3% /trade. Short: 14 Wins and 56 Loses. The only winners were trades that trended 7 days or longer with one exception. Overall, Short trades had a net loss .2%/trade. As it stands, a very slight edge going long unless someone can eliminate the whipsaws. |
| Filter Exchange · Super Trend Filter | |
| novacane32000 msg #148088 |
6/8/2019 10:01:08 PM Thanks, Graf I added the volume and it did make some small adjustments but what I would really like to see is a modification to eliminate some more of the whiplash. I realize the tradeoff would be staying in downtrends a bit longer and not catching the rallies quite as soon but I am okay with that as I'm trying to find a filter to help me with my 401K management. |
| Stock Picks and Trading · Shills Corner | |
| novacane32000 msg #148006 |
6/2/2019 9:18:31 AM I have backtested Martingale trading systems and you can win 20 trades in a row then lose the next 3 out of 5 and all your profits are wiped out. |
| General Discussion · Understanding the Performance Test | |
| novacane32000 msg #148005 |
6/1/2019 10:50:59 PM Clickable |
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