| StockFetcher Forums · Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO | << 1 ... 18 19 20 21 22 >>Post Follow-up |
| fortyfour 189 posts msg #113319 - Ignore fortyfour modified |
5/11/2013 8:25:03 PM Jimmy jazz , Simple... The best thing you can do here is to learn the basics of the stockfetcher backtester and Excel. Download the TRADES from the SF backtester into Excel and learn to do these calculations in Excel. Example is.....if avg win is $60 and avg loss is $40 and system is 50/50% and there are 100 trades totally then you have a gross of $3000 won , gross $2000 lost for a net profit of $1000. Now if 51/49% and all else stays the same the gross profit is $3060 and gross loss is $1960 for a net profit of $1100. If 1000 trades total then net profit would change from $10,000 to $11,000 if system change from 50/50 to 51/49 I asked Kevin something elsewhere but the bottom line is I can do all the work myself too. I agree it's just easier to Ask hen you are watching an NBA double header. Good luck. Gotta love iPads. Ps: barring any simple arithmetic errors I learned something here as I wouldn't give a 50/50 compared to 51/49 system too much thought in my testing but damn a 10% profit difference is indeed significant. The simple assumption of a 50/50 system with a 60/40 avg win/ avg loss is not extreme but maybe 55/45 better. Definitely a lot of value getting dirty with simple data iin Excel. |
| Kevin_in_GA 4,599 posts msg #113320 - Ignore Kevin_in_GA |
5/11/2013 9:10:58 PM From a previous post I did a while back - relevant here: What is important is not win % but the expectancy of the filter, meaning the average profit per trade one can anticipate based on using this approach versus others. An example to help clarify this - We have two systems that we can use, one which results in a winning trade 40% of the time and one which results in a winning trade 80% of the time. If this is all you know about each system, then the obvious choice for people is to go with the system that wins more often. But now we learn that when it wins, the 40% system returns 15% on every winning trade, and loses 3% on every losing trade. In contrast, the 80% system returns 3% on every winning trade but loses 15% on each losing trade. Now which system would you go with? Intuitively, you might still stick with the 80% system, but let's now look at the numbers more closely: $10000 x (0.8*0.03) - $10000 x (0.2*0.15) = 240 - 300 = -$60 per trade on average And let's look at the 40% system as well: $10000 x (0.4*.15) - $10000 x (0.6*.03) = 600 - 180 = +$420 per trade on average Are things becoming a little clearer? At this point it becomes very obvious that you are probably going to lose money on the 80% winning system with every trade you place. I'd usually now talk about frequency of trades as the next key point (obviously with two profitable systems you need to look at how often one has the option to make money and multiply the average profit per trade by the frequency of trades), but since one is negative expectancy there is no real need. Money management is different from the above - that usually is about trade sizing, stops, etc. Expectancy is what one needs to understand before placing ANY trade. |
| jimmyjazz 102 posts msg #113321 - Ignore jimmyjazz |
5/11/2013 11:31:46 PM All these points are valid, but they're not what I was (trying to) ask. Of course I understand the arithmetic combinations involved. It's why I used the 53/47 VS 52/48 example. It's a 33% reduction in profit, all things being equal. What I'm trying to get at is how does one assess the likelihood of retaining that slight edge in a system that depends on that edge to put money in the bank? Maybe it all comes out in the wash. I'll think my way through it. I'm just concerned that a system so close to (or below) 50/50 would be more sensitive to market conditions than one which goes 80/20, but obviously, if market conditions cause that 80/20 system to suddenly become less profitable (per win), then we have a similar problem on our hands. |
| bkhurana43 103 posts msg #113324 - Ignore bkhurana43 modified |
5/12/2013 9:17:34 AM Using SPY, SSD & SSO charts with RSI Divergence Filter, it appears Entry and Exit points are in reverse order. Am I missing something? |
| ashokar5 4 posts msg #113350 - Ignore ashokar5 |
5/13/2013 4:15:27 PM hi can you make a system for buy and sell for macd and klinger volume oscillator. thanks asok |
| Kevin_in_GA 4,599 posts msg #113354 - Ignore Kevin_in_GA |
5/13/2013 8:46:29 PM Please stop cross posting the same request in multiple threads. Rather, simply start a new thread with your topic of interest. Thanks. |
| jackmack 334 posts msg #113506 - Ignore jackmack |
5/17/2013 2:06:37 PM Kevin Hello and good afternoon I hate to bother you and ask but were you able run the back test in SS I asked about previously? Thank you |
| Kevin_in_GA 4,599 posts msg #113561 - Ignore Kevin_in_GA |
5/20/2013 10:42:48 AM @jack: I ran the combo you suggested over the weekend - much worse overall performance than the original settings. But I also noticed that in 2013 the drawdown for this approach (regardless of settings) was fairly severe, and especially bad in the beginning of 2013. I would think that anyone trading this over the last 6 months would have given up, even though it has actually made reasonable profit overall. The volatility of this approach is more than I am personally comfortable with. |
| jackmack 334 posts msg #113566 - Ignore jackmack |
5/20/2013 1:36:05 PM Kevin Thank you for that information and thank you for doing that for me. Cheers |
| jackmack 334 posts msg #115126 - Ignore jackmack |
8/28/2013 11:51:31 AM Kevin I have been watching and using :-) this filter set with much fascination and appreciation. One thing that perplexes me is how it get's (for lack of a better term) out of sync for time to time (which would explain the number of times where there are multiple losing trades in a row in the back test data you provided - and discussed in the thread). I have been wondering if there wouldn't be another indicator to back up the entry/exit of each new position to keep it on the right track. Take for example SDS - the filter got it right this time with the 26 Aug entry but look at the entry signal that ocured before it - or look at SSO and the August 12th signal to go long - resulted in a net loss on both if one followed the entry/exit signals. Believe me I am not picking at all on this but rather just wondering if there wasn't something else that would get the signals lined up so they were making a greater number of correct calls - that's all - not looking for the holy grail - I love this filter and have made a lot of $ using it but I am Elliot Waver and use my entry and exits with what I "think" the next market move might be but I would like to get away from what "might be" and have a filter set that's lined up to go long or short a position and thought there could be something overlooked with this that might improve the overall odds - that's all. Thank you Cheers |
| StockFetcher Forums · Filter Exchange · STOCHASTIC CROSSOVER SYSTEM FOR SDS AND SSO | << 1 ... 18 19 20 21 22 >>Post Follow-up |
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