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mholstius

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Joined: 1/13/2017

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Subject : RE: Expectancy Testing
Posted : 1/14/2017 3:23 PM
Post #38689 - In reply to #38688

Hi Tom

Sorry, but I don't have any more information on Ed's MVX-15 than what you put up.

The Expectancy Filter development work that I did and Ed has implemented in OT is very new and quite different. The concept is to use the previous performance of a System to hopefully "weed out" better System / Symbol combinations from a large pool of potential trades each day walking forward.

As new as the concept is, I can only respond with some of the results from the very limited testing I've been able to do so far. There's a LOT more to be done & learned - but I'll paste a comparison of a "before and after" run I did today using OT's Portfolio Simulation;




Chart A on the top is running just VBX3 using my list of 434 ETFs

Chart B also uses just VBX3 and the 434 ETFs, but with a simple Volume Filter and the Expectancy Filter set to require an Average APR of 75% over the previous 6 Trades in a symbol in order to take the next trade in that symbol.

As you can see, there's a considerable difference in the personality and statistics for the 2 charts - the major difference being that both the Volume and Expectancy rule are applied at the time of the trade on a walk forward basis.

There's still a lot to learn, but if it holds up I'd certainly prefer to trade chart B.


I have to leave shortly for the next few days, but will try to post more info next week after running more tests.

Hope you have a nice weekend,
Mark


[Edited by mholstius on 1/14/2017 3:25 PM]

Attached file : 01-Before And After.png (315KB - 1015 downloads)

Deleting message 38689 : RE: Expectancy Testing


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