kmcintyre Legend  Posts: 410 Joined: 8/30/2007 Location: Valley Center, CA  User Profile | I tested 1, 3, 5, 10, and 21 bar exits to see if using the LRS could improve the Hit Rate (HR) over random entries. I started by entering every trade OT allowed without any filtering by the LRS. I used the SP500 and NAS100 as my universe of stocks. My backtest period was 1/1/15 through 12/31/15. My forward test period was 1/1/16 to present. Once determining the market bias for the BT and FT periods, I then used Strategy Wizard to test various ranges of min and max LRS readings. LonSignal's were triggered for each bar that met the range requirements. The results of the NBar exits were recorded by SW. Once I ran all the desired experiments for 1, 3, 5, 10, and 21 bar exits, I pulled all the data into Excel. I calculated the top Hit Rate as well as the average of the top 5 LRS range parameters for each N-bar term. I calculated the improvement (or lack thereof) of the best and average numbers. I am attaching a png of the summary sheet, as well as the workbook. The executive summary is that using the Linear Regression Slope to filter trades improved the Hit Rate in every case tested. THe largest improvement was 18.39% while the smallest improvement was 2.96%. Notes 1) These results are based on one sequence of trades for each run of Strategy Wizard. Samples of 1 must be viewed with a suspicious eye. To be more thorough, the indMonteCarlo.txt OL code (previously posted to the OTPro forum) should be used as a filter, and multiple SW runs taken to establish a more convincing result. This would help eliminate biases caused by trade sequenceing. 2) I am only looking at the viability of LRS as a filter. No entry or exit logic systems or tradeplans have been employed to enhance performance. Hence I am only focused on Hit Rate. 3) I plan on testing 126 bar and 21 bar LRSlopes to determine if longer or shorter trends are more predictive for short term trades. 4) I also plan on testing ShortSignal's in similar fashion. Hope this is useful...  Attached file : LRSSlope Summary Sheet.png (48KB - 288 downloads) Attached file : LRSlope 63 bar.xlsx (183KB - 325 downloads) |
