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jpb
Posts: 168
Joined: 5/11/2005
Location: Brown Deer, WI
 User Profile |
I got thinking that with RTM strategies, we are really looking at a short time horizon. I wondered if there was an optimal time horizon per strategy that if the position didn't move, we should close the trade. To achieve this, I added an Inactivity condition to each trade plan and used the Strategy Wizard to step through each strategy, testing each Inactivity period from 2 to 22 step 2. From there I tested the period before and after the period that had the highest ratio for Avg Ann ROI/Profit Standard Deviation. I use this ratio because for me it is an assessment of the distribution -- the tighter the Std, the more predictable it is and the less inherent risk.
Next, as I was catching up on my forum reading, I saw that Steve Luerman had done some nice work by changing the strategies to use Market on Close for entry/exit and used the Reuse Intraday funds. I also believe he used the Simulation Setting to Increase Trade Size vs Increase Number of Trades.
Combining the 2 concepts of Inactivity and MOC, I came up with the following results:
Note that these results include commissions.
Of interest, if you don't reuse the Intraday Funds, the ranking of the methods:
1) Inactivity + MOC
2) Inactivity
3) MOC
4) Base (my interpretation of Mark H's original Macro + Micro posting)
5) ATM Macro & Micro from the Nirvana distribution
Activating the reuse of Intraday Funds flip flops the #2 and #3. The results were also lower, but this shows that combining the ideas is adative.
At 1.23x leverage and no commissions, the Inactivity + MOC method produces: Avg Ann ROI / Avg Ann MDD = 85.0% / 12.4% = 6.85
For those interested in the Periods of Inactivity used in each strategy:
CRT-3: 2
NSP-41: 9
RTM7a: 4
T3-S3: 4
XLS-19 V2: 4
X-MFI: 7
X-ULT: 9
Finally, one more pic. For those of you that wonder what an account would look like that starts with $10,000 over the 15 year period, with commissions and no intraday reuse of funds...
Large images attached for those wanting higher resolution.
 Attached file : Leverage1.23.png (68KB - 375 downloads)
Attached file : Leverage2.0.png (73KB - 325 downloads)
Attached file : Leverage2-no-reuse.png (70KB - 325 downloads)
Attached file : Account-10000.png (74KB - 338 downloads)
Attached file : Leverage1.23-800x.png (205KB - 1191 downloads)
Attached file : Leverage2.0-800x.png (213KB - 1247 downloads)
Attached file : Leverage2-no-reuse-800x.png (209KB - 1220 downloads)
Attached file : Account-10000-800x.png (214KB - 1259 downloads)
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Buffalo Bill
Posts: 539
Joined: 10/3/2006
Location: Stafford, VA
User Profile |
Curious what setting you used for the minimum gain under the inactivity stop? It defaults to 10 ATRs which is ridiculously high. I'm thinking more like 2-3% but wondering what you used
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jpb
Posts: 168
Joined: 5/11/2005
Location: Brown Deer, WI
User Profile |
I left those as default. The Period was the only value I changed. I am running a test with Strategy Wizard 4 to see if there are better settings for the combination of the periods, min gain, and ATR. But that will take awhile.
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mholstius
Posts: 175
Joined: 1/13/2017
User Profile |
Great idea, jpb....
I'm looking forward to using Strategy Wizard 4 too - it looks like another great improvement from N.
Thanks for sharing your work!
Mark
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Jim Dean
Posts: 3022
Joined: 9/21/2006
Location: L'ville, GA
User Profile |
Please provide a link to the SW 4 information. I never got a flyer or even an email about it.
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TonyJ
Posts: 59
Joined: 12/11/2003
Location: Marietta, GA
User Profile |
SW 4 info - https://www.nirvanasystems.com/solutions/plugins/strategy-wizard-4/
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Jim Dean
Posts: 3022
Joined: 9/21/2006
Location: L'ville, GA
User Profile |
Thanks Tony!
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SteveJ
Posts: 19
Joined: 10/6/2015
Location: France
User Profile |
Jim
There is also a webinar today. Not sure of the time where you are but it's at 10 pm in France.
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Jim Dean
Posts: 3022
Joined: 9/21/2006
Location: L'ville, GA
User Profile |
Ack. No notice re webinar. About SW4? Can you provide signup link?
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SteveJ
Posts: 19
Joined: 10/6/2015
Location: France
User Profile |
It is about SW4 but I've deleted the email with the sign up link
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Jim Dean
Posts: 3022
Joined: 9/21/2006
Location: L'ville, GA
User Profile |
No worries. Scott set me up with SW4 and also the email link. Seems that there are many sort of random times when random users don't get email announcements. I hope that N improves this. Thanks, Scott!
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EYEGUY
Posts: 1543
Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK
User Profile |
Jim and all:
This automatically comes up with my name but I would think you could modify it for yourself:
https://register.gotowebinar.com/register/6285542228766404355
Tom Helget
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Buffalo Bill
Posts: 539
Joined: 10/3/2006
Location: Stafford, VA
User Profile |
FWIW - to get settings for the inactivity stop in each strategy what i did was run a full BT/FT then take the trading results under file-print reports-perf summary and look at the ave bars in trade - say it's 3 - and use that in the stop. For min gain I looked at the ave PPT for the strat and used that. separate settings for long and short if the strategy trades both
Too many strategies/settings involved to SW each one and this seemed like a good start.
Open to better ideas!
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jpb
Posts: 168
Joined: 5/11/2005
Location: Brown Deer, WI
User Profile |
Good suggestion. That may narrow my search.
I've been running SW since the original post but each run has over 11,000 combinations. I have 7 virtual machine clones running, but it will take years for it to finish. I was hoping that by the time I get 500 iterations using the Fast algorithm that I might have a small cluster forming that I could use to focus the search.
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