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Last Activity 4/21/2021 9:48 AM 13 replies, 2733 viewings |
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jpb![]() Veteran ![]() ![]() ![]() Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI ![]() |
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. [Edited by jpb on 4/16/2018 8:05 PM] ![]() ![]() ![]() ![]() ![]() ![]() ![]() ![]() | ||
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Buffalo Bill![]() Legend ![]() ![]() Posts: 539 Joined: 10/3/2006 Location: Stafford, VA ![]() |
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![]() Veteran ![]() ![]() ![]() Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI ![]() |
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![]() Veteran ![]() ![]() ![]() ![]() Posts: 175 Joined: 1/13/2017 ![]() |
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![]() Sage ![]() ![]() Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA ![]() |
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![]() Regular ![]() ![]() Posts: 59 Joined: 12/11/2003 Location: Marietta, GA ![]() |
SW 4 info - https://www.nirvanasystems.com/solutions/plugins/strategy-wizard-4/ | ||
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Jim Dean![]() Sage ![]() ![]() Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA ![]() |
Thanks Tony! | ||
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SteveJ![]() Member Posts: 19 Joined: 10/6/2015 Location: France ![]() |
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![]() Sage ![]() ![]() Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA ![]() |
Ack. No notice re webinar. About SW4? Can you provide signup link? | ||
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SteveJ![]() Member Posts: 19 Joined: 10/6/2015 Location: France ![]() |
It is about SW4 but I've deleted the email with the sign up link | ||
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Jim Dean![]() Sage ![]() ![]() Posts: 3022 Joined: 9/21/2006 Location: L'ville, GA ![]() |
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![]() Icon ![]() ![]() ![]() Posts: 1543 Joined: 12/12/2003 Location: BALDWINSVILLE, NEW YORK ![]() |
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![]() Legend ![]() ![]() Posts: 539 Joined: 10/3/2006 Location: Stafford, VA ![]() |
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! [Edited by Buffalo Bill on 5/11/2018 4:24 PM] | ||
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jpb![]() Veteran ![]() ![]() ![]() Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI ![]() |
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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