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XLS-19 V2 + other strategies
Last Activity 2/19/2018 5:00 PM
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Lain Bogle

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Subject : XLS-19 V2 + other strategies
Posted : 5/17/2017 11:28 AM
Post #28555

I've been doing some testing on XLS-19 V2 and has some really good results.




I've just started testing it with other strategies to increase my average invested number as this usually has a really good increase to profit and keeps your money working for you more often.

Here's what XLS-19 V2 looks like when used with Nirvana's CRSI strategy.
Takes the ROI from 31K% to 169K%. The WDD does go up a bit too but very minimal to the ROI.




These are the stock strategies with the XLS-19 V2 symbol list.
5% allocation per trade.


There's lots of other Nirvana Mechanical strategies that can be combined with it. I only just started testing different ones.


Lain

[Edited by Lain Bogle on 5/17/2017 11:30 AM]

Attached file : XLS-19 V2.png (420KB - 361 downloads)
Attached file : XLS-19 V2 + CRSI.png (438KB - 361 downloads)

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mgerber

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Subject : RE: XLS-19 V2 + other strategies
Posted : 5/18/2017 1:54 PM
Post #28556 - In reply to #28555

What is the "Nirvana's CRSI strategy" to which you are referring?

I had never heard of it, and nothing comes up in a search . . .

--Mark G.
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Nathan Dunham

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Subject : RE: XLS-19 V2 + other strategies
Posted : 5/18/2017 2:31 PM
Post #28557 - In reply to #28556

It's a strategy from the Connor's RSI Strategy Suite that was released at the same time as the OT2107 upgrade. Here's the brochure link. https://www.nirvanasystems.com/wp-content/uploads/2017/01/ot2017.pdf

Regards,
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mgerber

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Subject : RE: XLS-19 V2 + other strategies
Posted : 5/18/2017 3:33 PM
Post #28558 - In reply to #28557

Thank you very much, Nathan. I'll check it out.


--Mark G.
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Blueice

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Subject : RE: XLS-19 V2 + other strategies
Posted : 5/20/2017 5:51 AM
Post #28561 - In reply to #28555

What are the testing periods? I see combining strategy increases MDD and decreases overall profit and also decreases profit factor to 1.72 fron 2.09, how combining strategies is useful therefore want to know testing period. Thx
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Lain Bogle

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Subject : RE: XLS-19 V2 + other strategies
Posted : 5/23/2017 11:40 AM
Post #29562 - In reply to #28561

The Test period is 1990 to May 2017 (you can kind of see that from the years at the top of the chart).

MDD did go up 3.5%, but overall profit did not go down.
It went from 31,000% to 169,000%.
Over 5 times increase in profit for just a 3.5% increase in MDD.
Profit factor did go down, but Calmar Ratio went up.
And for that 5 times increase in profit it only added another 2000 trades over 27 years.


That's just one example of combining. Nirvana has many mechanical strategies you can combine. The more you combine to get your average invested number up, the more your money is working for you, the more profit you make (of course it depends on the strategies combined).


Lain
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Jim Dean

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Subject : RE: XLS-19 V2 + other strategies
Posted : 5/23/2017 11:57 AM
Post #29563 - In reply to #29562

Hi Lain

How well does the same thing worked with a random list of say 100 symbols chosen from the Russell 2k filtered for those that existed back enough years? Random = maybe use every 20th symbol in the existence-filtered alpha list.

Doing that might help eliminate impacts of any inadvertent curve fitting during development.
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Lain Bogle

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Subject : RE: XLS-19 V2 + other strategies
Posted : 5/23/2017 3:53 PM
Post #29564 - In reply to #29563

Hi Jim,

I didn't get too much into extensive testing as I just wanted to show what happens when you combine the new XLS-19 V2 with other Nirvana mechanical strategies.

There's still lots of testing to be done :)

I did notice that the symbols Nirvana selected for XLS-19 V2 seems to perform better than other stock lists like SP100 or SP500.
I'm not sure what they did to select that list though and if it's something that could be generated dynamically.

Have a great day!

Lain

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THOMAS HELGET

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Subject : RE: XLS-19 V2 + other strategies
Posted : 5/23/2017 4:22 PM
Post #29565 - In reply to #29564

Lain:

As I recall Jeff Drake in his XLS-19 V2 Webinar stated that the Focus List was comprised of the S&P 100 and the NASDAQ 100.

And it is stated in the User's Manual:

The XLS-19 V2 Profile
The XLS-19 V2 installation will provide you with the XLS-19 V2 Profile for
OmniTrader. This is a simple profile, but it has the list of symbols (the stocks in the
S&P 100 and NASDAQ 100) used for simulated results and it has the XLS-19 V2
Strategy enabled.

Tom Helget

[Edited by THOMAS HELGET on 5/23/2017 4:28 PM]

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Lain Bogle

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Subject : RE: XLS-19 V2 + other strategies
Posted : 5/23/2017 5:31 PM
Post #29566 - In reply to #29565

Ah perfect. Thanks Tom. Haven't watched the webinar yet, went right to testing :)

Lain
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