Combo-MF, a simple and robust trading strategy ?!?

[FONT=Calibri][SIZE=3]Using the time free because of the current neutral state the 20DMF is in, I did some back testing to find an easy trading strategy.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]I have written a paper about it and publish it here.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]Because my native language is Dutch there is a possibility that my writing in English is not perfect.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]I have only been trading for 1½ year and consider myself still very novice.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]There are certainly more brighter and more experienced people in this forum.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]The idea behind this paper is to obtain feedback.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]The results are quite good to my personal humble opinion.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]Maybe too good to be true…[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]Any feedback is more than welcome[/SIZE][/FONT]

[FONT=Calibri][SIZE=3]PdP-Brugge[/SIZE][/FONT]

[ATTACH]13180[/ATTACH]

[QUOTE=pdp-brugge;20916][FONT=Calibri][SIZE=3]Using the time free because of the current neutral state the 20DMF is in, I did some back testing to find an easy trading strategy.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]I have written a paper about it and publish it here.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]Because my native language is Dutch there is a possibility that my writing in English is not perfect.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]I have only been trading for 1½ year and consider myself still very novice.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]There are certainly more brighter and more experienced people in this forum.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]The idea behind this paper is to obtain feedback.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]The results are quite good to my personal humble opinion.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]Maybe too good to be true…[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]Any feedback is more than welcome[/SIZE][/FONT]

[FONT=Calibri][SIZE=3]PdP-Brugge[/SIZE][/FONT]

[ATTACH]13180[/ATTACH][/QUOTE]

This is really great work PDP.
I understand that it took you much time.
I encourage trading this with GDX as you suggested, because it will give you much confidence to trade a system that you have back-tested.

Regarding the "poor" results for IWM in 2011: 15.85%, against SPY: 22.43%.
This is not normal, as both trades are entered as the same dates.
I suspect that there is maybe a calculaton or data error somewhere for that year.
You might check the data trade by trade: you pull IWM/SPY data from the Yahoo historical site and then compare the entry/exit prices of your system for each trade. Since there are only 10 trades per year, this should be very quick.


Pascal

I did some text correcting and some layout changes and inclose the updated document here

[ATTACH]13183[/ATTACH]

Pascal,

I do not find the error in the quotes that you state.
I suppose that the correlation between SPY - IWM - QQQQ is not always optimal and for the trades that the Combo-MF has generated, the IWM came in with the worst timing

I enclose my excel sheet for these period:

[ATTACH]13184[/ATTACH]

[QUOTE=pdp-brugge;20919]Pascal,

I do not find the error in the quotes that you state.
I suppose that the correlation between SPY - IWM - QQQQ is not always optimal and for the trades that the Combo-MF has generated, the IWM came in with the worst timing

I enclose my excel sheet for these period:

[ATTACH]13184[/ATTACH][/QUOTE]

Ok. I trust this is correct then.
Another note: I see that you are using the opening price in your calculations.
The 20DMF is an EOD signal. Hence, a short signal on 9/21/2011 for example, is only 20DMF activated at the EOD of 9/21.
You might check that too.


Pascal

I have checked that too.
The 20DMF was on 9/20/2011 in cash and on 9/21/2011 in short mode.
The Vstpro was on 9/20/2011 in SHORT and stayed so on 9/21/2011.
That is the reason that the Combo-MF went one day before the 20DMF in SHORT mode and hence had a better timing.

PdP

[QUOTE=pdp-brugge;20921]I have checked that too.
The 20DMF was on 9/20/2011 in cash and on 9/21/2011 in short mode.
The Vstpro was on 9/20/2011 in SHORT and stayed so on 9/21/2011.
That is the reason that the Combo-MF went one day before the 20DMF in SHORT mode and hence had a better timing.

PdP[/QUOTE]

This is great, because your returns will be even better when you'll use the 20DMF RT signals.


Pascal

PdP,

Thank you for sharing! I hope to finish my own backtesting, though I doubt it'll ever achive returns as great as these.

Harry

[QUOTE=pdp-brugge;20916][FONT=Calibri][SIZE=3]Using the time free because of the current neutral state the 20DMF is in, I did some back testing to find an easy trading strategy.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]I have written a paper about it and publish it here.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]Because my native language is Dutch there is a possibility that my writing in English is not perfect.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]I have only been trading for 1½ year and consider myself still very novice.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]There are certainly more brighter and more experienced people in this forum.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]The idea behind this paper is to obtain feedback.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]The results are quite good to my personal humble opinion.[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]Maybe too good to be true…[/SIZE][/FONT]
[FONT=Calibri][SIZE=3]Any feedback is more than welcome[/SIZE][/FONT]

[FONT=Calibri][SIZE=3]PdP-Brugge[/SIZE][/FONT]

[ATTACH]13180[/ATTACH][/QUOTE]

Will you be posting your signals here going forward ?

Trev

Thanks for the feedback.

I am going to share the status of Combo-MF in this thread.

The VStpro model is LONG since October 6, 2011
The 20DMF is NEUTRAL since January 4, 2012
Following my judgement the [B]Combo-MF is LONG[/B]
The PM MF has turned SHORT on March 2, 2012
I am personally long TQQQ since January 5, 2012 and am going long DUST tomorow March 5th at the open.

Disclosure: this information is not an investment advice on what to trade next