Discretionary trading

[asomani]

This looks like a great idea. I accept your help with great pleasure, because I am somewhat overwhelmed.
In the attached file, you will have two sets of thee colums. These are the results of either IWM/GDX or TWM/GDX combined portfolio (compared to each element separately).

I'd be happy if you could share the formula that you use to calculate the drawdowns that you mention on these equity curves. I can then generate different ratio of IWM/GDX combinations as I only use now 50/50.

Thanks again for your help.



Pascal

Attachment 8914

Hi Pascal,

Actually, I wasn't offering to help at this time. I would love to help but, you see, I'm quite busy right now with my work and other activities. I simply wanted to suggest a few ideas to you and the group to help get things rolling a bit.

I have taken a bit of time, though, to make an example for you of how to calculate drawdowns in Excel. I have attached a spreadsheet showing how the calculations should be performed, based on my knowledge. In my spreadsheet, the EOD (end-of-day) and intraday drawdown calculations are for a simple strategy that takes a buy-and-hold approach on the SPY from the beginning of the year through to yesterday.

I hope the spreadsheet is clear. Please let me know if you have questions.

You will notice that, to calculate intraday drawdown, you will need to obtain the intraday % change for the Robots based on the High of the day (if short) or Low of the day (if long) for each day of the testing period.

[Pascal]

Hi Pascal,

Actually, I wasn't offering to help at this time. I would love to help but, you see, I'm quite busy right now with my work and other activities. I simply wanted to suggest a few ideas to you and the group to help get things rolling a bit.

I have taken a bit of time, though, to make an example for you of how to calculate drawdowns in Excel. I have attached a spreadsheet showing how the calculations should be performed, based on my knowledge. In my spreadsheet, the EOD (end-of-day) and intraday drawdown calculations are for a simple strategy that takes a buy-and-hold approach on the SPY from the beginning of the year through to yesterday.

I hope the spreadsheet is clear. Please let me know if you have questions.

You will notice that, to calculate intraday drawdown, you will need to obtain the intraday % change for the Robots based on the High of the day (if short) or Low of the day (if long) for each day of the testing period.

Thanks. I'll have a look.


Pascal

[Rembert]

Amibroker is probably more suited to test such things. But since you're more used to work with Excel that's probably the better option.

It's possible to import the signals for each system into Amibroker and generate the equity curves.
After that it should be quite easy to test various things.

Amibroker also has optimization ...
http://www.amibroker.com/guide/gifs/h_optimize.gif
The X and Y axis are the parameters to opimize for example position size etc. Z axis is the value you opimize for (CAGR, Max DD, MAR, ...).

Here's an example I've been looking at regarding testing a portfolio of different systems. Haven't had the time yet to test it out tough.

http://quantingdutchman.wordpress.co...-amibroker-12/
http://quantingdutchman.wordpress.co...-amibroker-22/

[Rembert]

It's nice to know intraday DD, but not really necessary I think.
Again this article makes a good case for testing closed equity DD instead of intraday DD.
http://www.automated-trading-system....uce-drawdowns/

[Pascal]

Below is a link to the IWM/GDX portfolio analysis.


http://www.effectivevolume.eu/conten...o_Analysis.pdf



Pascal

[grems8544]

Below is a link to the IWM/GDX portfolio analysis.
http://www.effectivevolume.eu/conten...o_Analysis.pdfl

Thank you Pascal. Great documentation, as always.

With an IWM historical MDD of -10.5%, is it safe to conclude that using the leveraged triple ETF would result in a MDD in excess of -31.5%?

Regards,

pgd

[Pascal]

Thank you Pascal. Great documentation, as always.

With an IWM historical MDD of -10.5%, is it safe to conclude that using the leveraged triple ETF would result in a MDD in excess of -31.5%?

Regards,

pgd

If you use leverage blindly, this will be the case, but knowing that there is an astounding 0.49 correlation factor between the MDD and the 20DATR, what you need to do is to avoid tripple leveraged when the ATR is above a certain level (my hunch is above 3%) and avoid double ETF when the ATR is for example above 5%. This way, you really reduce the MDD, but you keep your potential for big gains. I would need more research to find out the real combination though.


Pascal

[Rembert]

Thank you for the analysis Pascal. Seems like Pareto's law applies to the robot signals as well in that 80% of the profits come from 20% of the signals. One of great things about the VIT robot is that it's able to tell up front which signals are likely to fall into that 20% category. This is something most systems can only do in hindsight.