New IWM Robot Almost Ready - August 18, 2011

[Billy]

Forum Clusters 110818.xlsx

“It seems the market is run by 2-years old, the way decisions are made here!” Brian Shannon – Post Market Daily video 8/17 at http://www.alphatrends.net/2011/08/1...nalysis-81711/

Pascal’s work on the new improved IWM robot is almost finished. He will soon publish a paper explaining what he did and how he came to his new conclusions.

As a preview, the conditions for neutral signals have been slightly changed and the new robot will only trade non-neutral signals. This produces about the same equity curve as trading all signals but with much fewer and lighter drawdowns. The robot will stay in cash about 15% of the time and in long or short positions 85% of the time.

The protective mechanics against a drawdown is that when only entering on a non-neutral signal, such a signal has a short duration. This means that if the trade fails, we cannot reenter at once, because usually, the signal has weakened... this is also the reason why we need to get out. All in all, this will make things stronger.

Current risk management (stops) and entries/exits techniques have been retested against numerous alternatives. Much to my personal relief, the 1:3 risk-reward rules from the multi-pivots really stands out as being the best and MUCH better than entering at any other levels. We have again tested exits on targets, but ,whatever the selected target, nothing worked better than our current exit rules on a signal change or trailing stop. The backtesting also allowed to further optimize our proprietary trailing stop rules.

We want to thank all subscribers for their patience and understanding during this chaotic month by offering them a free full-month extension to their subscription expiration datelines. This will be done automatically, so you don’t have to do anything to benefit from this.

The IWM robot currently remains in cash. The GDX robot raised its trailing stop on the initial position to 55.78. There is no edge for entering a new GDX position today.
Billy

[adam ali]

Thanks, Billy, for the update. If you're of a mind, an updated chart of the SPY would be welcomed. Not a problem if it's too much bother.

[Billy]

Thanks, Billy, for the update. If you're of a mind, an updated chart of the SPY would be welcomed. Not a problem if it's too much bother.

Here are (post open) SPY and QQQ. SPY has fallen back below yearly pivot (117.69) and QQQ is only 1 dollar away from its own YPP.
Billy

[asomani]

Thanks for the update, Billy.

I have significant confidence in the abilities of you three (you, Pascal and Thanassis), especially when working together, and believe your efforts will not go to waste.

[Charl]

Hi Billy, Pascal,

Any good system will at some point in time have difficulty. What is important is that sucess is not defined by $$$ - but rather definded by what your're thinking and doing while bullets are flying and your "life" is on the line - the future is uncertain for-sure ( as we've seen over that past 2 weeks)

I know you will fine-tune the robots and offer the group the new improved edge, we will probably be back to tweaking and optimizing at some point in the future - it's all part of the occupation, because we are here to make money, and if making money requires us to change we do that.

While all this is happening it is most important to maintain a Healthy state of mind by being patient, disciplined and not to make trading decision that could risk this fine balance.

thanks for your hard work.