Model discussion

[Rembert]

Let's have a look at the GDX robot. For an explanation of some terms used here I refer to my IWM robort analysis on the previous page. For some EOD trades I don't have the initial stop data so I replaced those by an average stop as calculated from PdP's Excel file. Regarding the real time models I did the same but used the average for all trades. This means the results will not be entirely accurate so take them with a grain of salt. I think the general picture will not be too far off regardless.

Let's start with the EOD model ...



Overall the numbers are an improvement compared to IWM. Based on the trade history GDX seems to have a positive (albeit small) expectancy and a low standard deviation resulting into a SQN number of about 1.65 (see previous post for SQN interpretation table).

The GDX model rules ensure that a position is often closed before the full R1 stop is hit or a high R multiple of profit is reached. This translates into a low standard deviation helping the model be more consistent. Tough the large initial stops makes it hard to get a high R profit resulting in a lower expectancy.

What about position sizing ? Well that's up to each individual. As a guideline one can have a look at these tables using the SQN number. Keep in mind these drawdowns are for the entire account and on top of any other mech/disc trading you might be doing.



The compound return of the EOD GDX is 9.75% when putting one's entire account unleveraged into each trade. Of course in real life that's not how it works because taking that much risk on each trade carries a huge risk of ruin with it and can be called gambling at best.

Let's say you take a reasonable 1% account risk per trade. Since the model made 2.90R in total you would have made 2.90%. Combined with the IWM model's -5.25 R at 1% account risk per trade that would translate into a combined loss of 2.35%.

I realise I'm stating the obvious here but this is kind of disappointing. Especially since I like the concept and believe it can work. Another thing to note is the small sample size of trades we have at the moment which might not be a true representation of the robot's capabilities in all kinds of different market regimes. That being said I can't say the robots are a viable investment for me at this stage. I would like to see an improvement in the models KPI's first.

To end on a positive note let's have a look at the GDX RT results ...

RT (strong signals only) shows some promise with better results compared to the EOD model. RT with all signals performs about on par to EOD.

[Pascal]

Let's have a look at the GDX robot. For an explanation of some terms used here I refer to my IWM robort analysis on the previous page. For some EOD trades I don't have the initial stop data so I replaced those by an average stop as calculated from PdP's Excel file. Regarding the real time models I did the same but used the average for all trades. This means the results will not be entirely accurate so take them with a grain of salt. I think the general picture will not be too far off regardless.

Let's start with the EOD model ...



Overall the numbers are an improvement compared to IWM. Based on the trade history GDX seems to have a positive (albeit small) expectancy and a low standard deviation resulting into a SQN number of about 1.65 (see previous post for SQN interpretation table).

The GDX model rules ensure that a position is often closed before the full R1 stop is hit or a high R multiple of profit is reached. This translates into a low standard deviation helping the model be more consistent. Tough the large initial stops makes it hard to get a high R profit resulting in a lower expectancy.

What about position sizing ? Well that's up to each individual. As a guideline one can have a look at these tables using the SQN number. Keep in mind these drawdowns are for the entire account and on top of any other mech/disc trading you might be doing.



The compound return of the EOD GDX is 9.75% when putting one's entire account unleveraged into each trade. Of course in real life that's not how it works because taking that much risk on each trade carries a huge risk of ruin with it and can be called gambling at best.

Let's say you take a reasonable 1% account risk per trade. Since the model made 2.90R in total you would have made 2.90%. Combined with the IWM model's -5.25 R at 1% account risk per trade that would translate into a combined loss of 2.35%.

I realise I'm stating the obvious here but this is kind of disappointing. Especially since I like the concept and believe it can work. Another thing to note is the small sample size of trades we have at the moment which might not be a true representation of the robot's capabilities in all kinds of different market regimes. That being said I can't say the robots are a viable investment for me at this stage. I would like to see an improvement in the models KPI's first.

To end on a positive note let's have a look at the GDX RT results ...

RT (strong signals only) shows some promise with better results compared to the EOD model. RT with all signals performs about on par to EOD.

Thank you Rembert. This is a great work.



Pascal

[Rembert]

Nice to hear you guys liked my post. Regarding RT signals. Like some members have mentioned ... for many (including me) it's near impossible to execute trades in realtime. I don't know if it would hurt performance but I wonder if a possible compromise could be to send an e-mail alert like 20 mins before the close with the RT status at that moment. Members can then put a market on close order in with their broker if action is needed. This would also eliminate many potential intraday whipsaws by the RT system.