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

[pdp-brugge]

No changes

[manucastle]

No changes

pdp,

Thanks for all your work.

Your Kelly and NoFear metrics are indicating to stay out of the market but the market has had a decent rise since the 20DMF buy signal of 11/15/2012.

Does this change your view of these metrics ?

Thanks in advance.

Trev

[pdp-brugge]

Trev,

I agree with your remark. The market has been rather well performing since the long signal of the 20DMF on November 16.

My calculation for the Kelly Criterion is based on a moving window of 250 days. In the last 250 days, my strategy had a return of 39,39% non-cumulative. There where 59 positive trades and 99 negative ones. This large number of negative trades causes the current negative Kelly criterion. This has me puzzled.
Personally, I am still trading with a very small position size.

I must admit that I fear that there is something fundamental wrong with my position size calculations. Since November 16 there have been 16 trades in my strategy with a non-cumulative result of 8,81% based on the raw trades. With my position size technique, this positive raw result has turned into a negative growth of my equity of 0.51%. Frustrating!
I am working on a review of my position size technique and will report once I have found a better one with consistent equity growth over the now 3 years of trading signals that I have.

PdP

[pdp-brugge]

No changes in signals

[pdp-brugge]

No changes in signals

[pdp-brugge]

I am reviewing my strategy from the bottom up.

Examining the trades my strategy generated in 2012 delivered not a satisfactory result. Trading the XLX signals nor the Combo-MF signals gave me a decent impression. If I compare the results from the naked signals with the results of my strategy after implementing my position management rules, than it is even poorer. Although my strategy is still performing better than the S&P500, I do not have a good feeling about it.

I do not think there is something wrong with the signals. In the last weeks I have had a thoroughly review of my position sizing rules. Here the same: I have not found a serious error in my logic nor my programming.

I honestly think that the solution lies in expanding the number of models/instruments that I use. I am examining the use of currencies and commodities.

Until I have found a broader spectrum, I am postponing my daily posts.

PdP

[brrim]

PdP; I really appreciate all the work that you have shared and your daily posts. I look forward to seeing
where your work will lead you.
Best regards,
Robert