Combo-MF Position Sizing

[Pascal]

Pascal,

I have compared trade per trade the data out of your XLX_Trades.
I have only done XLE for now.
I see in your trades four events where a Bought Oversold trade on a certain date was followed by the same type of trade the next day. I presume these may be merged (trade continues).
This is a difference not to be mentioned.

In my model, a bought Oversold trade is interrupted (returned to cash) when the signal falls back to oversold again.
This is a protection mechanism that allows not to be dragged into a continuously loosing position.
If, on the next day, the signal reverses back above the OS level, then the model moves again into a buy mode at the end of the next day.

In short: you need to consider these as two different trades.

A second difference is that I will open/close a trade the day after the signal. Because the EOD signals are generated after the close, the logical use for an end-user like me is to trade those signals at the next open. In your statistics you count the close on the day of the signal, right?
I now have a total return on the XLE model between 2010 and now of 39.92%. You stated yesterday a total of 42.6%. This differences is small, explicable and negligible.

Indeed. It is easier for me to use the EOD price, as I know this price by the time the model is published, before market opens. Also, I consider that the RT system allows - or will allow - traders to act before the close if they wish to do so.

The third difference that I have found is not so easy to comprehend.
You have replied yesterday with some statistics concerning the XLE trades. Your best type of trade is Short with a total return of 27.1%.
If I run my back tests, I get only 5.74% for SHORT trades. The best performance I get is with Bought Oversold and delivers 30.31%. You have for Bought Oversold only 8.4%.
I am sorry, but one of us must be wrong here somewhere. I have now spend more then 6 hours looking and searching and can not find anything wrong with my signals nor trades for the XLE model.

I have attached my trades in an excel file. Can you please have a look and compare these with your trades? I do not find what's wrong with my trades.

Thanks

PdP

This is my mistake: I hurried myself somehow and probably typed the wrong title in front of the trade return.
I cannot check this out again, as I discarded this temporary calculation.
So, the best is to disregard my small table by type of trades of XLE. My point was simply to show that there was a discrepancy in your calculations.



Pascal