PDP,
Thank you for sharing your great work with the forum.
Can you send again please the v1 ?
Yakov.
PDP,
Thank you for sharing your great work with the forum.
Can you send again please the v1 ?
Yakov.
Yakov,
here it is:
I have received a private message for Trev that I will answer publicly.
If the Risk% says 0.35% for Combo-MF, I will take a maximum risk for trading TQQQ of 0.35% of the at that time available equity.Originally Posted by manucastle
Example:
Let's assume that the equity is $ 10,000.00. The maximum risk for a trade in TQQQ should be $ 10,000.00 x 0.35% = $ 35.00. The number of shares to buy must be calculated with the ATR3 of TQQQ at that moment. Let's assume the ATR3 for TQQQ is 2.1963. The ideal ATR multiplier that I have found through back tests for a long trade in TQQQ is 1.2. The possible number of shares of TQQQ to be bought isRisk / ATR3 x ATR multiplieror $ 35.00 / 2.1963 x 1.2 = 13 sharesThis seems like a very small position size. Because the risk to be taken is limited by my strategy is now low, than it makes sense to take very small positions for now. The risk is so low because my strategy has detected that the different models do not perform good for the moment. If Kelly is low then the overall performance of the models as a whole is not good. If NoFear is low then the strategy has detected that there where significant recent draw downs. Both are true for the moment, unfortunately.
PdP
No, sorry - my fault - I should have placed parentheses.
The formula to calculate the number of shares to buy/sell is
Number of Shares = (Equity * Risk%) / ( ATR3 * ATR multiplier)in my example, this will be
( $ 10,000.00 * 0.35% ) / ( 2.1963 * 1.2 ) = 13.27991The result of this calculation is rounded downwards.
The stop-loss is placed at entry-price - ( ATR3 * ATR multiplier).
Let's assume that the entry price is $ 48.3930 then the initial stop-loss should be placed at 45.7574.
If the trade completely goes wrong and the stop-loss is hit, the loss shall be 13 * ( 48.3930 - 45.7574) = $ 34.2628
PdP
Trev,
this is the expanded table
the ATR3 and ATR Multiples are added for the models where trades can be made
PdP
I believe that you have an error somewhere.
For example, on the web site, you can see that XLE had 60 trades (you show 65 trades for XLE) and when you simply add all the returns of all these trades, that makes a total of 42.6% between 2010 and now.
I just added them right now manually, so I may be wrong but by a small percentage.
You might also consider for example all the Buy Oversold or Short Overbought trades and see the difference in returns. Often, it is better to wait for the right trade and not take all the trades of a method.
I attach the calculation for XLE.
Pascal