Model discussion

[Rembert]

For the official trade records of IWM/GDX models ... do you have a record of the initial stop for each trade ?
If so could you share a list of the trades including buy/short price, sell/cover price and intitial stop ?

I would like to do some calculations to get a better idea how much of my account I should risk on each trade.
I'll share my findings with the group as the question regarding position sizing has come up a few times lately.

Thanks,
Rembert

[Pascal]

Rembert,


I do not keep track of the initial stops that were used in the trades. These stops depend on the volatility.


Pascal

[Rembert]

Ok. If by chance there's anyone who has kept track of it ... I would appreciate it if you could share this info.

[pdp-brugge]

Rembert,

Hereby I attach an excel file that I once received from Shawn Molodow.
I have simplified it and kept track of the robot settings each day since their start.
A few days are missing. Those where days when I was not able to register the data.

Veel succes ! (I have a feeling that you are, as me, Dutch speaking)

PdP

Attachment 14190

[Rembert]

Bedankt !

[Rembert]

Here's the IWM data ...

Some notes :

• The first few trades are missing because I don't have the initial stop loss data.
• Transaction costs are not taken into account.
• Data is collected from various sources. I cannot garantee there are no mistakes in it.

For each trade I've calculated the R value. R is a measure of risk versus reward. It indicates how much you've gained or lost on the trade compared to how much initial risk you had on the trade. For example a trade with an end result of 2 R made twice as much as you risked on the trade. More info on this concept here : http://www.iitm.com/sm-risk-and-r-multiples.htm

Next I've calculated some KPI's based on these R values that give an overview of the system.

Expectancy shows us the average R value of all trades. In other words what to expect from a new trade based on the history. More info on this concept here : http://www.iitm.com/sm-Expectancy.htm

The standard deviation shows us how much a trade on average deviates from the expectancy. The lower this number the more consistent a sytem is considered to be.

SQN (System Quality Number) is a proprietary measure of the quality of a trading system as developed by Dr. Van Tharp. SQN measures the relationship between the mean (expectancy) and the standard deviation of the R-multiple distribution generated by a trading system. The better the SQN, the easier it is to use various position sizing strategies to meet one’s objectives.



I started this exercise to have a look at what position sizing strategy would be appropriate for the IWM robot. Based on the trade history we have to see the reality that the expectancy is negative which also translates into a negative SQN. Tharp does not advise to trade systems with a SQN below 1 and so there are no position sizing strategies or guidelines.

I sincerely hope the IWM robot evolves into a great system. For the moment I have to consider to stop trading the robot or use a minimal position sizing. I'll continue to monitor the statistics going foreward and will re-evaluate when there is an improvement.

[Pascal]

Here's the IWM data ...

Some notes :

• The first few trades are missing because I don't have the initial stop loss data.
• Transaction costs are not taken into account.
• Data is collected from various sources. I cannot garantee there are no mistakes in it.

For each trade I've calculated the R value. R is a measure of risk versus reward. It indicates how much you've gained or lost on the trade compared to how much initial risk you had on the trade. For example a trade with an end result of 2 R made twice as much as you risked on the trade. More info on this concept here : http://www.iitm.com/sm-risk-and-r-multiples.htm

Next I've calculated some KPI's based on these R values that give an overview of the system.

Expectancy shows us the average R value of all trades. In other words what to expect from a new trade based on the history. More info on this concept here : http://www.iitm.com/sm-Expectancy.htm

The standard deviation shows us how much a trade on average deviates from the expectancy. The lower this number the more consistent a sytem is considered to be.

SQN (System Quality Number) is a proprietary measure of the quality of a trading system as developed by Dr. Van Tharp. SQN measures the relationship between the mean (expectancy) and the standard deviation of the R-multiple distribution generated by a trading system. The better the SQN, the easier it is to use various position sizing strategies to meet one’s objectives.



I started this exercise to have a look at what position sizing strategy would be appropriate for the IWM robot. Based on the trade history we have to see the reality that the expectancy is negative which also translates into a negative SQN. Tharp does not advise to trade systems with a SQN below 1 and so there are no position sizing strategies or guidelines.

I sincerely hope the IWM robot evolves into a great system. For the moment I have to consider to stop trading the robot or use a minimal position sizing. I'll continue to monitor the statistics going foreward and will re-evaluate when there is an improvement.

Thank you for this analysis Rembert.


We have all noted for some time that the IWM Robot was not performing well.
No need to make a sophisticated analysis.

I have adapted the 20DMF direction model and the LT/ST edges in order to see if this situation can somehow improve.

We will give it a few more months to decide on what to do. By July/August we will have a one year experience and then we will see if it is worthwhile to continue or not. We might switch to the simpler MF RT models, with no specific entries/exists, but nothing has been decided.


Pascal

[Rembert]

We have all noted for some time that the IWM Robot was not performing well. No need to make a sophisticated analysis.

I'm doing this analysis for all the systems I have in use, including my disc trading to have a better understanding of them in general. And for position sizing.

I have adapted the 20DMF direction model and the LT/ST edges in order to see if this situation can somehow improve.

I appreciate your efforts to improve the robot. Let's hope it makes an impact. No doubt the 20DMF protection so it doesn't get stuck in the wrong mode is an important one.

[Harry]

Rembert, thank you for posting, very informative.

I am wondering if you performed a similar analysis for the GDX Robot?

[Rembert]

Rembert, thank you for posting, very informative.

I am wondering if you performed a similar analysis for the GDX Robot?

Not yet for GDX. Next week probably.