Combo-MF Position Sizing

[pdp-brugge]

Lisa,

In my back tests there where only two models of the nine S&P sub-components that where "good enough" for further investigation. The third "runner up" was XLV.

I am aware of the very low volume on UXI/SIJ. I have traded them in the last months and had no real problems. At times it takes some time to get an order filled or a stop-loss order does not work immediately. Because I trade very light, I did not have problems with the low volume on both instruments.

For reference, I just re-performed the comparison of the nine S&P sub-components. These back tests are performed without stop-loss, without possible optimization (only trade under certain 20DMF states) and using only the single ETFs from July 30, 2007 up until the close of yesterday.

Regards,

PdP

[Pascal]

Lisa,

In my back tests there where only two models of the nine S&P sub-components that where "good enough" for further investigation. The third "runner up" was XLV.

I am aware of the very low volume on UXI/SIJ. I have traded them in the last months and had no real problems. At times it takes some time to get an order filled or a stop-loss order does not work immediately. Because I trade very light, I did not have problems with the low volume on both instruments.

For reference, I just re-performed the comparison of the nine S&P sub-components. These back tests are performed without stop-loss, without possible optimization (only trade under certain 20DMF states) and using only the single ETFs from July 30, 2007 up until the close of yesterday.

Regards,

PdP

PDP,


Until 2009, the composition of these XLX was much different than what we have since 2010.
Hence, the XLX model that I ran in back-tests is reliable only since 2010.
There is no point in going back down to 2007.


Pascal

[pdp-brugge]

Pascal,

I know that you have back tested the XLX models and found that they where only "reliable" from 2010.
I just ran my back tests again, now starting from January 4, 2010 as first period.
The results that I get are inline with my previous results: only XLB and XLI are looking promising.
Am I overlooking something?

PdP

[Pascal]

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

[pdp-brugge]

Pascal,

Thanks for the feedback.
Indeed, I will need to doublecheck my signals. I will do this asap and rerun my comparision.
When done, I will come back and report.

PdP

[manucastle]

Trev,

this is the expanded table
the ATR3 and ATR Multiples are added for the models where trades can be made

PdP

PdP,

I have just re-read the 3rd part of your trading strategy and you mention a trailing stop less method.

Do you use this in practice and if so how do you apply it ?

Trev

[pdp-brugge]

After the different posts yesterday, it became clear to me that there was somewhere an error in my back tests. The trades that where generated with my back test software for some of the S&P sub-components where not inline with the signals logged in the XLX_Trades Excel file.
My back tests are based on signal changes. These signal changes are logged in a file that I have manually created. I created this file in March from data that I had found somewhere on this site. From that moment one, I update manually every day this file with the data from the first sheet in the XLX_Trades file that Pascal updates every day.
If I now compare my signals from March 7 on, my file is correct. However: before March 7 there are differences in my manually created file and the history that is recorded on the different sheets that hold the data for the different sub-components in the XLX_Trades excel. I have checked only one model (XLE) and found some significant changes.
I will have to recreate my signal file. This will take me some time. After that, I will rerun my back tests and report back again.

PdP

[pdp-brugge]

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.

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.

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

[pdp-brugge]

Pascal,

I do not want to spam you, but I would like to get confirmation if the signals I have used are now OK.
An overview of the results of my back tests are attached.
These trades are performed with no stop-loss over the period from beginning of 2010 until now (EOD yesterday).
No costs transactions are calculated.

At first view, I would adopt the signals the following way:
GDX: only Bought Oversold & Shorted Overbought
XLB: all signals
XLE: all signals
XLF: skip Bought
XLI: all signals
XLK: all signals
XLP: only Bought Oversold & Shorted Overbought
XLU: skip Shorted
XLV: skip Shorted & Shorted Overbought
XLY: skip Shorted Overbought

Do you concur?

[Pascal]

Sorry but I have been mainly out of the desk for the whole day today. This is why I could not post a comment this morning.

I am only slowly coming back and see that the market is pulling back.

So, if you do not mind, I'd prefer to catch with the "market mood" today and come back to the back-test over the week-end.


Pascal