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Kevin_in_GA
4,538 posts
msg #112674
Ignore Kevin_in_GA
4/5/2013 7:11:59 PM

J - thanks. The core idea here is also used in my Pangolin-Z system over at Collective2, but improved upon quite significantly such that the profit seen over the last five years is higher, as is the percent of trades profitable and the Sharpe Ratio.

amtmail
34 posts
msg #113158
Ignore amtmail
5/6/2013 4:14:30 PM

Thank You Kevin
do you feel that this filter still working now ? if not ,do you have any modifications or changes for it


Kevin_in_GA
4,538 posts
msg #113159
Ignore Kevin_in_GA
5/6/2013 5:11:58 PM

It still works well - here is a backtest (5 positions max) since 1/2/2013:

There were 55 total stocks entered. Of those, 50 or 90.91% were complete and 5 or 9.09% were open.
Of the 50 completed trades, 35 trades or 70.00% resulted in a net gain.
Your average net change for completed trades was: 0.86%.
The average draw down of your approach was: -2.67%.
The average max profit of your approach was: 2.54%
The Reward/Risk ratio for this approach is: 2.17
Annualized Return on Investment (ROI): 40.45%, the ROI of ^SPX was: 35.76%.

Equity Summary

Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $109,240.19. Cash: $-0.03 Market value of holdings at end: $109,240.22 (paid: $107,379.02)
Realized gain/loss: $7,871.24 ($157.42 per trade.)
Total Commissions Paid: $939.75
Unrealized gain/loss: $1,861.20.


But here is the modified version (Pangolin Z):

There were 58 total stocks entered. Of those, 53 or 91.38% were complete and 5 or 8.62% were open.
Of the 53 completed trades, 40 trades or 75.47% resulted in a net gain.
Your average net change for completed trades was: 1.86%.
The average draw down of your approach was: -2.56%.
The average max profit of your approach was: 2.56%
The Reward/Risk ratio for this approach is: 4.16
Annualized Return on Investment (ROI): 82.74%, the ROI of ^SPX was: 35.76%.

Equity Summary

Starting Account Value: $100,000.00 Fees per trade: $8.95
Ending Account Value: $120,819.16. Cash: $0.22 Market value of holdings at end: $120,818.94 (paid: $120,316.46)
Realized gain/loss: $20,835.78 ($393.13 per trade.)
Total Commissions Paid: $993.45
Unrealized gain/loss: $502.48

More then 2.5 times the profit, higher win %, and much better Reward/Risk ratio.

fortyfour
185 posts
msg #113161
Ignore fortyfour
modified
5/6/2013 5:55:51 PM

Kevin,

Does Pangolin Z drawdown more in the same drawdown periods as your original.
Maybe you already answered that with " higher Sharpe ratio too" but just want to be sure.


Thanks.

Kevin_in_GA
4,538 posts
msg #113194
Ignore Kevin_in_GA
5/7/2013 10:24:37 PM

Original Z-score system - Performance for period 1/2/2007 through 4/1/2013

Max Drawdown - 17.15%
Sharpe Ratio - 0.9103

Pangolin Z - Performance for period 1/2/2007 through 4/1/2013

Max Drawdown - 11.77%
Sharpe Ratio - 1.748

This period encompasses the severe 50+% drawdown seen in the S&P500.

tomm1111
198 posts
msg #114749
Ignore tomm1111
modified
8/4/2013 10:16:10 PM

Kevin,

I've visited your systems on the collective2 web page. Impressive indeed. I have a question.

1. When you optimize this system, specifically what was the in-sample and out-of-sample data time frames used?

Iím potential subscriber and I'm trying to understand curve fit risk.

Thanks,
tomm1111

Kevin_in_GA
4,538 posts
msg #114750
Ignore Kevin_in_GA
8/4/2013 10:39:24 PM

Kevin,

I've visited your systems on the collective2 web page. Impressive indeed. I have a question.

1. When you optimize this system, specifically what was the in-sample and out-of-sample data time frames used?

Iím potential subscriber and I'm trying to understand curve fit risk.

Thanks,
tomm1111


++++++++++++

1. The in-sample data was 1/1/2008 until 12/31/2012 (or thereabouts). The goal was to include a period of protracted drawdown into the design - this is especially important for a long-only system like Pangolin Z. No out-of-sample data was used. I started trading it live on C2 on 3/26/2013, and so far it is up 17%.

I would suggest looking at www.statisticalinvesting.com to see the backtest data and results.

tomm1111
198 posts
msg #114751
Ignore tomm1111
modified
8/4/2013 11:10:47 PM

Kevin,

Thanks for the explanation. Your website answered the question I had.

tomm1111

tonyctl
7 posts
msg #114907
Ignore tonyctl
8/16/2013 3:57:11 AM

New to SF here and would like to know when I am backtesting this system and have Max. trades per day set to 2, will the backtest automatically select the first 2 stocks with the lowest Z scores to purchase? Also, does max. trades per day mean max number of purchases in one day or combined buy and sell orders?

duke56468
683 posts
msg #114908
Ignore duke56468
modified
8/16/2013 8:39:42 AM

@tony Here are the answers I got from SF. Start at the bottom.

Hi,

Thank you for the feedback. Any specific filter syntax necessary for your sorting syntax does need to be included.

StockFetcher.com Support
Vestyl Software, L.L.C.





On Mon, Jul 8, 2013 at 5:22 PM, > wrote:



So do I have to put the whole filter in selection method to get it to select in the same order as he filter?



--------------------------------------------------------------------------------
Date: Mon, 8 Jul 2013 08:54:58 -0500
Subject: Re: backtest
From: support@stockfetcher.com


Hi,

If the "selection method" is left blank, the order of selection may not be reproducible.



StockFetcher.com Support
Vestyl Software, L.L.C.





On Mon, Jul 8, 2013 at 8:51 AM, > wrote:



IF I leave it blank what happens?



--------------------------------------------------------------------------------
Date: Mon, 8 Jul 2013 06:13:28 -0700
Subject: Re: backtest
From: support@stockfetcher.com

Hi,

Thank you for the feedback. The order in the filter text does not effect the order used by the backtesting feature. To change the order of selection in backtesting, you have to update the "selection method".

If you have any additional questions, please do not hesitate to send us an email.

Thank you,

StockFetcher.com Support
Vestyl Software, L.L.C.





On Mon, Jul 8, 2013 at 6:10 AM, > wrote:



I know that!! My question is if I leave it blank will it chose stocks in the order chosen by the filter? If not how do I get it to select stocks in the order chosen by the filter?



--------------------------------------------------------------------------------
Date: Mon, 8 Jul 2013 05:32:37 -0500
Subject: Re: backtest
From: support@stockfetcher.com


Hi,

Thank you for the feedback. Generally the default selection is by volume in descending order.

If you have any additional questions, please do not hesitate to send us an email.

Thank you,

StockFetcher.com Support
Vestyl Software, L.L.C.





On Sun, Jul 7, 2013 at 9:04 PM, > wrote:



If I leave selection method blank in the backtest will it chose the stocks in the order selected by the filter?



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