StockFetcher Forums · General Discussion · ConnorsRSI<< 1 ... 3 4 5 6 7 ... 32 >>Post Follow-up
jackmack
333 posts
msg #109214
Ignore jackmack
12/8/2012 3:52:08 PM

Kevin
I was just wondering about the walk forward results you mentioned in the first part of this thread.
I don't want to seem like I'm looking a gift horse in the mouth but was just wondering if you had the chance to run it that way and if results were any different than what was posted on page 1.
Thank you in advance.
Cheers

RobtF
10 posts
msg #109215
Ignore RobtF
12/8/2012 4:02:21 PM

Kevin I'm new and trying to understand. You're saying that by modifying and optimizing the ADX you're basically replacing the need for his proprietary indicator?

Kevin_in_GA
4,548 posts
msg #109216
Ignore Kevin_in_GA
12/8/2012 4:10:57 PM

No problem. A WFA requires some means to select which system will be traded forward - I had 32 variations of the basic connors entry evaluated against a equal weighting of the Monte Carlo Annual Return and the Sharpe ratio, with a look back of 500 days, re-evaluated at the end of each month. The system with the best composite performance was traded for the next month, and the process repeated. This way the system results are always based on out-of-sample data, and are dynamically adjusted each month.

The end result was as follows:

STATS FOR 12/31/1999 THROUGH 11/16/2012

NUMBER OF POTENTIAL TRADES: 7,262

PORTFOLIO SIZE OF 5 - INITIAL EQUITY OF $100,000, FIXED TRADE SIZE OF $20,000

NUMBER OF TRADES: 1,549
MONTE CARLO AVERAGE PERCENT PROFITABLE: 6.49%
MONTE CARLO AVERAGE TRADE RETURN: 4.44%
MONTE CARLO AVERAGE ANNUAL RETURN: 106.74%
MONTE CARLO AVERAGE DRAWDOWN: 10.60%
PERCENT IN MARKET: 49.27%
SHARPE RATIO: 1.255


PORTFOLIO SIZE OF 10 - INITIAL EQUITY OF $100,000, FIXED TRADE SIZE OF $10,000

NUMBER OF TRADES: 2,365
MONTE CARLO AVERAGE PERCENT PROFITABLE: 69.58%
MONTE CARLO AVERAGE TRADE RETURN: 4.47%
MONTE CARLO AVERAGE ANNUAL RETURN: 81.97%
MONTE CARLO AVERAGE DRAWDOWN: 6.31%
PERCENT IN MARKET: 37.65%
SHARPE RATIO: 0.9257

Outstanding results given the entire test was on out-of-sample data. Only marginally less than the optimized backtest results, which indicates a very robust system.

Kevin_in_GA
4,548 posts
msg #109217
Ignore Kevin_in_GA
12/8/2012 5:32:23 PM

Kevin I'm new and trying to understand. You're saying that by modifying and optimizing the ADX you're basically replacing the need for his proprietary indicator?


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

Not quite - I just noticed that one could easily optimize his basic entry conditions to produce a trading system that is very good - no proprietary oscillators needed.

RobtF
10 posts
msg #109222
Ignore RobtF
12/9/2012 9:20:18 AM

Thanks, I downloaded the book. Guess I'll now be getting be getting a call from Connor's people to sell me a service. We'll see whether I can resist or not.

cebucher
3 posts
msg #109224
Ignore cebucher
12/9/2012 4:19:59 PM

Hello Kevin - I was wondering how you are running all the permutations of your trading strategies. Is it with SF or are you using statasearch as I have seen you reference in prior posts?

Kevin_in_GA
4,548 posts
msg #109225
Ignore Kevin_in_GA
12/9/2012 6:51:26 PM

Stratasearch. SF's backtesting capabilities pale to nothing next to what SS can do. Make no mistake - I use Stratasearch to develop and validate all of my trading systems. I post them here because I think sharing good ideas is the right thing to do, and most can be easily re-coded into SF syntax.

cebucher
3 posts
msg #109226
Ignore cebucher
12/9/2012 8:26:37 PM

Kevin - Thanks for your contributions and insight. I have not used SS yet, but was wondering if it would be capable (with reasonable effort) of duplicating the ConnorsRSI including his "duration of up/down trend" and "relative magnitude of price change"? Is SS as easy to learn and use as SF?

Kevin_in_GA
4,548 posts
msg #109227
Ignore Kevin_in_GA
12/9/2012 9:18:45 PM

Kevin - Thanks for your contributions and insight. I have not used SS yet, but was wondering if it would be capable (with reasonable effort) of duplicating the ConnorsRSI including his "duration of up/down trend" and "relative magnitude of price change"? Is SS as easy to learn and use as SF?

1. You probably could do this is SS, but I'm not sure it is even needed given the results I have posted already. All it will do is limit the number of trades you can take, which ultimately limits any system. Looking for the perfect entry is great unless you only get to trade it a few times a year.

2. Not initially, but I learned both SS and SF code pretty quickly. There is a lot more you can do in SS, and it allows you access to data going back to 1980. On the other hand, it is more "codey" in language - SF uses very intuitive statements in its search strings which is pretty nice.

cebucher
3 posts
msg #109228
Ignore cebucher
12/9/2012 9:23:50 PM

Thanks, I'll give ss a try.

StockFetcher Forums · General Discussion · ConnorsRSI<< 1 ... 3 4 5 6 7 ... 32 >>Post Follow-up

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