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1,079 posts
msg #155235
Ignore graftonian
1/9/2021 9:56:40 AM

@Ed S.,
Here is a simple MA cross-over entry script:

market is sp500
close > ma(200)
ema(10) crossed above ema(50)

the exit would be a 10/50 cross-below

The aim here is:
1) Be able to code this in ER.
2) vary the lengths of the EMAs to optimize returns.


398 posts
msg #155236
Ignore xarlor
1/9/2021 12:07:33 PM

Would like to see backtest results on this simple RSI(2) oversold filter.

set{buy1,count(RSI(2) < 1,1)}
set{buy2,count(RSI(2) 1 day ago > 1,1)}
set{buy3,count(close > 1,1)}
set{buy4,count(volume > 2000000,1)}
set{buy5,buy1 * buy2}
set{buy6,buy5 * buy3}
set{buy,buy6 * buy4}
buy > 0

set{exit,count(rsi(2) > 70,1)}
exit > -1

draw rsi(2)

General rules:
Enter when RSI(2) < 1 today but not yesterday
Exit when RSI(2) > 70
No stop loss
stocks above $1 and at least 2 million in volume.

744 posts
msg #155237
Ignore nibor100
1/9/2021 12:27:20 PM

I'll tackle these 2 requests, as one of them is what I volunteered to do for Graftonian during his 14 day trial of Edgerater, but I am not volunteering to do unlimited backtests in Edgerater for SF members as all of you can do your own Edgerater trials and run some backtests or buy/subscribe to the program to do the same.

Ed S.

1,079 posts
msg #155239
Ignore graftonian
1/9/2021 12:57:48 PM

@Ed S,
I've watched Vid2 again and may be able to get through a simple script. Put my request on hold for a day or two.

744 posts
msg #155267
Ignore nibor100
1/12/2021 10:13:18 AM


Here are backtest results from 1/11/11 as run on an base Edgerater Symbol List of 558 stocks that are CBOE Weeklys using your filter parameters:

All Trades Winners Losers Neutral
Trade Count 3278 2093 1179 6
Trade Count % 100% 63.85% 35.97% 0.18%
Avg. Profit/Loss $ $46.29 $373.70 ($534.68)
Avg. Profit/Loss % 0.46% 3.74% -5.35%

Average Min Max SD Sum
Trade Length (Days) 7.16 2.00 33.00 4.19
Trades per position 1.00 1.00 1.00 0.00 3278.00
Daily Open Positions 8.87 0.00 32.00 7.55
Profit/Loss (%) 0.46% -72.06% 93.41% 7.47%
Max Favourable Excursion % (MFEP) 3.66% 0.00% 93.41% 4.97%
Max Adverse Excursion % (MAEP) 5.20% 0.00% 84.87% 7.75%
Profit/Loss ($) $46.29 ($7,206.05) $9,340.66 $747.13 $151,752.51
Max Favourable Excursion (MFE) $366.33 $0.00 $9,340.66 $496.76
Max Adverse Excursion (MAE) $520.10 $0.00 $8,486.68 $774.66

Starting Equity $100,000
Ending Equity $251,753
Net Profit $151,753
Net Profit % 151.75%
Investment Period (Days) 3647
Maximum Equity $284,959
Minimum Equity $98,877
Max Consecutive Winners 23
Max Consecutive Losers 15
Commission Rate $0.00
Total Commissions Paid $0.00

Payoff Ratio 0.70
Expectation % 8.66%
Expectation $ $46

Annualized Rate of Return (ARR) 15.19%
Compounded Annual Growth Rate (CAGR) 9.68%
Profit Factor (PF) 1.24
Pessimistic Rate of Return (PRR) 1.18
Maximum Portfolio Drawdown (MPD) $139,173.85
Sharpe Ratio 20.1775

I set Edgerater to enter at the Open the next day after the signal and to exit the next day after the exit signal. Starting with $100K, $10K per trade, no duplicates allowed, trade using available equity

Looks like the Covid decline really took a toll on the prior gains of this backtest.

Let me know if you have any questions or changes wanted.

My Edgerater Entry Script: The N parameter is set to a default of 2

buy1: count(RSI(CLOSE, N) < 1, 1) ;
buy2: count(ref(RSI(CLOSE, N),1) > 1, 1);
buy3: count(c > 1,1);
buy4: count(vol > 2000000,1);
event: buy1 & buy2 & buy3 & buy4;

My Exit Script:

sellit1: count(RSI(CLOSE, N) > 70, 1) ;
sellit2: count(ref(RSI(CLOSE, N),1) < 70, 1);
event: sellit1 & sellit2 ;

Ed S.

1,082 posts
msg #155272
Ignore Cheese
1/12/2021 11:46:22 AM

To: Ed S, xarlor, and any other helpful members

My learning question:

I am re-learning Kelly and I just want to make sure my learning is on on the right path
both in understanding Kelly and the test results above.

Given the above test results, is ONE KELLY = 6% of capital, approximately
if I were to use the above filter?

Thank you

744 posts
msg #155275
Ignore nibor100
1/12/2021 12:50:55 PM


I don't know anything at all about Kelly and I did not use any convention for limiting trades on the backtest whose results are show above: other than starting capitol of $100K and limiting positions to $10K a position as long as there was at least $10K of available equity.

For example, when the backtest started in 2011, it took 12 trading days before the initial $100K was put out in trades.
At peak there were 28 open trades in early Feb 2020, each with an initial value of $10K.

Ed S.

1,082 posts
msg #155279
Ignore Cheese
1/12/2021 2:57:11 PM

Thank you, Ed.

398 posts
msg #155283
Ignore xarlor
1/12/2021 6:23:56 PM

nibor, thank you so much for running this. Rest assured I would/will learn Edgewater's coding if I had time. I just don't right now nor will I at least until this summer. That is why I appreciate you running it for me to see the output of the software. I'm convinced it's something I want to get into for sure now.

If you want to play around with it, I do have a few edits.

  • RSI(2) trading is imperative that you enter at the close of the signal, not the open next day. It rather defeats the purpose of the strategy as the next day has a good chance of opening higher.
  • Similarly, you have to close the position at the close of the exit signal
  • Open the universe of stocks to all except ETFs, so long as > $1 and volume above 200,000,000.
  • Can you run the backtest with these capital settings?
    1. Starting with $100K, 2% NLV per trade (account value), no duplicates allowed, trade using available equity (no margin)

    Cheese, based on Kelly as I understand it, I am getting 12.5% of capital per trade.

  • Cheese
    1,082 posts
    msg #155287
    Ignore Cheese
    1/12/2021 8:27:14 PM

    Thank you, xarlor.
    Please let me know what win rate you use.

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