jmnn
16 posts
msg #134616
- Ignore jmnn |
2/27/2017 3:35:48 PM
Long time lurker here and I really enjoy your work Kevin. I am interested in the StrataSearch setup for your 3X ETF multisystem strategy. Did you run a OneClick setup for each ETF on certain criteria like win percentage, number of trades, etc? Or did you construct these strategies from scratch? I understand if you do not want to post these strategies as they are very successful. Any help would be appreciated. Again thank you for your contributions to SF.
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Kevin_in_GA
4,599 posts
msg #134620
- Ignore Kevin_in_GA |
2/27/2017 4:55:29 PM
Generic Autosearch against each ETF. Trade settings required there to be at least 20 trades over the last five years, 90% win rate, max hold of 10 days. I generally ran about 1 million combinations against each ETF.
Only looked at short trades, and at the end I assembled 10 successful strategies for each ETF together into one multi-system and used that to generate a new signal each night.
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jake1215
13 posts
msg #134621
- Ignore jake1215
modified |
2/27/2017 5:43:07 PM
Thank you for the help I was wondering the same thing
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jmnn
16 posts
msg #134622
- Ignore jmnn |
2/27/2017 6:18:25 PM
Thanks Kevin looking forward to testing this out!
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gmg733
788 posts
msg #134625
- Ignore gmg733 |
2/27/2017 9:04:41 PM
Kevin does great work. Thanks for everything Kevin,
For those of you interested, most of these levered instrument are hard to borrow for shorting. Kevin seems to have no issues shorting them through his broker and I believe he uses Interactive Brokers.
Good trading!
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shillllihs
6,044 posts
msg #134627
- Ignore shillllihs |
2/27/2017 10:38:45 PM
So just for conversations sake, are you looking to get in and out at an arbitrary price?
Looking for value such as pull back on entry and just skimming 2%?
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tennisplayer2
210 posts
msg #134632
- Ignore tennisplayer2
modified |
2/28/2017 6:37:19 AM
Kevin, I am having a hard time with understanding how to use StrataSearch . Do you enter the trade settings under the "combination filter"?
Are these the trade settings you are using?
1. NumTrades greater than 20 over last 5 years (is this the correct wording?)
2. WinDays less than 11
3. PctProfitable greater than 90%
Many thanks and best regards,
Eugene
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Kevin_in_GA
4,599 posts
msg #134634
- Ignore Kevin_in_GA |
2/28/2017 8:53:01 AM
AvgDays less than 11. Other than that you are correct.
You will need to set up a new Sector for each ETF (e.g., "SPY" which has only SPY in it). Run the Autosearch on that sector using the last 5-6 years of data. Give it about a day or so to accumulate enough combinations. I also set it for "Search for short positions only" to reduce the computational load since all I care about in this strategy are short trades.
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tennisplayer2
210 posts
msg #134653
- Ignore tennisplayer2 |
2/28/2017 3:00:09 PM
Kevin, thank you very much.
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mahkoh
1,065 posts
msg #134660
- Ignore mahkoh |
2/28/2017 5:12:43 PM
I prefer to use oneclick. You can set the restrictions in the strategy performance and not let them weigh in the score. Then let other items weigh the results so you can select them by score.
As an example you can set Monte Carlo annual perc / annual percent result to weigh more positive the closer it gets to 1. If APR is very different from Monte Carlo APR the result will get a lower score.
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