Dylan
43 posts
msg #150589
- Ignore Dylan
modified |
1/29/2020 6:36:38 PM
|
chi-town
44 posts
msg #150591
- Ignore chi-town |
1/30/2020 7:22:05 AM
Dylan,
Thanks for the work,and sharing.
Very informative.
|
Village Elder
231 posts
msg #150593
- Ignore Village Elder |
1/30/2020 9:26:06 AM
Nice work - I don't exactly remember how SS works in terms of selecting which trades are entered - is there a prioritization based on price, roc(5,1) or some other metric? I ask because you may have noticed that I typically do not take trades when they have been traded recently and are moving up again after a prior jump and collapse (e.g., NNVC). No clue as to how that could be coded in SS.
|
Dylan
43 posts
msg #150706
- Ignore Dylan |
2/6/2020 10:42:39 PM
Village Elder, if you rank the selection by ROC (5,1) descending the amount of profitable trades goes up to 70% with higher yearly returns and overall less drawdown. However, it does make a big difference in the 1 max trade portfolio since you’re not buying every trade. The way to increase the accuracy of this system is to raise the ROC way above 50, but it also yields fewer trades, its either one or the other. Assuming that finding shares to short is not a big problem then you have something worthwhile.
An interesting thing I find about this strategy is that the yearly standard deviation remained neutral in a 5-year period as in a 20-year period, 70% accuracy across both tests, and the fact that you’re handpicking your trades may account for the current 80% accuracy. I wouldn’t be surprised to see it remained in the 75%-85% rage going forward.
I would like to continue to test this system and others but cannot find the SS user guide ANYWHERE on the web. The link to the web archives that was posted by stephenmcmahon83 can’t be viewed, only the shared ideas page which is of no value. If anyone can please e-mail me the stratasearch user manual I would appreciate it. Also, include in your e-mail your SF username so that I may credit you. My email is sviera0000@gmail.com.
Thank you!
|
Village Elder
231 posts
msg #150713
- Ignore Village Elder |
2/7/2020 11:01:03 AM
Understood, but why would anyone trade only one trade at a time for a filter that gives you plenty of decent trades?
For me, the best test of this is in how I trade it going forward - after a few hundred trades, I think the results will show if this approach works. Note that since these are paper trades, there is always the ability to short the stock at the open price - real life does not give you that all the time.
|
nibor100
1,044 posts
msg #150717
- Ignore nibor100 |
2/7/2020 7:44:28 PM
@dylan,
Im fairly certain that the StrataSearch Help file built into the program is a dual purpose User manual/Help File and is an exact duplicate of the StrataSearch PDF that used to be available on the web. You can open it as a stand alone window by opening the StrataSearch.chm file located in the Stratasearch directory on your pc and since it has some search capability it should be usable as user manual especially the Quick Start and the 2 Tutorials.
If I recall correctly it was a very complete help manual.
If I can find the SS pdf Ill email it to you but so far no luck figuring out which PC its on.
Ed S.
|
sandjco
648 posts
msg #150725
- Ignore sandjco |
2/8/2020 6:54:25 PM
@Dylan...
I will email you the manual.
BTW, I have had problems downloading price data...need your help if you dont mind. Thanks
|
Dylan
43 posts
msg #150732
- Ignore Dylan |
2/10/2020 12:26:36 PM
Thank you both!
Sandjco - I sent you an e-mail.
|
svtsnakebitn
150 posts
msg #150753
- Ignore svtsnakebitn |
2/12/2020 9:07:14 AM
Would S be excluded for today because it is a merger/buyout?
|
Village Elder
231 posts
msg #150754
- Ignore Village Elder |
2/12/2020 9:20:31 AM
Your call on this, but the merger has not happened yet - the move was based on no block of the merger by the courts. I will include this as a trade since the goal is to pressure test the system. Also noticed that the move yesterday had a wider daily range than TCO or other announced merger moves.
The system is up a lot for its first month, and I see little risk in this one. If it goes nowhere, so what?
|