palm

Thanks, Zdo. Wish you the best.

Thanks for your recommendations on observing no. of times price exceed extreme reading before making actual revert and on stepping parameter values incrementally. I'll do those. For now i'm several step behind. I still have to convince myself that RSI works or not. For one thing, both RSI <20 and RSI >80 shows upward bias of subsequent price movements. Also, my out sample's performance does not quite match up with my insample's. Lastly, since no. of occurance is quite low (RSI<20 occurs 4% of the time), tweaking price patterns will further reduce no. of trades which i fear will not be representative of the "RSI effect" i'm after. When i add a parameter (such as stop-loss) I want to make sure that the improvement in the result is not attributable to the new parameter. For example, i found that just by adding 1ATR exit, i was able to improve returns of a random entry system. Since you mention preference, i have been trying to answer one question for so long but could not find the answer, so i settle with my preference. The question is this, given 2 systems with their expected returns and risks, is there a way to optimally allocate capital between the 2? Let's assume that they are uncorrelated. I try using Kelly's formula because it claims to maximize growth rate, but it requires me to endure something like 70-90% Drawdown. I ran countless number of drawdown simulations. But i still cound not find the answer. So i settle the question using my preference. I just don't want to endure more than -30% maximum DD on my equity while aiming at 15% compounded returns. So if i have a system that has max DD of -60%, i will only trade half of my money on it. Still the question nags me from time to time, had i been willing to take more risk, my equity growth would have been such and such.... I don't want to turn this post into a "rambling of a confused system trader" so i better stop here. Thanks again for sharing your experience, Zdo. I'll update my finding on RSI system once there's a meaningful progress. Palm PS: Which markets do you trade in? I trade Thai individual stocks and its index futures.

80% win is unheard-of for me. To achieve that, you are using filters, right? Do you use a lot of filters (such as volume, volatility, etc...) or just a few but only trade on extreme values. (for example, use only volatility filter, but enter only at 3 standard deviation conditions. Also, are MR systems you are talking about traded on relative values or outright directional. (Pair trading Vs buy on price retracement) Also, with 80% rates, the number of trades will be quite low, right? I'm having a hard time trading-off between number of trades and expected profit/trades. I mean i have no good way of balancing the 2. They are inversely correlated. This is the reason i try to develop MR systems. My current portfolio is packed with trend following/break-out systems. I only trade one market, so i have to make the most out of as many market conditions as possible. Thanks again Zdo. Big help for me.

Thank you, Zdo I only tested CON systems in the past and profit targets always worsen the system performance Even Con systems with time-exit. Since last post, i came back and test profit-target on my new MR (plain RSI with price starting to reverse). And at Stop:Profit ratio of around 1:3 to 1:4 shows improvements in the system. So thanks for your comments. BTW, when you said precision systems, you mean %win >60%? My system's %win dropped to 35% after applying tight stops. I know this is a personal preference, but in your opinion, an MR system with win rate this low is going to fly? Thanks Palm

Hi All, I am now trading continuation systems and would like to add a mean-reverting system to compliment my portfolio. I compare the returns distribution of the two systems below. (pls see attachment) The red curve is for MR while the green one is for CON systems. Both have positive expectations. You can see that the big chunk of returns is cluttered at small gains level for MR. My question is on exit strategies. Given these two systems, how would you design exit strategies differently. Exit strategies issues are 1.) Stop-loss -(Fix or volatility-based) -(Tight or loose) 2.) Profit-target -To have or not to have -Tight-loose 3.) Time-Exit -To have or not to have Anyone has experience dealing with MR type systems? Any other thoughts are welcomed. Thank you

Thanks Bob. Gee, isn't 0.70% pretty hard to beat for intraday trade. Btw, how much is commissions for stocks in south africa? PS: I'm compiling responses from around the world. I'll share in a nice looking table when done. Palm

Hi all, I’m trying to develop day trading systems for stocks (close position at the close) because I have some idle cash in my account. The problem is whatever bias I found in the markets is not big enough to beat trading cost (commission and slippage). So I would like to ask how much are you current paying across the world. To keep things comparable, I will measure the cost in percentage term. Thailand: Commission / tick size Stocks 0.16%-0.26% (one-way)/ 0.25%-1% (per tick) Index Future 0.08-0.12% (one-way) / 0.02% (per tick) Thanks for sharing Palm