Fyi on my own system

This is a discussion on Fyi on my own system within the Trading Systems forums, part of the Methods category; Originally Posted by mr_cassandra Current system status is in cash, from latest sell, which was 11/19/04 Bearing in mind only ...

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Old Nov 24, 2004, 4:50pm   #25
 
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Quote:
Originally Posted by mr_cassandra
Current system status is in cash, from latest sell, which was 11/19/04
Bearing in mind only 2004 is real time, real money, over all system results thru start of bactest to today is
36.1% annualized over the 8.6 year time period.
10k to 140K in 8.6. years (doens't include taxes or commission)
61 trades , 18 of which were losers
Current version is 21F.
Results as stated are from using mdy, profunds enhanced funds would be much more.
8.6 year backtest is done with the exact same code and triggers, no changes anywhere thruout the entire time frame.

System makes trades that last from weeks to months, mainly and they are based on interrelated extremes in vix, put call, mclellan ratios etc. 2 observations I'd like to stress:

1. I know most folks here are shooting for much more return than 36% annual but I was just looking to substantially outgun a real good mutual fund.

2. This system would bore a real trader to tears or worse, its like watching paint dry.


Regards, Steve
I'm interested in a system that may give me indicators as to the direction of the market and as such, the level of punt I take (dictated by a faster system) may be governed by this.

Also, as a momentum investor (with annual expectation around 30 - 35%) I like the idea of a contrarian system to compliment mine, to hopefully reduce drawdown.

It's difficult to know exactly what others achieve / expect but because of the ability to use leverage I'd rather a system that goes up in a straight line at "20%" than an extremely volatile one at "100%".


All the best.

UTB
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Old Nov 26, 2004, 7:25pm   #26
 
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Market direction indicators

mr_cassandra started this thread You might want to look at charts of $nasi and $nysi at www.stockcharts.com I use them in mine program and they are a key part of trading signals. Its been my experience that its a very bad idea to trade against them. (don't be short when they are bullish and vice-versa)

Quote:
Originally Posted by the blades
I'm interested in a system that may give me indicators as to the direction of the market and as such, the level of punt I take (dictated by a faster system) may be governed by this.

Also, as a momentum investor (with annual expectation around 30 - 35%) I like the idea of a contrarian system to compliment mine, to hopefully reduce drawdown.

It's difficult to know exactly what others achieve / expect but because of the ability to use leverage I'd rather a system that goes up in a straight line at "20%" than an extremely volatile one at "100%".


All the best.

UTB
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Old Dec 12, 2004, 4:09pm   #27
 
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ytd results version 21.G

mr_cassandra started this thread Using umpix for longs and uipix for shorts, these are closed trades for mvp signal system v21.G in 2004 so far

1/29/04 - sell from a rebuy long position +7.8%
3/10/04 - sell from a rebuy long position -.06% (loss)
4/14/04 - sell from an mvp-2-buy long position +3.4%
5/11/04 - close short position (via uIpix) +5.2%
6/15/04 - sell from an mvp-2-buy long position +8.2%
8/18/04 - close short position (via uIpix) +1.4%
9/24/04 - sell from over-ride buy long position +6%
10/11/04 - sell from re-buy long position -3.0% (loss)
11/22/04 - sell from re-buy long position +8.6%
current position is cash.

This would have turned 10,000 into 14,279 this year so far.

Couple notes: these are profunds 2x mdy numbers, my website and spreadsheet are all based on mdy.
Also, I was working on an improvement (LOL) and missed the trade which ended 11/22/04. Threw the improvement out.
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Old Dec 20, 2004, 12:19pm   #28
 
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YTD results using profunds 2x funds

mr_cassandra started this thread 28% so far. Probably thats it. Volatility (and performance) seems to be coming down as we leave the nasdaq bear further behind.
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Old Jan 6, 2005, 11:47am   #29
 
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Still in cash awaiting next signal

mr_cassandra started this thread Net new lows are increasing, this factor is an excellent accompaniement to an original mvp buy signal (high vxi/pcr spike).
Net new lows may be graphed at www.stockcharts.com as $nyhl:$nytot and $nahl:$natot. By dividing (highs minus lows) by total actives, you get a factored result which is comparable year over year as the markets grow and/or shrink.


Quote:
Originally Posted by mr_cassandra
28% so far. Probably thats it. Volatility (and performance) seems to be coming down as we leave the nasdaq bear further behind.
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Old Jan 13, 2005, 10:35pm   #30
 
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Short signal for sp400 as of 1/13/05 close

mr_cassandra started this thread mvp signal system v21.G go short signal for the sp400. I will be using UIPIX from profunds for this trade.
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Old Jan 14, 2005, 12:48am   #31
 
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mvp signal system sell short signal

mr_cassandra started this thread Followup information on short signal

This is not intended as investment advice, only documentation of what I'm doing with my own money. You can see the short trades I place at www.clearstation.com UIPIX board and MDY board.

As of tonite the signal issued was SELL SHORT. Over 8+ years of the data, shorts were best executed (in general) in the morning.

Short signal performance history using mdy as vehicle.
Of the 19 prior short signals, 4 were losers.
Of the remainder 5 were either a wash or very tiny winners. That leaves 10 that were winners, highest 26%.
Annualized mvp 8.6 year results 35.9%
Without short trades it drops to 23.9%
Except last year, this is based on back-testing.

I will be posting a clearstation recommendation on this as well under symbol UIPIX and mdy.

The website which gives a general overview is www.angelfire.com/ma4/mr_cassandra/MainPage.html

This email is not intended as investment advice in any way, it is merely a followup to people who have inquired about this system.
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