you can find the YTD signals at the strategy performance page, if that is what you’re looking for.

Best,
Frank

would you be interested to publish you model dashboard ( signal, history, etc. ) ?
I’ll create a website with automatic updates for this

thanks a lot for your kind words.

I think commissions are not an issue due to the fact that the strategy only takes a position once a day, and commissions only apply when positions are switched (long to short or vice versa). On all other days is a ‘buy and hold’ approach (only for statistical purposes daily changes are reported). Commissions are currently at 0.0044% per share ($0.005). But my next stats will include commissions, fees and slippage.

I don’t have all the breadth data necessary before 1990, but that wouldn’t matter. A -20% day (an outlier) wouldn’t make the strategy unprofitable (in fact is’t nothing else than losing -2% on 9 additional days over the course of several thousand sessions), and even if positioned correctly on the short side performance stats would look even more impressive.

Best,
Frank

how would the strategy have fared in 1987 crash? i think that is important to check. perhaps worth getting access before going live with this.

and other problem is that since it is based on a large amount of trades, i think commissions, margin requirements for shorting, etc should also be analyzed before u go live.

that being said, my guess is you already know all of that and i think the work you have done is excellent so far

I’m in Europe over half of the year too, so great to see your blog. I am going to be honest, I find it incredible the results you have found and find them at odds in a “big picture” sense. I would gently point out for instance:

1. The market now is far higher than it was in 1990, for it to get from 1990 to here and be higher the market would have had to gain more on up-days than it lost on down-days. Statistics also show that there are overall more up-days than down-days. Yet your strategy completely turns this on it’s head by being short all days when it is not long. You would have thought being long all days when there was no reason to be short would have been the way to go;

2. You have a strict criteria for long days, yet no criteria for short days, but still appear to be in the market for more long days than short days. Seems strange this could happen with strict long criteria and no short criteria;

3. I note the comment above by someone asking why you picked the 94 RSI as your criteria. I think the question posed by the other commenter can be answered factually rather than subjectively by checking the performance of all values of 90, 91, 92, 93, 94, 95, 96, 97 and 98. How do these test? Is there only a small drop off in profit as it moves further away from 94? Obviously looking at the compounding effect the difference can be significant if one trade 20-years ago was compounded…but CAGR should still only change slightly. Also what percent did that one trade return? In that sense, where it came in the data is irrelevant since an extra 10% 20-years ago will get you to the same overall total profit now as an extra 10% would last year. How does this one trade compare with the average return of that criteria when it is isolated from the rest of the strategy?

4. With respect to comparing using RSI 94 instead of say 95 and going long a FOMC day, a day earlier or later, I think it is comparing apples to oranges. They are totally different trades and the structural reasons for them working are totally different. FOMC has many institutions positioning themselves for the meeting and generally in the same way. In this circumstance it is the day that is important, too early and the institutions won’t be there to assist the trade, too late and they will have already made the move. But RSI 94 (not just because you link it with a proprietary indicator that no-one else has, so not the same as <45%, which everyone would know) is not the same and numbers around it should be tested to prove a smooth drop off in profitability either side of 94;

5. As I mentioned, I am surprised any strategy is able to make a profit while being short by default. But 65%+ CAGR with 16% drawdown and NO leverage…well that is incredible, as is doing it with a profit factor of only 1.68 (I know it is hard to tell just from this when compounding returns as the last few trades can change this significantly, but it still seems low);

6. I have coded many strategies that actually make a lot of money in the market but if I had come up with these results, I would check and double check the code for errors and the code "looking forward" to data not yet known at the time of the trade. Even simple things like whether the money management part of the strategy is actually investing only what you really have in cash on each trade. Without compounding, how does the strategy look with a fixed $100,000 being invested on each trade? This strategy is definitely on the right track, much of what you have chosen for the strategy does really work…just in my experience it has never worked as well as your data is showing and even more so by being short the market by default;

Sorry for the long comment, I really admire you for putting your ideas out there for comments. I hope you will take the comments as fruit for discussion and with the spirit they are offered.

All the best,
J

did you ever see any kind of advertising, link exchanges, subscription based offers or anything ‘commercial’ on my blog ? I already mentioned several times that blogging about the markets is my hobby (allowing for taking a break whenever I feel the desire to do so), not my business. Even my participation on http://www.quantwizards.com is a freelance contribution only, and I’m not compensated for in any way whatsoever.

But would you do the same, taking a lot of effort (men-month of programming, developing strategies) and expenses (software, commercial data provider, workstation(s), …) and making all your findings public (especially without any kind of compensation), regularly on a daily basis ?

The content of my postings is intended as a ‘food for thought’ for those interested in the markets and/or trying to develop strategies of their own.

Best,
Frank

there are a lot of good books about trading and trading strategies, e.g. (not exhaustive)
‘The Encyclopedia of Trading Strategies’ (J.O. Katz & D. McCormick
‘Trading Systems That Work’ (T. Stridsman)
‘Long/Short Market Dynamics’ (C.M. Corcoran)
‘Futures Tradin Vol. I & Vol. II’ (L. Williams)
‘Design, Testing, and Optimization of Trading Systems’ (R. Pardo)
‘Quantitative Trading’ (E. Chan)
and and and

Best,
Frank

I don’t use Meastock. For developing, backtesting, determination of probabilities and odds, printouts and and and I use Matlab from MathWorks. I did the programming myself. Although it took a a lot time and effort (and money as well, Matlab is not the cheapest solution), I definitely learned the most by doing it myself instead of utilizing pre-configured toolsets.

I use several data provider (regularly commercial ones), but the majority of the data is provided by Metastock (Reuters DataLink).

Best,
Frank