And here's the trade examples of
the multi entry version of the system
Trade Examples Of the
System!
Below are trade examples of the
system from the Multi Entry system; as you can see, the system has
played the market like a fiddle. It does a lot of quick
trades, but also catches many runners and trending trades!
The beauty of the Multi Entry system is its ability to scale
into trades at better prices if the 1st entry is
early.
We did not include every trade
to the system below, but we did include the majority of them
and a good sampling. The system is not perfect,
no system is, but it's been damn good! Of course the key
will be how it performs going forward, there are no guarantees,
however we think the fact that since the system has worked in all
types of market conditions (bull and bear markets, choppy
conditions, trending conditions), that it has a very good shot to
continue doing well years from now.
Example Trades from Late
July 2010 - April 2011
Example Trades from Late
Jan 2010 - Nov 2009
Example Trades from Late
Dec 2009 - Aug 2010
Example Trades from
September 2009 - May 2010
Example Trades from Late
June 2009 - Feb 2010
Example Trades from Late
Feb 2009 - Nov 2009
Example Trades from
September 2008 - May 2009
Example Trades from July
2008 - Feb 2009
Example Trades from Late
February 2008 - September 2008
Posted by lessarda on 25th of Apr 2011 at 05:12 pm
Hi Matt,
At first glance, even though the multi-entry system has a better
winning percentage, it has an opportunity cost relative to the
single-entry system because it rarely gets fully invested. The
single entry system can show marginally bigger losses on any one
trade, but makes up for it by being fully committed for all of its
winning trades. So, as long as the system parameters are working as
a whole, it seems the simpler and more profitable approach.
Maybe an alternative for subscribers would be to make a higher
initial commitment -- say 75-80% -- and then move to 100% either if
the multi-entry system makes an add-on trade or, just as important,
if it doesn't add after some measure of either time and/or gains.
Just a thought on the differences as presented so far.
This has already been addressed in the SPY system details page,
which I will soon make available. Yes the same dollar amount,
say $100K traded in the Single Entry system produces more total net
profit then $100K traded with the Multi Entry system.
For example, Non
Compounded:
Single Entry
system:100K - turns in $604K.
Largest losing trade is -3.4K, average losing trade is 1K
Multi Entry
system: 100K turns into $347K
Largest losing trade is -1.3K, average losing trade is
-0.35K
However, since the average losing trade, largest losing trade,
and draw down are about 2.5X less then the Multi Entry system, the
capital can theoretically be increased 2.5X on the Multi Entry
system in order to get the same dollar risk.
Multi Entry system traded with $250K would have turned into
$855K.
Remember all these effects are non compounded. When
compounding gets' thrown into the mix, $100K on the single entry
system turns into $17.5 million in 16 years, that's $175 times your
money. Even only a 50% compounding turns into $3.7 million or
37 times ones money.
One word- amazing. Matt, save the time for your family- I don't
need a webinar- just launch the system! And thank you again for
giving ordinary folks like us the opportunity to be part of an
institutional-class effort.
Posted by lessarda on 26th of Apr 2011 at 02:16 am
I knew you had to have considered the 2x non-compounded return
disparity. It makes sense to me to start with 100% allocations to
the instrument of one's choice on the first signal in order to get
everything that the single entry system would give, and then add on
when multiple signals are generated. There have only been 58%
more trades generated in the multi-entry over the whole backtesting
period, so one isn't really allocating that much more capital that
often to capture the higher winning percentage. That is, one
rarely would get to the 2.5x commitment of capital, and not even
get past 1.5x all that often, all things being equal going
forward. The backtesting makes it clear that as the system
works, there is much more bang over time for $'s committed in
the 1st trade of each signal. So even if someone only went from 1x
to 1.5x overall, the results would be better than .6x to 1x. The
capital constrained could get creative on leverage after the 1st
trade, etc. A lot of possibilities come from a solid underlying
system. Thanks again.
lessarda -- I would say that it would be a little silly to use
the scale-in system and decide to make the initial trade a higher
percentage and so on. Then you're not playing the system that
matt has developed. You're using his system as a starting
point to make up your own system. You can do that of
course. But matt has put many months of work and thought into
it, and I'm sure he looked at other scale-in percentages. If
an 80% - 20% scale-in was more profitable, that's what it would
be.
It doesn't make much sense to be second-guessing the system and
wanting to change it, before its even been released.
What makes more sense to me, is to use the scale-in system and
use more capital. That way you're playing a aystem with 96%
winning trades, which is as stress-free as you're likely to get,
and with more capital in play you'll get returns closer to the
singe entry system. Or use SSO. I would not be afraid
of degradation in the relatively short time spans the system holds
for. But one can also go short SDS for longs and short SSO
for shorts.
SPY Multi Entry System trade examples
Posted by matt on 25th of Apr 2011 at 04:53 pm
And here's the trade examples of the multi entry version of the system
Trade Examples Of the System!
Below are trade examples of the system from the Multi Entry system; as you can see, the system has played the market like a fiddle. It does a lot of quick trades, but also catches many runners and trending trades! The beauty of the Multi Entry system is its ability to scale into trades at better prices if the 1st entry is early.
We did not include every trade to the system below, but we did include the majority of them and a good sampling. The system is not perfect, no system is, but it's been damn good! Of course the key will be how it performs going forward, there are no guarantees, however we think the fact that since the system has worked in all types of market conditions (bull and bear markets, choppy conditions, trending conditions), that it has a very good shot to continue doing well years from now.
Example Trades from Late July 2010 - April 2011
Example Trades from Late Jan 2010 - Nov 2009
Example Trades from Late Dec 2009 - Aug 2010
Example Trades from September 2009 - May 2010
Example Trades from Late June 2009 - Feb 2010
Example Trades from Late Feb 2009 - Nov 2009
Example Trades from September 2008 - May 2009
Example Trades from July 2008 - Feb 2009
Example Trades from Late February 2008 - September 2008
Example Trades from Late June 2007 - Feb 2008
Example Trades from July 2006 - Mar 2007
Example Trades from Late Dec 2005 - Aug 2006
Example Trades from June 2004 - Jan 2005
Example Trades from Dec 2003 - Aug 2004
Example Trades from May 2003 - Dec 2003
Example Trades from May 2002 - Dec 2002
Example Trades from Oct 2000 - July 2001
Example Trades from Oct 1999 - Aug 2000
Example Trades from Late Aug 1996 - April 1997
Example Trades from Feb 1996 - Oct 1996
Example Trades from June 1995 - Jan 1996
Example Trades from Mar 1995 - April 1996
Example Trades from Jan 1995 - Aug 1995
Single vs Multi Entry Systems
Posted by lessarda on 25th of Apr 2011 at 05:12 pm
Hi Matt,
At first glance, even though the multi-entry system has a better winning percentage, it has an opportunity cost relative to the single-entry system because it rarely gets fully invested. The single entry system can show marginally bigger losses on any one trade, but makes up for it by being fully committed for all of its winning trades. So, as long as the system parameters are working as a whole, it seems the simpler and more profitable approach.
Maybe an alternative for subscribers would be to make a higher initial commitment -- say 75-80% -- and then move to 100% either if the multi-entry system makes an add-on trade or, just as important, if it doesn't add after some measure of either time and/or gains. Just a thought on the differences as presented so far.
This has already been addressed
Posted by matt on 25th of Apr 2011 at 09:20 pm
This has already been addressed in the SPY system details page, which I will soon make available. Yes the same dollar amount, say $100K traded in the Single Entry system produces more total net profit then $100K traded with the Multi Entry system.
For example, Non Compounded:
Single Entry system:100K - turns in $604K.
Largest losing trade is -3.4K, average losing trade is 1K
Multi Entry system: 100K turns into $347K
Largest losing trade is -1.3K, average losing trade is -0.35K
However, since the average losing trade, largest losing trade, and draw down are about 2.5X less then the Multi Entry system, the capital can theoretically be increased 2.5X on the Multi Entry system in order to get the same dollar risk.
Multi Entry system traded with $250K would have turned into $855K.
Remember all these effects are non compounded. When compounding gets' thrown into the mix, $100K on the single entry system turns into $17.5 million in 16 years, that's $175 times your money. Even only a 50% compounding turns into $3.7 million or 37 times ones money.
Awesome
Posted by rikkwan on 26th of Apr 2011 at 09:32 am
One word- amazing. Matt, save the time for your family- I don't need a webinar- just launch the system! And thank you again for giving ordinary folks like us the opportunity to be part of an institutional-class effort.
I am ready to buy
Posted by xxnileshxx on 26th of Apr 2011 at 09:41 am
where do I sign up for this system. Looking to trade my retirement account with this system.
Thanks, Matt.
Posted by lessarda on 26th of Apr 2011 at 02:16 am
I knew you had to have considered the 2x non-compounded return disparity. It makes sense to me to start with 100% allocations to the instrument of one's choice on the first signal in order to get everything that the single entry system would give, and then add on when multiple signals are generated. There have only been 58% more trades generated in the multi-entry over the whole backtesting period, so one isn't really allocating that much more capital that often to capture the higher winning percentage. That is, one rarely would get to the 2.5x commitment of capital, and not even get past 1.5x all that often, all things being equal going forward. The backtesting makes it clear that as the system works, there is much more bang over time for $'s committed in the 1st trade of each signal. So even if someone only went from 1x to 1.5x overall, the results would be better than .6x to 1x. The capital constrained could get creative on leverage after the 1st trade, etc. A lot of possibilities come from a solid underlying system. Thanks again.
I think you meant "are
Posted by frtaylor on 25th of Apr 2011 at 09:29 pm
I think you meant "are about 2.5x less usingthe Multi Entry system. . . ." More importantly, thank you for clarifying this point.
lessarda -- I would say
Posted by Michael on 25th of Apr 2011 at 08:16 pm
lessarda -- I would say that it would be a little silly to use the scale-in system and decide to make the initial trade a higher percentage and so on. Then you're not playing the system that matt has developed. You're using his system as a starting point to make up your own system. You can do that of course. But matt has put many months of work and thought into it, and I'm sure he looked at other scale-in percentages. If an 80% - 20% scale-in was more profitable, that's what it would be.
It doesn't make much sense to be second-guessing the system and wanting to change it, before its even been released.
What makes more sense to me, is to use the scale-in system and use more capital. That way you're playing a aystem with 96% winning trades, which is as stress-free as you're likely to get, and with more capital in play you'll get returns closer to the singe entry system. Or use SSO. I would not be afraid of degradation in the relatively short time spans the system holds for. But one can also go short SDS for longs and short SSO for shorts.
Michael, I really like your idea
Posted by sethbru on 26th of Apr 2011 at 01:50 am
Michael,
I really like your idea of shorting the leveraged inverse for each position entry to gain on their decay too. Nice!