Hello everyone, as you have not seen me posting too much lately,
I've been working on systems, that's my passion as you know.
Lately I've been heavily working on this ES system.
I added quite a few trades that I borrowed from the SPY system,
however in doing so I was also able to notice that I can add more
stringent rules to one of the long trades, which is what I call an
exhaustion sell off long trade where the market has sold off too
muck too quickly and due for a bounce. I noticed a few
parameters that I can add that helps to reduce the risk but also
not reduce performance. I added all this to the ES system,
however I'm going to add this to the SPY system.
The result will be that the largest draw down on the SPY system
will be reduced by about 40%, from 10% to only 5.9% and thus the
hard stop will be able to be moved up to about 6.5% from 10.5%,
that's quite an improvement. On the scaleout version of the
system the draw down will drop down to only about 4%, which is very
tight!
also I've learned quite a bit since building this ES system and
thus I can add other improvements to the SPY system as well that
should add to the overall performance as well and fill in some
missing gaps. Hopefully I can add this next week.
SPY system changes/improvements
Posted by matt on 30th of May 2014 at 10:03 am
Hello everyone, as you have not seen me posting too much lately, I've been working on systems, that's my passion as you know. Lately I've been heavily working on this ES system.
I added quite a few trades that I borrowed from the SPY system, however in doing so I was also able to notice that I can add more stringent rules to one of the long trades, which is what I call an exhaustion sell off long trade where the market has sold off too muck too quickly and due for a bounce. I noticed a few parameters that I can add that helps to reduce the risk but also not reduce performance. I added all this to the ES system, however I'm going to add this to the SPY system.
The result will be that the largest draw down on the SPY system will be reduced by about 40%, from 10% to only 5.9% and thus the hard stop will be able to be moved up to about 6.5% from 10.5%, that's quite an improvement. On the scaleout version of the system the draw down will drop down to only about 4%, which is very tight!
also I've learned quite a bit since building this ES system and thus I can add other improvements to the SPY system as well that should add to the overall performance as well and fill in some missing gaps. Hopefully I can add this next week.
Wow that's a really significant
Posted by heircraft on 30th of May 2014 at 02:17 pm
Wow that's a really significant improvement. Congratulations Matt!
Matt, is the ES system available
Posted by alvin33 on 30th of May 2014 at 10:42 am
Matt,
is the ES system available for us somewhere here? Or it's still work in progress? thanks