I applied the RS2 2 strategy to a basket of ETF's. I only had
time to add this year's trades to a spreadsheet. There is quite a
bit of over, but that's to be expected with 24 ETF's. SPY and SPDW
ETF's, if those take trades on the same day no reason to take them
both, probably some with XLE/OIH etc.
anyway the table was too tall to take a screen shot so I placed
the data into a Google Spreadsheet
I don't wish to diminish the results of what is obviously a ton
of work, but I think I should point out that one of the biggest
issues with this type of system is correlated risk. At some
point over the life of the system, you're going to have multiple
signals firing at once (likely in addition to the SPY system) and
EACH signal can be in drawdown at the same time. It is
important to consider (and really post) the drawdown that each
signal experienced on its way to achieving each gain. I
believe there is a way to run this in Tradestation (I think using
Portfolio Maestro), but it currently beyond my programming
capabilities. Capital allocation with respect to drawdown is
critical (even using options)and not addressing this going in will
likely result in your fielding "angry posts" from users not fully
understanding how to trade the system (LOL). I say this
realizing that you are early in development and haven't sent out
any signals yet -- just thought I'd mention this as a point to
consider and focus on going forward.
(As a side note, it was your original RSI2 system that first
brought me to BPT several years ago.)
System trading (especially mean-reversion) can be
difficult/impossible without proper position sizing.
(I think I should get that tattooed on my forehead!!)
that's why I think in a real world - if you have things 5 or 6
going on the same day - the ones that tend to do the same trades
SPY, SPDW etc, don't do them both. If XLE and OIH go same day don't
do both - or if you have a decent account just spilt the same money
into them all. Yes can do options to limit risk but I'm not sure if
the options for the other ETF's trade after hrs like SPY does, if
the do not then may be not always be able to do options in time.
There are times when 6 - 8 get into a trade at the same time, one
could always set a limit of say max 4 or 5 or something
I'm also sure there's some awesome way to use options to limit
the risk - like some spreads or some out of money cheap puts that
would add some protection but reduce some profits as
well.
yes with systems you have to go in with a plan - too many don't
have a plan and just swing for fences then can't handle draw downs.
define a plan, and start small only - over time after profits have
been made then you can slowly start increasing allocation
oh who knows the purpose of that weekend exercise was to see how
it could look on a basket of ETF's and the RSI 2 system is a simple
system that is light code that I could backtest quickly - I like
the RSI 2 but it's also one of my weaker sub systems, it's simple
so was fast to do a backtest to see the viability
ideally what I'd like to do is add 3 - 5 additional long sub
systems to the basket, and maybe a couple short sub systems. NOT
ALL the spy sub systems that's too much. Then have a more complete
product
then there's the logistics of getting the signals out - it's
hard enough for the SPY systems and that's one ETF. I would like to
try and automate some of that - and I find that TS gets buggy when
I have too many workspaces open - we may need to code the systems
in Multicharts - that would be powered by TS data, as I find that
more stable.
anyway my next step is to test some other systems - CCI system,
QE BTS, Bear Long, Bull Exhaust, Exhaustion Short, QE short, Hi Mid
Lo short
since I made those RSI 2 systems on the ETF basic I may now add
my CCI system to it. Basically requires a 14 CCI to get below -250
- pretty much can throw it on most charts without any changes and
get PF's in the 10s.
Posted by jonesy85 on 10th of Oct 2021 at 05:11 pm
Outstanding. How will the signals be communicated? Text
message, private Twitter feed? That would avoid any confusion
with kiss, and any other signals that trigger.
that's too early at this point. I'd say SMS and here - maybe
also makes sense to have section with all those system
trades.
also this is more of a test right now. I don't even know if it
makes sense to use the RSI 2 system, maybe it makes sense to use
some of the SPY systems instead. This was sort of a test to see the
variability
RSI 2 reversion to mean on a basket of ETF's
Posted by matt on 10th of Oct 2021 at 01:49 pm
I applied the RS2 2 strategy to a basket of ETF's. I only had time to add this year's trades to a spreadsheet. There is quite a bit of over, but that's to be expected with 24 ETF's. SPY and SPDW ETF's, if those take trades on the same day no reason to take them both, probably some with XLE/OIH etc.
anyway the table was too tall to take a screen shot so I placed the data into a Google Spreadsheet
https://docs.google.com/spreadsheets/d/1uNO5zgfLfDgdIh7SO5_We1W25Tld1o9-Z1n9JKyng70/edit?usp=sharing
Hey Matt- I don't wish to
Posted by pep8261 on 13th of Oct 2021 at 12:35 pm
Hey Matt-
I don't wish to diminish the results of what is obviously a ton of work, but I think I should point out that one of the biggest issues with this type of system is correlated risk. At some point over the life of the system, you're going to have multiple signals firing at once (likely in addition to the SPY system) and EACH signal can be in drawdown at the same time. It is important to consider (and really post) the drawdown that each signal experienced on its way to achieving each gain. I believe there is a way to run this in Tradestation (I think using Portfolio Maestro), but it currently beyond my programming capabilities. Capital allocation with respect to drawdown is critical (even using options)and not addressing this going in will likely result in your fielding "angry posts" from users not fully understanding how to trade the system (LOL). I say this realizing that you are early in development and haven't sent out any signals yet -- just thought I'd mention this as a point to consider and focus on going forward.
(As a side note, it was your original RSI2 system that first brought me to BPT several years ago.)
System trading (especially mean-reversion) can be difficult/impossible without proper position sizing.
(I think I should get that tattooed on my forehead!!)
that's why I think in
Posted by matt on 13th of Oct 2021 at 12:51 pm
that's why I think in a real world - if you have things 5 or 6 going on the same day - the ones that tend to do the same trades SPY, SPDW etc, don't do them both. If XLE and OIH go same day don't do both - or if you have a decent account just spilt the same money into them all. Yes can do options to limit risk but I'm not sure if the options for the other ETF's trade after hrs like SPY does, if the do not then may be not always be able to do options in time. There are times when 6 - 8 get into a trade at the same time, one could always set a limit of say max 4 or 5 or something
I'm also sure there's some awesome way to use options to limit the risk - like some spreads or some out of money cheap puts that would add some protection but reduce some profits as well.
yes with systems you have to go in with a plan - too many don't have a plan and just swing for fences then can't handle draw downs. define a plan, and start small only - over time after profits have been made then you can slowly start increasing allocation
Hi Matt, When do you
Posted by goap1207 on 13th of Oct 2021 at 11:13 am
Hi Matt, When do you anticipate rolling this out? This would be great for me to trade $100k. Sooner than later would be awesome! :)
oh who knows the purpose
Posted by matt on 13th of Oct 2021 at 11:18 am
oh who knows the purpose of that weekend exercise was to see how it could look on a basket of ETF's and the RSI 2 system is a simple system that is light code that I could backtest quickly - I like the RSI 2 but it's also one of my weaker sub systems, it's simple so was fast to do a backtest to see the viability
ideally what I'd like to do is add 3 - 5 additional long sub systems to the basket, and maybe a couple short sub systems. NOT ALL the spy sub systems that's too much. Then have a more complete product
then there's the logistics of getting the signals out - it's hard enough for the SPY systems and that's one ETF. I would like to try and automate some of that - and I find that TS gets buggy when I have too many workspaces open - we may need to code the systems in Multicharts - that would be powered by TS data, as I find that more stable.
anyway my next step is to test some other systems - CCI system, QE BTS, Bear Long, Bull Exhaust, Exhaustion Short, QE short, Hi Mid Lo short
Makes sense. Thanks Matt!
Posted by goap1207 on 13th of Oct 2021 at 11:42 am
Makes sense. Thanks Matt!
since I made those RSI
Posted by matt on 12th of Oct 2021 at 11:51 am
since I made those RSI 2 systems on the ETF basic I may now add my CCI system to it. Basically requires a 14 CCI to get below -250 - pretty much can throw it on most charts without any changes and get PF's in the 10s.
Impressive results!
Posted by shinkans3n on 12th of Oct 2021 at 08:10 am
Impressive results!
This is some great work
Posted by rmoore100 on 10th of Oct 2021 at 11:38 pm
This is some great work Matt !!!!!!! Thanks very much !!!!!!!!!!!!! Can't wait til this is working real time. Again Many Thanks !!!!!!!!!!!!!!!!!!!
Outstanding. How will the signals
Posted by jonesy85 on 10th of Oct 2021 at 05:11 pm
Outstanding. How will the signals be communicated? Text message, private Twitter feed? That would avoid any confusion with kiss, and any other signals that trigger.
that's too early at this
Posted by matt on 10th of Oct 2021 at 05:25 pm
that's too early at this point. I'd say SMS and here - maybe also makes sense to have section with all those system trades.
also this is more of a test right now. I don't even know if it makes sense to use the RSI 2 system, maybe it makes sense to use some of the SPY systems instead. This was sort of a test to see the variability
I labeled the columns, so
Posted by matt on 10th of Oct 2021 at 04:09 pm
I labeled the columns, so should be more obvious now on that spreadsheet (I had one confused guy write to me asking) so it should be clearer now.
Normally I'm done with the newsletter but will be a couple hrs yet, hope everyone is having a good weekend.
This is an important week technically for the market