This is awesome! The only caveat, I'd add is that the numbers need to be Beta adjusted (For example, SSO is double SPY - so SSO's return should be halved). Despite this beta adjustment, your KISS Trend and Mean reversion systems handily beat SPY. Excellent work.

    that's already accounted for -

    Posted by matt on 11th of Mar 2022 at 04:30 pm

    that's already accounted for - see the SSO data on the right and the 0.5 factor - therefore the left column is already divided by 2. The data on the right is the raw SSO data, the data in the table is divided by 2

    Yep. My bad.

    Posted by coolhat on 11th of Mar 2022 at 04:51 pm

    Yep. My bad.

    Thanks Matt - pretty killer

    Posted by Orangeman on 11th of Mar 2022 at 04:33 pm

    Thanks Matt - pretty killer stats.  

    The one component I'm unclear on are entries for the KISS system.  Is the table in the nightly newsletter email the best way to be notified or is there something more explicit that I have been missing?

    here's updated stats for this

    Posted by matt on 12th of Mar 2022 at 11:42 am

    here's updated stats for this year (realize that 7% loss for the KISS isn't what it seems, it's caused by the year end close out and start of the new year. For  example, the KISS went back long in early December and I have to close the trade on Dec 31st to close out the year and calculate the gain for 2021. However, I then have to set the starting price for the new year from Jan 1st, even though the system didn't enter there, it entered in early Dec at lower prices), thus it makes that loss seem large even though in reality if you used the actual entry from early Dec it was more like -4%. 

    Yep I'd have to communicate

    Posted by matt on 11th of Mar 2022 at 04:39 pm

    Yep I'd have to communicate those KISS trades clearly with emails etc

    anyway the table gives an example of what it all could look like. overall I'm pretty happy with the KISS stats but I'm still not overall happy or done with it, there's still a few ideas I want to add to it

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