I was curious to see how many trades the volatility systems
would have done this year across all 14 of them. Remember, while
they may produce similar trades to mean reversion, they are based
on the Bollinger Bands and the respective volatility instrument for
each symbol.
total trades was 171 trades across all 14 symbols. See 1st
attached image showing a simple summary table by month and the
totals. Also, I could count these differently and get a smaller
number, if there's a 2nd entry, I'm counting each entry as a trade
instead of one total trade, however I currently do this with the
SPY/ES mean reversion systems so might as well keep it the
same.
By the way, for 2024 the SPY mean reversion systems did 29
trades, while the MES systems did 35 trades, see 2nd and 3rd
images
how much overlap between the volatility systems and the
mean reversion? I didn't count that, there is some overlap but also
not a lot - you get a lot of volatility system trades when the mean
reversion systems are flat - but of course what helps is that there
are14 stock symbols for the volatility systems, whereas
SPY/MES is only 2, so logically you are going to get a lot of
different trades that do not overlap SPY/ES
Really excited about this Matt! To clarify, for the table of the
volatility system, for the months that have more then 1 for a
trade, let's pretend a month that has two trades in the table, is
it that the system could have had two entries, (a 1st entry and a
2nd entry) and that's counted as the 2 or is the 2 showing two
separate first entries? I think you're saying the first example but
I wanted to check.
yep so let's say a volatility system had 2 entries and 1
final exit, I'm counting it as 2 trades because of the 2 entries -
again it's one half dozen the other, you could also count it as one
total trade as well. It's just personal preference
Great, yeah that makes the most sense to me too. For the system
stats of the regular reversion to mean trades, are those calculated
the same way? So for example the CCI stats show a total of 48
trades. Those are counted as each individual trades, whether or not
it's a 1st, 2nd, 3rd entry? So if there was three entries
then those 3 would equal 3 of those 48 trades?
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Volatility Systems 2024 # off trades, and SPY/MES mean reversion systems # Trades
Posted by matt on 28th of Dec 2024 at 06:47 pm
I was curious to see how many trades the volatility systems would have done this year across all 14 of them. Remember, while they may produce similar trades to mean reversion, they are based on the Bollinger Bands and the respective volatility instrument for each symbol.
total trades was 171 trades across all 14 symbols. See 1st attached image showing a simple summary table by month and the totals. Also, I could count these differently and get a smaller number, if there's a 2nd entry, I'm counting each entry as a trade instead of one total trade, however I currently do this with the SPY/ES mean reversion systems so might as well keep it the same.
By the way, for 2024 the SPY mean reversion systems did 29 trades, while the MES systems did 35 trades, see 2nd and 3rd images
how much overlap between the volatility systems and the mean reversion? I didn't count that, there is some overlap but also not a lot - you get a lot of volatility system trades when the mean reversion systems are flat - but of course what helps is that there are14 stock symbols for the volatility systems, whereas SPY/MES is only 2, so logically you are going to get a lot of different trades that do not overlap SPY/ES
Really excited about this Matt!
Posted by waves7 on 28th of Dec 2024 at 07:04 pm
Really excited about this Matt! To clarify, for the table of the volatility system, for the months that have more then 1 for a trade, let's pretend a month that has two trades in the table, is it that the system could have had two entries, (a 1st entry and a 2nd entry) and that's counted as the 2 or is the 2 showing two separate first entries? I think you're saying the first example but I wanted to check.
yep so let's say a
Posted by matt on 28th of Dec 2024 at 07:07 pm
yep so let's say a volatility system had 2 entries and 1 final exit, I'm counting it as 2 trades because of the 2 entries - again it's one half dozen the other, you could also count it as one total trade as well. It's just personal preference
Great, yeah that makes the
Posted by waves7 on 28th of Dec 2024 at 08:08 pm
Great, yeah that makes the most sense to me too. For the system stats of the regular reversion to mean trades, are those calculated the same way? So for example the CCI stats show a total of 48 trades. Those are counted as each individual trades, whether or not it's a 1st, 2nd, 3rd entry? So if there was three entries then those 3 would equal 3 of those 48 trades?