system

Profit / Risk Ratio 65+/1

Recently, the fashion has gone on systems with a very low percentage of winning trades and a very high profit / risk ratio.. This is explained by the fact that, ostensibly, we do not guess the direction of movement, we're just playing our own “положительное матожидание”. Only it is not clear why they decided that they have positive. Understandably, what if the instrument grows or falls a lot all the time, then in this period we will get profit for any trend system and for any profit / risk ratio. here you go, for example, let's take Apple's share (AAPL), which is one of the fastest growing in the American market. With the simplest trend system and minimum stop, we get the ratio of profitable / unprofitable trades 10/90 with a profit / risk ratio 65/1. Believe, the ratio can be made more and less — the system will still make a profit.

but, still need to take into account the fact, that sometimes the break between profitable trades reaches 5 and more years. Think, it will be hard during 5 and receive only losses for more years.

Belief in the system can fade away, and fairly fair, since a profitable deal may not come — the stock may stop rising or falling at the same rate, like how it happened with Microsoft stock — while it was a promising and growing company, stocks were growing very quickly and a lot, but then the company became a giant and there was nowhere to grow, she just stopped.

Remark about the size of the foot

In the http post://jc-trader.livejournal.com/35067.html where an example of a losing oil deal was given, There were numerous hints in the guest comments that the swing system's stop was too high. Surely many people think that the fewer stops, the less losses will be, and consequently, if less loss, then accordingly, more profit.
This hypothesis can be tested only on what we already have, that is, on historical data, but what will be, we cannot check. That's why, it is logical to be content with, what is, that is, by checking that, how would a stop of various sizes act on the historical data of the futures portfolio with 2000 to 2010 swing year with costs $40 per circle. Stop will be expressed as a coefficient, tied to a formula, calculating stop. I, I use in this system a stop with a coefficient 5. The smallest — in 5 times less, that is, the coefficient 1. Accordingly, the coefficient 10 means that stop at 2 times more than used in my system.

See, that the biggest profit for the system is the stop with the coefficient 8. Smallest stops bring the smallest profit. Even very large stops are more profitable than the smallest.

The profit factor is the largest for the coefficient 5.

The recovery factor is also the largest with a factor 5. I consider this coefficient to be the most important for the characteristics of the system..

Drawdown is also the smallest with a coefficient 5.

Well, Sharpe — also one of the most important coefficients — 5.

This shows, that no matter how attractive a short stop may seem, its use was hardly advisable for the system in the period from 2000 on 2010 year. Wouldn't it be a bold statement that in the coming years the situation will not change towards a shift towards short stops? :)

And this is a system test with 2000 on 2010 year:

Systems for stock indices.

Here is an example of a well-known system for SP500 futures., which is impeccable, brought profit almost without drawdown 10 years, from about 1985 to 1995 of the year. Then something changed in the market and the end of the system, and very unexpected and cruel for those, who believed that this was just a temporary drawdown.

I heard that any trend system also earns on the RTS futures. Think, you should be careful and watch the market closely so as not to miss a moment, when there are no housewives left who do not trade futures on the RTS according to the trend system on hourly timeframes :)

Results (intermediate)

Weekend. When the dollar rises, it is profitable for me — it means that it will potentially be possible to exchange them in large quantities for the euro, And, maybe, на рубли. The fact that the markets are falling, this is not good for me, because, mostly, I trade stocks and, mostly, in the long — systemically, портфельно, краткосрочно (2-5 days). But if the dollar rises faster than the market falls, then I agree to it. All in all, till, if a miracle does not happen today in the stock market, I will be in a small minus from the beginning of the year.
The trend-following system for futures is showing itself well so far, although not super, but this is all because there have been practically no trends since the moment I started trading, since the beginning of October last year.
The trend tracking system for uncorrelated ETFs also came out on top..
Intraday systems, which I rarely trade, when there is inspiration, also showed a good result since the beginning of the year.
IBD100 Stock CanSlim Experimental System Fared Terrible — almost all stocks have already closed, there are a few more to hang, I pulled my feet up to them — let yourself close a little — experiment failed. By rough estimates, from the beginning of the year approximately -6% on this system.

Along trend following system for futures there are few positions open now, everyone closed — there will probably be a massive change in trends, and now it's like a transitional period.

Лонги:

ZN +1.22%

LB +5.21%

Shorts:

LIKE THIS +12.06%

ZC +4.98%

ZW +8.88%

EURUSD +1.62%
GBPUSD +0.73%
USDJPY +1.57%

Long-term trending system for uncorrelated ETFs
Long: 

SGG +1.74%

Shorts:

FXE +4.95%
EWZ +9.8%
ILF +6.75%
ALREADY +3.49%
DBA +2.75%
SLV +7.26%
BALL +1.67%
EZ +1.68%
FXA +0.29%
FXB +0.25%
NIB +2.53%

Thoughts, observations, ideas (possibly a system)

It just so happened, that there are always three turkeys on my chart: MACD, stoch, RSI. I looked at them for a long time, it's time to draw conclusions.

MACD provisions:

  • ниже нуля && below the signal (sales are in progress)

  • ниже нуля && above the signal (sales are closed, shopping starts)

  • above zero && above the signal (идут покупки)

  • above zero && below the signal (closing purchases, начинаются продажы)

stoch provisions:

  • flag
    “Overbought” (is in the overbought zone)

  • flag “Oversold” (is in the oversold zone)

  • the main one is below the overbought level and above the signal (начинаются продажи)

  • the main one is above the oversold level and below the signal (shopping starts)

RSI provisions:

  • flag
    “Overbought”

  • flag “Oversold”

  • came out of oversold (shopping starts)

  • came out of overbought (начинаются продажи)

Stoch and RSI convergence entry. MACD confirming (refill).

Opposite signal exit.

???Close positions if turkeys returned to the Overbought Oversold area???

I'll start with the indicator.

MACD, stoch, RSI, REC

Then robo tests.

PS. It should work in noise.

PPS. Divergence Problems Remain.

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