Presentation of my Trading System...

Hi,

attached you see a PPT of my Trading System…

Question for P123: are you o.k. with it that I puplish stuff like that in a blog or in a video?
Thank you for your feedback.

Best Regards

Andreas


QuantStrike Trading System by Dr. Andreas Himmelreich.pdf (7.12 MB)

Andreas,

you mean that the file I attached has this wonderfull result just made with that simple rules and the RS attached?
This is very important to me, because it means that I just have to focus practically on the RS !!! Buy and sell rules seem almost irrilevant


Andreas.pdf (287 KB)

What slippage assumptions are you using?

Hi Andreas - thanks for posting that. As some one who almost never uses momentum, this is fascinating!.

Can you please help me understand what is meant by accumulation/distribution and stock momentum/volume/sharpe?

Regards

philjoe
0.3%
Variable performance ann. around 4-5% lower…, but cap curve still looks impressive.
AND so far I can match the 0.3%).

@RTNL

Copy and past it to your ranking system in the text editor:

Inst%Own/Inst%OwnPQ AvgVol(20)/AvgVol(60) vma(150)/vma(300) ema(50)/ema(100) avgdailytot(20)/avgdailytot(120) sharpe(120,1)

Regards

Andreas

So a video would be cool with the p123 users?
Let me know!

Best Regards
Andreas

Hi Nicoletta,

yes I do not use a lot of buy and sell rules, they reduce “degrees of freedom” e.g. the more buy and sell rules you got, the more
you might overfitt (oh goodness, now I startet a 1000 Year old discussion!!!). Also my best backtesting results always have not much buy and sell rules…

That said, in your ranking system, you can have a lot of factors and in my experience that does not tend to overfitt systems, they
stay robust.

Also that said, there is one buy and one sell rule missing, that I do not want to reveal. They are key though. Hint: Small Caps!
2nd Hint: Also read the blog
of Yuval Taylor ther is a ton of gold https://backland.typepad.com/investigations/.
(I really can not say more, the key of the presentation is to show what is possible and the idea of robustness tests)

@All
I will add sector robustness tests in the presentation (10 or so more Slides)…

Best Regards

Andreas

Cool stuff. Thanks for sharing. Video or Blog seems fine to me.

Saw that you assume 0.3% Slippage. What price assumption are you using (Previous Close, Next Close, Next Open, Avg Hi/Lo)?

Andreas you are the NUMBER ONE PERFORMER in saturday Weekly Report…Every help in every form will be appreciated :slight_smile:

This is great! Thanks for sharing.

Andreas,

Your sim is great. Is it ok for you to share the IBD smartselect clean ranking system with us? Otherwise we will all looking for hints how to replicate your success.

I have also build a small cap multi factor screen but the sim performance is not as great as yours. I have made it visible for all to see, just search using my username “ustonapc”

Thanks again for your kind assistance in advance.

James


James (ustonapc),

I copied your rules, but without knowing your RS (you probably did not realize is not visible to other subscriber) the result since 01/01/2017 is around 20-22 % (against 14% of IWB) with some RS I tried. I also nociced your rebalance period is daily… So, if you share the we can dig in it…
What’s the starting day of your screen?
Fabio

HI Fabio,

The starting day of the screen is 1/1/2004. You can copy my screen and save it for own use without modifying the RS.

I copied, it goes the backtest, but the RS is hidden …If you can copy from “f(x)” and post here…

Fabio,

I can’t since the RS is locked by the original author. I just add the extra rules to make it work better.

By the way, still no reply from Andreas?

James

Anyone can create a super high performance backtest and save it as a port with the appearance of having been run for a period of time, causing it to show up at the top of the Weekly Report performance list. Don’t be fooled by this, it is just a marketing ploy and one of the many reasons that P123 should be looking at replacing the weekly report with something more meaningful.

I agree, annual return (for at least 4 year old live PF) should be better.