If I didn't I wouldn't be taking the trade tomorrow. I'm not overriding more than I am adding to what's already there. That's different than not trusting it. I've traded it exclusively for years now. Making mods with one particular breakthrough in adapting volatility for the thresholds. I'd say that was one breakthrough that added long term viability to the system. This mod tonight isn't quite as big a breakthrough as that one, but now I'm looking at another 10% annually. I'd say that was worth it, wouldn't you?
Welcome, lindq, I was actually wondering if you'd ever give us the pleasure of your highly qualified presence. I wasn't blindly following system alerts, but, just as you say, I had stops in place triggered at 50.12 today on QLD. QLD now is at 48.78. Thankfully the stops were tightened several weeks ago, and there is a trade in my c2 history of one particular version of the system that would absolutely have let the trade continue to run against me till the close today. Thankfully, I made the mod, which is what you have to do on a continual basis to any system, and I'm sure you'd agree. I don't think that means they were different systems, though. Different versions, not different systems. Maybe I'm a bit biased, but I think GDP tomorrow will give us that bounce. I do pay attention to what I'd call "general market commentary" on CNBC, and a lot of the analysts I've paid attention to anticipated some sort of pullback before setting YTD highs beyond where we were. I think you'll get your bounce tomorrow...hopefully, for a lot people's sakes. I've only lost twice in a row based on the current backtest 4 times out of 88 trades. I would say tomorrow's trade is even more high probability than yesterday's, but I'm sure that's just in hindsight now. We'll see. Thanks for posting.
I don't think there are ever any apologies to be made for modifying a system based on market conditions. Although any followers or subscribers to a system get naturally freaked out when it happens. As if someone should check their brains at the door after backtesting. The graveyard is littered with those who blindly followed their 'perfect' systems off the cliff. "But...but...this never happened before!" "Well, actually it did happen before. But you just curve-fitted it out of your reality." Backtesting and systems have their value, to be sure. But it sure ain't everything.
Word. Sometimes it helps, and sometimes it doesn't, it would depend when you made the mods. I don't think any system is ever perfect. To most, I'm sure that perfection equates to a high win percentage and that's not the case for tradeable systems with long term profitability. Like with mine. I get the impression from most traders here that they need to trade everyday, and I don't know of any professional that has to do trades for their personal accounts everyday. Only if you're a floor broker or market maker do you need to do that. For individuals, I would say my Pairs Models would be a real snooze for probably 80% of traders. The current backtest has a little over 80 trades in a 3 year period. I mean, I could sit here and say I don't know of too many systems even on c2 that trade less often and make that much. So...yeah. I got to go to dinner. Thinking about Ted's Montanna Grill for a Byson Ribeye, or I could just have Boston Market. Decisions, Decisions. I'm not even worried about tomorrow, and I wouldn't have been worried about tomorrow even if I had never made modifications with the system I started the thread with, because it was enough to get instiutional investors on board. I keep wondering if Kevin Davey will ever modify his Gen 2 S&P system. Seems to need a tweak or two in this environment. Now, I'm sure when I show it to them they'll be even more pleased with their decision.
Drum roll....TA DA! HOCUS POCUS alimidocus... or whatever other grand entry cliche you'd like to use. Since I was using a million in the initial backtests, here's a point of reference with leveraged returns at 188.89% of equity to ensure there are no margin calls. The last several trades are still exactly the same going back many months before you see a difference. Long + Short Starting Capital $1,000,000.00 Ending Capital $42,680,197.88 Net Profit $41,680,197.88 Net Profit % 4168.02% Annualized Gain % 212.58% Exposure 54.01% Number of Trades 87 Avg Profit/Loss $479,082.73 Avg Bars Held 286.00% Winning Trades 65 Winning % 74.71% Gross Profit $70,019,732.70 Largest Winning Trades $8,636,292.00 Avg Profit $1,077,226.66 Avg Bars Held 295.00% Max Consecutive 11 Losing Trades 22 Losing % 25.29% Gross Loss ($28,339,534.82) Largest Losing Trade ($4,566,091.50) Avg Loss ($1,288,160.67) Avg Bars Held 259.00% Max Consecutive 2 Max Drawdown ($5,626,036.00) Max Drawdown Date 10/1/2009 Max Drawdown % -24.32% Max Drawdown % Date 11/4/2008 APD 0.7318 APAD 1.6455 Wealth-Lab Score 297.8593 RAR 393.5635 MAR 8.742 Profit Factor 2.4707 Recovery Factor 7.4084 Sharpe Ratio 2.2477 Sortino Ratio 4.9044 Ulcer Index 6.0731 WL Error Term 6.68 WL Reward Ratio 31.8235 Luck Coefficient 8.0172 Pessimistic Rate of Return 1.7839 Equity Drop Ratio 0.019 K-Ratio 0.4075 Seykota Lake Ratio 0.0439 Expectancy 0.6346 Expectancy Score 16.4187 Max Losers Held 1 Max Winners Held 1 The annual returns look like less of a fluke to me here: Period Starting $ Return % Return % Max DD Exposure Entries Exits 7/13/2006 606,449.75 60.64 -10.10 56.50 8 8 1/3/2007 3,694,311.25 229.97 -12.26 58.33 22 22 1/2/2008 12,688,419.00 239.37 -24.32 53.27 30 29 1/2/2009 24,691,028.00 137.25 -16.22 53.76 27 28 At 96% of equity they look like this Period Starting $ Return % Return % Max DD Exposure Entries Exits 7/13/2006 288,408.50 28.84 -5.17 27.40 8 8 1/3/2007 1,153,338.75 89.52 -6.33 31.20 22 22 1/2/2008 2,319,593.25 95.00 -12.83 27.84 30 29 1/2/2009 2,897,686.00 60.86 -8.26 27.90 27 28 without posting the performance summary. Show time, though I'm sure that there will be volatility on the trade, I'm hoping whatever downside there is has already been priced in. I think the GDP number will initially sell off and stocks will end their negative correlation with the dollar or at least break from that trend for a few days tomorrow.
Pretty good day today. Makes up for the panic selling. I don't know why we keep retracing the Q's below 42. Fair Value is probably around 50 or so. I'm getting quite annoyed at the Cash Cow's system's inability to calculate the same share amount from day to day. I'm thinking from now on whenever I close the day hard coding the number of shares into the system. I really shouldn't have to, but it seems there's an issue of getting an intraday price from an external series in the program. I'd call it a bug myself. It appears the trade would have exited at 34 today, after buying at 35 about.
Yet another day of unnecessarily large amounts of pain to endure. I had a thought midway through the day, if I changed some of the logic, I would probably have to look at the only three stops I use, namely the trail stop in particular, stop loss, and profit target. The trail stop I found should have been triggered if I set my threshold level to be less by only 26 basis points. That would have sold me at 50 today, and saved me some bucks. Then, assuming that's what I would have done, I would have a buy order in place to be buying on the open monday. I think I'll arrange my trades to be such that I'll reset my prior stops to be based on monday's price. Well, I found a way to improve my research, but I guess didn't go far enough, especially considering that the day after I should have had the trail stop there in the first place. As to my personal trading I've amassed some positions in the $43 Q's of November and doubled down with $42 Q's of November as well. I'm thinking the next few days will rebound, but, I guess even with modifications you'll still go through some heat before coming out of a DD. I just want to finish the year up about 10%. Just being up on large amounts of money is a reasonable goal, but regrettably not as good as what the market has done since April. Well, that's just part of finding what works.
This was posted 9/5 What's interesting is my buddy's business had died down so much recently that he now feels he might be in trouble. All this predicting stuff has been draining and actually kinda painful... I need a Heineken and some aspirin!