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Search: Posts Made By: vmodus
Forum: Trading Journals March 31st, 2022, 01:26 PM
Replies: 478
Views: 94,171
Posted By vmodus
My post is live... Trading Idea #031 Another...

My post is live...

Trading Idea #031 Another Oddball 1 (https://systematicalgotrader.com/2022/03/31/trading-idea-031-another-oddball1/)

It was another failed idea, but the RSI delayed entry was...
Forum: Trading Journals March 29th, 2022, 08:19 PM
Replies: 478
Views: 94,171
Posted By vmodus
Well, it was fun while it lasted. I was able to...

Well, it was fun while it lasted. I was able to run though my testing quickly, though there were some bugs to resolve. All-in-all, it is a pretty simple system.

The ETF's I am using are just...
Forum: Trading Journals March 29th, 2022, 10:09 AM
Replies: 478
Views: 94,171
Posted By vmodus
Just a couple quick notes for this morning....

Just a couple quick notes for this morning. Firstly, I did a little testing of the 2-period RSI delayed entry idea on a single equity, and it was horrible. Almost every entry was worse, though that...
Forum: Trading Journals March 28th, 2022, 02:59 PM
Replies: 478
Views: 94,171
Posted By vmodus
Here is another teaser as I get closer to...

Here is another teaser as I get closer to finalizing this system idea. Here is more detailed explanation of what I am trying to do with using the 2-period RSI to time my entry:
...
Forum: Trading Journals March 26th, 2022, 06:11 PM
Replies: 478
Views: 94,171
Posted By vmodus
bobwest, SMCJB thanks for the input and...

bobwest, SMCJB thanks for the input and clarification. Yeah, I see what you're saying. The short answer is no I am not, but I will think about this over the next day or two to clarify my thinking and...
Forum: Trading Journals March 26th, 2022, 03:13 PM
Replies: 478
Views: 94,171
Posted By vmodus
SMCJB, how do you mean interactive? Since the AMA...

SMCJB, how do you mean interactive? Since the AMA is designed to adapt to shifts in market regime and it is used for the Bollinger moving average plus the upper and lower bands, I'm not sure what...
Forum: Trading Journals March 25th, 2022, 11:47 AM
Replies: 478
Views: 94,171
Posted By vmodus
I have been trying to standardize, codify, and...

I have been trying to standardize, codify, and simplify the system development process, and I wanted to share the latest thing I've come up with. I am going to build a standard template for all the...
Forum: Trading Journals March 24th, 2022, 12:12 PM
Replies: 478
Views: 94,171
Posted By vmodus
Going through my manual testing phase to...

Going through my manual testing phase to determine feasibility, I tested this idea on a corn futures ETF (CORN):


No stops or risk management, just the entry and reversal signals
Oct 2010...
Forum: Trading Journals March 23rd, 2022, 03:41 PM
Replies: 478
Views: 94,171
Posted By vmodus
SMCJB, in short, assuming I'm understanding your...

SMCJB, in short, assuming I'm understanding your question, yes.

I forgot to provide the Bollinger Band parameters: 38 length.

So the parameters in MC should be the same in TS:

...
Forum: Trading Journals March 23rd, 2022, 12:27 PM
Replies: 478
Views: 94,171
Posted By vmodus
I have started developing my next system, which...

I have started developing my next system, which is called Another Oddball System. It was created by Mark Brown in the mid-90's, but I could not get too much information other than the rules and...
Forum: Trading Journals March 16th, 2022, 02:12 PM
Replies: 478
Views: 94,171
Posted By vmodus
My post is live... Systematic Algo Trader -...

My post is live...

Systematic Algo Trader - Trading Idea 030 - Momentum Pinball 1 (https://systematicalgotrader.com/2022/03/16/trading-idea-030-momentum-pinball1/)

This system was a pain....
Forum: Trading Journals March 16th, 2022, 11:26 AM
Replies: 478
Views: 94,171
Posted By vmodus
So I tried a leveraged QQQ ETF (Nasdaq 100),...

So I tried a leveraged QQQ ETF (Nasdaq 100), TQQQ, which is 3x leveraged (though 'leveraged' ETF's are not quite leveraged at 3:1 ratio....won't get into specifics). Anyhow, it did no better than QQQ...
Forum: Trading Journals March 15th, 2022, 08:40 PM
Replies: 478
Views: 94,171
Posted By vmodus
QQQ failed Monte Carlo simulation. I expect at...

QQQ failed Monte Carlo simulation. I expect at least 2.0 Return/Drawdown ratio. Even when lowering the starting equity to the minimum (~$3,000), it did not improve it enough to trade.
...
Forum: Trading Journals March 15th, 2022, 05:02 PM
Replies: 478
Views: 94,171
Posted By vmodus
And the final result of testing the Momentum...

And the final result of testing the Momentum Pinball:

Momentum Pinball 1 - Backtest Results
https://nexusfi.com/attachment.php?attachmentid=322840

Among my goals is Profit Factor >= 1.5. Just...
Forum: Trading Journals March 15th, 2022, 04:07 PM
Replies: 478
Views: 94,171
Posted By vmodus
QQQ (proxy for NQ) looks much better. Here is the...

QQQ (proxy for NQ) looks much better. Here is the shuffled trades analysis for QQQ:

https://nexusfi.com/attachment.php?attachmentid=322834

This system is a pain in my buttcheeks, though.
Forum: Trading Journals March 15th, 2022, 03:17 PM
Replies: 478
Views: 94,171
Posted By vmodus
Not looking good thus far.... (2017-current).... ...

Not looking good thus far.... (2017-current)....

ETF: DIA using as a proxy for YM
https://nexusfi.com/attachment.php?attachmentid=322830
Forum: Trading Journals March 15th, 2022, 01:22 PM
Replies: 478
Views: 94,171
Posted By vmodus
Developing and debugging this system (Momentum...

Developing and debugging this system (Momentum Pinball) has been a bear. Here are a couple long trades on a chart (SPY):

https://nexusfi.com/attachment.php?attachmentid=322827

I'm running...
Forum: Trading Journals March 14th, 2022, 10:06 AM
Replies: 478
Views: 94,171
Posted By vmodus
I am working towards the deadline of my next...

I am working towards the deadline of my next system, which should be published tomorrow. Here is one of the things I do for every system idea: a system process diagram. This system is a little more...
Forum: Trading Journals March 9th, 2022, 08:40 PM
Replies: 478
Views: 94,171
Posted By vmodus
kevinkdog, from your keyboard to God's ears.......

kevinkdog, from your keyboard to God's ears.... today's results:

https://nexusfi.com/attachment.php?attachmentid=322713

You almost have to appreciate the symmetry. :sarcastic:

I know I do...
Forum: Trading Journals March 9th, 2022, 01:53 PM
Replies: 478
Views: 94,171
Posted By vmodus
Exactly. They had some spectacular results last...

Exactly. They had some spectacular results last year, but gave a lot of it back. Trend-following is really about catching fat tails when they occur.

Small wins turning to losses, big wins turning...
Forum: Trading Journals March 8th, 2022, 08:26 PM
Replies: 478
Views: 94,171
Posted By vmodus
Just a little interesting algo/systematic trader...

Just a little interesting algo/systematic trader tidbit to share.... I get daily email updates from the 40in-20out trend-following project. Here is what their hypothetical trend-following portfolio...
Forum: Trading Journals March 8th, 2022, 03:42 PM
Replies: 478
Views: 94,171
Posted By vmodus
Here is a sneak preview of the Momentum Pinball...

Here is a sneak preview of the Momentum Pinball system I'm working on. There are two variations of this system in the book, Street Smarts, but I am developing and testing the first variation:...
Forum: Trading Journals March 7th, 2022, 09:26 PM
Replies: 478
Views: 94,171
Posted By vmodus
I had a few minutes to try a 'matrix...

I had a few minutes to try a 'matrix optimization' in MultiCharts today, so I thought I would share here. There is a similar capability in TradeStation and MultiOpt (an excellent 3rd party tool for...
Forum: Trading Journals March 5th, 2022, 11:34 AM
Replies: 478
Views: 94,171
Posted By vmodus
A few thoughts about bias (and data) I did not...

A few thoughts about bias (and data)
I did not plan to post anything this weekend, but I was working on something that highlighted how easily bias can creep into our analysis. I had observed...
Forum: Trading Journals March 4th, 2022, 03:10 PM
Replies: 478
Views: 94,171
Posted By vmodus
Just to round out the discussion here, this is...

Just to round out the discussion here, this is what the P/L for the 1st day of the month, last day of the month, and all other days look, on average (5k account size; leveraged 2:1):
...
Showing results 1 to 25 of 356
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