Reminder for Me. New System Tests began 18/12/14
So far so good....The system has not been alerting me to any new long positions and I have gracefully avoided the recent bloodbath. Shorts are now being signalled. We'll see how they play out...I'll either be whipsawed to death or make a few extra pennies! In all, I am quietly happy with how things are working out. I started incubating the strategy on the 20th August and to consider that the market is down 6% since then, the positive returns are most welcome. Now I kind of wish that I had gone full size from the get go!
@backtestwizard Hi Llewelyn, I am very interested in your mean reversion strategy. I have been looking at this type of strategy for some time. I have bought both of your ebooks and think they are outstanding. I also read your blog and receive your emails. Do you have any plans to share more details about your mean-reversion strategy? I would love to know more about it and compare it to some of the ideas I have been researching. Best, Scott
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backtestwizard Sep 17, 14 5:34 PM
Some basic tips that I don't mind sharing are that I use a 6% stop (close only) and I am trading oversold stocks that aren't too expensive based upon industry average P/S and P/E ratios
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backtestwizard Sep 17, 14 5:39 PM
Further, the average gains that I am currently making are not typically this good...I expect them to level out more over time. The historical performance suggests that I should have roughly 1/1 risk reward on my trades but a 70% win rate. So far my winning trades have been much larger than my losses. I'm not expecting that to continue.
Gansoro Sep 17, 14 5:42 PM
Thanks for sharing the additional information. I am curious how/when you decide to take profits. Not that I am asking you to give away the "secret sauce," but if you can share... Do you use a profit target, similar to the strategy you outline in your candle pattern book?
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backtestwizard Sep 17, 14 5:55 PM
Hi Scott, no profit targets. I use a combination of indicator readings for exits.
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All of my trades are currently in reduced size while I incubate my newest strategy. For the historical performance of the strategy, please see http://backtestwizard.com/out-of-sample-data-tomorrows-data/
Lyin0 Feb 28, 19 10:28 AM
Hey man. Just wanted to say thank you. I read your blog post you had linked there -- good stuff. I've been wondering exactly how to go about backtesting. I just bought a couple of Kevin Davey's books as well, so I'm sure he thanks you too.
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