shillllihs
6,094 posts
msg #140291
- Ignore shillllihs
modified |
12/21/2017 11:39:21 AM
Uslv touches ma20. Time will tell if it needs to close above it.
Sdp has to close below open for the long utilities call to be valid.
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shillllihs
6,094 posts
msg #140296
- Ignore shillllihs |
12/21/2017 2:35:06 PM
Dgaz 42.92 back on the menu.
Short 1 part now and if it moves against you, short 2nd part on black candle.
That's it. Very confident in my shorting.
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shillllihs
6,094 posts
msg #140299
- Ignore shillllihs |
12/21/2017 3:26:38 PM
Dgaz to 29 and Soxs to 13. Lots of room to 🏃🏾
Give it 2-5 weeks
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davesaint86
726 posts
msg #140310
- Ignore davesaint86 |
12/22/2017 7:34:47 AM
Kevin - For your NM tests did you also run out-of-sample data? If so, for you 12/10/07 forward tests what setting did you use?
Thanks,
Dave
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Kevin_in_GA
4,599 posts
msg #140312
- Ignore Kevin_in_GA |
12/22/2017 9:00:44 AM
No OOS done on these current filters - my plan, based on discussions with the software developer, is to update the NN models after each trade.
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davesaint86
726 posts
msg #140324
- Ignore davesaint86
modified |
12/22/2017 11:19:21 AM
When you say 'update' do you mean re-learn a model after every trade?
Thanks,
Dave
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Kevin_in_GA
4,599 posts
msg #140325
- Ignore Kevin_in_GA |
12/22/2017 12:38:45 PM
Yes and no - the model is re-learned but retaining the previous model settings as a starting point. Thus it begins with a very similar structure and advantage (maybe) over a naïve learning model.
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shillllihs
6,094 posts
msg #140327
- Ignore shillllihs
modified |
12/22/2017 12:54:45 PM
Dgaz will be a monster short, down 5% headed for 29
Soxs headed to 13 something
covered Labd for about 9%
Uslv cleared ma20 shorted a little 10.50 something, that ma20 seems critical, may need to go higher.
Yang should hit 5.60s
Sdp headed 22ish
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shillllihs
6,094 posts
msg #140339
- Ignore shillllihs
modified |
12/22/2017 11:08:11 PM
Kevin,
As I was chilling in the hot tub, I was thinking the exact same thing, and there it was,
I've reduced my Xiv exposure to 25% and have been adding short, mostly commodity etfs.
Are you doing units and what kind of drawdown can you expect?
Also, have you checked or is there any way to check if MA20 is any kind of threshold?
Great work.
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Kevin_in_GA
4,599 posts
msg #140344
- Ignore Kevin_in_GA |
12/23/2017 11:16:24 AM
I really can't put things like the MA(20) into the system, as that is not how the NN systems work - they may include MAs as part of the inputs into the models, but I cannot be sure. In the advanced settings you can add in moving averages but I doubt they would be able to improve on the current system results (not one less than 95% win rate and all are quite solid ROIs).
Drawdown - this software does not generate an equity curve, so seeing the drawdowns or calculating the Sharpe ratio needs to be done manually. I considered doing that to help determine optimal allocation weightings, but in the end I think I'll just trade a set amount to each signal as they are generated. Over time as the results come in that might be an area for further refinement but for right now I plan to keep it as simple as possible.
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