SUMMER 2019: Summer Daily Fisher Transform Trades ~ Current QA
PRE-SUMMER 2019: Getting prepped on this page for a test using FISHER TRANSFORM to setup SWING TRADING. The test is based on weighing FT signals versus others depending on the value at which they begin in the indicator.
EARLY 2019: Look to the Head Blog for posts on the Late Winter Test on Hedging.
DECEMBER 2018: Look for posts in the Head Blog about what went well and what could improve with the Fall 2018 test. More below:
Post-analysis #1 ~ ADVERSE EXCURSION FILTER ~
Mid-analysis #1 ~ Failing Strategies, an Analysis ~
Below is the raw data statistics that I use to create the analysis. Also, below the information here is the pic archive and a place for comments. ~B3
FALL 2018 – FINAL RESULTS – NO FILTERS
| POST TIME | 10/16/2018 16:21 | LONG | SHORT | ALIGNMENT | VALUE-TREND | OSCILLATION |
| CURRENT POSITIONS | 0 | 0 | 0 | 0 | 0 | 0 |
| EXITS | 342 | 181 | 161 | 102 | 101 | 140 |
| ENTRIES | 342 | 181 | 161 | 102 | 101 | 140 |
| WINS | 164 | 87 | 77 | 47 | 57 | 60 |
| LOSSES | 177 | 93 | 84 | 54 | 44 | 80 |
| FLAT | 1 | 1 | 0 | 1 | 0 | 0 |
| WIN% | 48.09% | 48.33% | 47.83% | 46.53% | 56.44% | 42.86% |
| TOTAL RETURN | 279.40% | 31.73% | 247.67% | 34.21% | 137.93% | 103.69% |
| Return on Inv Cap | 4.69% | 0.91% | 9.98% | 2.81% | 4.21% | 7.08% |
| Annualized ROIC | 23.26% | 4.53% | 49.49% | 13.92% | 20.86% | 35.10% |
| TOTAL CALENDAR DAYS | 74 | |||||
| CONGLOMERATE | LONG | SHORT | ALIGNMENT | VALUE-TREND | OSCILLATION | |
| AVG DAYS IN TRADE | 12.8 | 14.1 | 11.4 | 8.8 | 23.9 | 7.7 |
| PAYOFF RATIO | 1.68 | 1.18 | 2.42 | 1.40 | 1.26 | 2.34 |
| PROFIT FACTOR | 1.55 | 1.11 | 2.21 | 1.22 | 1.64 | 1.76 |
| EXCURSION RATIO | 1.53 | 1.30 | 1.80 | 1.31 | 1.46 | 1.85 |
| AVG TRADE | 0.82% | 0.18% | 1.54% | 0.34% | 1.37% | 0.74% |
| AVG WIN | 4.78% | 3.82% | 5.87% | 4.02% | 6.22% | 4.01% |
| AVG LOSS | -2.85% | -3.24% | -2.43% | -2.87% | -4.93% | -1.71% |
| AVG MFE | 3.66% | 3.20% | 4.19% | 3.14% | 5.03% | 3.04% |
| AVG MAE | -2.39% | -2.45% | -2.33% | -2.39% | -3.45% | -1.64% |
| AVG LEFT ON TABLE | -1.37% | -1.36% | -1.39% | -1.29% | -1.52% | -1.32% |
| EXPECTANCY | 2.29% | 1.84% | 2.81% | 1.85% | 3.51% | 1.72% |
The Virtuoso Trader 
FYI, got some feedback that the graphics are hard to see. Once I get finish tweaking the automation, I will soup up the graphical delivery around here! For now, I wanted to make sure the data was posted. IT IS IMPORTANT THAT THERE IS NO 20/20 HINDSIGHT IN THE TEST. If I wanted that, I could do 10 million backtests while sleeping tonight. It’s understanding the setups within the market conditions. A backtest will not let you “feel” the market conditions. Why is this important? Who has the money to make 50 swing trade signals a day, not to mention the commissions? You have to pick and choose because you realise many strategies can work. Probability is what we find in the market conditions, if Pharma is doing well, seems like a pharma-stock long signal might be better than some other sector’s stocks, etc. ~B3
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8/20 exit of NFLX offers a great discussion of max favorable excursions and how they show you that you left a lot on the table. If its 8/20 or 8/21 today, then its in the first set of pics above, otherwise 8/21 night and beyond it will be found in the archive pic set. Notice it gains 2.89% with MFE of 7.68% leaving 4.79% on the table. Note that I have purposefully left the exits rules hard to hit on the Overage and Oscillation trades. In the discussion blog that is coming, you will find the analysis on how one would go about capturing more of the MFE. Alignment and value strategies tend to hit their targets as I like to take them, but if I were to have all 4 systems do targets properly, you would not be able to compare the good to the bad, which is my goal in the first place.
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UPDATE SEPT-12-18: SIRI has been replaced with FAST. SIRI isn’t working in my system, and its time for it to go.
UPDATE SEPT-7-18: The “Overage” trading system was a system I put in there to show how to deal with a failing system. Buying oversold, or selling overbought as an entry can be challenging to profit, and I just proved that! Look for a coming blog post that will analyze why things in that system went poorly. Just because the other 3 systems are doing well does not mean that they are without issues, so there will be blog posts to address them this fall. Please remember that this test is about posting how to test and analyze results, and the trades are not part of any real account portfolio.
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