Could you start a forum dedicated to algorithms for trading the equity curve?
Cheers

If your equity curve is "tradeable", then your trades have a serial correlation. So test your trades for any such correlation, and if it exists, incorporate it into your primary system. I don't see how trading your equity curve will improve results beyond that.Vince wrote:The EC is the most important "instrument" you will ever trade. It is the curve of the profit. By "trading the equity curve" I mean that when my profit is increasing, in the direction of the trend - e.g. Long signals are winning - then, when the direction of the market changes and Long signals start to lose, I want to "stop" (not literally because I need to keep a track of notional results, so that my probabilities etc are updated correctly, for when I start trading Long again) trading during these dd periods. I have tried to use different MA`s over the curve but with unsuitable results, so I was wondering whether there were some algorithms dedicated to this aspect of trading.
Hmmmmm maybe I've just worked out a good way of doing it......but would like discussion on it. I think I read something about R Squared somewhere........
Variations of risk/unit exposure can be part of “equity curve” trading…..(1/2% or) 1 % risk on negative slope and 2-3% on positive slope is a proper variation.Vince wrote:Sussed! Its all in the Water my dear Watson. Trading the EC is absolutely fundamental to traders, because their sole function, is to extract as much profit from the market, as the nature of the market will allow.
EndEx
I would strongly recommend a serial correlation test (3 mins in Excel) to be sure, since we all know that randomness will often appear non-random.Kiwi wrote: The strangest thing is that the market goes through quite long periods when the system is wrong (30-100 days which can include both shorts and longs). Then periods when its right (30-60 days). So, because it gets a signal virtually every day a short term moving average like an T3 on the equity curve could provide a simple way of deciding when to take the signals and when to stop.
Take all your trades and put them into a column in Excel. Then put the same trades in the adjacent column, but offset the second column by one row. The use the Excel correlation function (dont remember exact name) to compute the correlation between the two columns. If one exists, then the trades are serially correlated. There are all kinds of additional tests you could run, but this is a good starting point.TradingCoach wrote: How do you do that?
redbullpeter wrote:Apologies in advance for my ignorance.
What does serial correlation tell you?
Is it a good or bad thing? How good is good and how bad is bad?
For my understanding, would this mean I would have two columns of just the trade prices?Take all your trades and put them into a column in Excel.
Thanks
red
Code: Select all
Var: Z(0);
Z = AvgTrueRange(6)/4;
If MarketPosition <> 0 then begin
if (C{+z}) < Xaverage(C,28 ) or (RSI(C,12)>=70) then
begin
if MarketPosition=1 then
begin
ExitLong("SellL") next bar At C-Z Limit;
end
else
begin
ExitShort("CoverL") next bar at C-Z Limit;
end;
end;
if (C{+z}) > Xaverage(C,28 ) or (RSI(C,12)<=30) then {Error XXXX}
begin
if MarketPosition=1 then
begin
ExitLong("SellH") next bar At C+Z Limit;
end
else
begin
ExitShort("CoverH") next bar at C+Z Limit;
end;
end;
end else Begin
if C>Xaverage(C,28 ) then
Buy at C + Z/2 Stop
else
Sell at C - Z/2 Stop;
End;
Code: Select all
avg_theor = @Average(theoretical, Ndays);
If(theoretical > avg_theor) then ncars=2 else ncars=1;
...
If (IMaster buy conditions) then Buy("BullBuy") ncars contracts at (...price...) ;
... repeated for all the other buy and sell statements in I-Master...