Now Reading
Introducing Thor.0
110

Introducing Thor.0

Introducing Thor.0

by The MoleFebruary 26, 2015

I already mentioned this morning that I was having a very good day for various reasons. The one I left out was that I was working on something pretty exciting and was getting ready to make an announcement today. In essence my goal has been to extend Thor with a system that takes advantage of strongly trending tape. Thor does like trending tape but it’s not exactly what you would call a trend trading system as it takes advantage of pull backs. Which is why Thor didn’t catch the big moves on the EUR or crude in the past quarter. Not really a Thor problem as it’s not designed to do that – but I would be amiss to not at least try to produce a complementary system.

So I did a lot of thinking and looked at several hundred charts. A few days ago I presented a basic idea to Scott who quite frankly wasn’t really sure he understood what the heck I was on about. But I was sure that I was on the right track so on Wednesday morning I started coding the rules and by late afternoon that very day I had a very basic (but slightly buggy) version running. When I started to test it I was pretty amazed by the results and I first thought that I was missing something. However, there are only three basic entry rules in the system and the campaign management is identical to that of Thor.

I ran it through my very own backtester which unlike the built-in NinjaTrader tester allows a second short term data series and therefore executes exactly like the the strategy would in live tape. I have tested this module many times and it’s absolutely accurate. The results, to be quite honest, are staggering – so let’s take a peek at a few examples and then let’s talk numbers:

2015-02-26_EURUSD_ThorPointO

By the way I call it ThorPointO or Thor.0 – however you prefer to write it, and here it is running on the EURUSD. As you can see the campaign management does not have a target – it rides the trend via a pretty loose trailing stop – exactly like Thor does. One of my most favorite aspects of Thor actually is the campaign management which Scott Phillips developed over the past year – and I always thought it would be perfect for a trend trading system.

2015-02-26_ThorPointO_EUR

And I really think it came into its own with this new trending strategy as you can see above as it’s killing it on crude.

2015-02-26_ThorPointO_spoos

Here’s the E-Mini which didn’t really pull a long trend out of this one – actually it did much better on the NQ and the YM which surprised me a little. The old convict mused that he wouldn’t run those concurrently but I actually don’t see much overlap – the entries are completely different and do not run into each other.

2015-02-26_ThorDotO_graph

Now on to the numbers. I mentioned that I ran ThorDotO through my back tester but you don’t know the half of it. I just set up a high performance Windows system in PA near my data provider and decided to use that one as it’s super high performance with 32GB of RAM and 24 cores – it’s a monster. Took me only two hours to run through 34 futures and forex symbols – the very same ones we trade with Thor. I combined the results in a spreadsheet and the resulting graph is shown above. We are talking 554 trades in the course of 700 trading days – roughly every session since June 2013. I would say that this is statistically viable and diversified enough.

The numbers are pretty stunning if I may say so. Expectation came out to 0.31 and that is absolutely without ANY optimization – just the raw three rule entry system. I am already seeing things that I am sure we can filter for and that’ll be my task for the coming week. SQN(100) comes out to a whopping 2.73 and max drawdown was 13.3R. The total in risk was 170R – if you would have started in 2013 with $100k and only risked 1% on each campaign you would be up to over $500 today. Now that’s exciting but even more exciting in my mind is the growth curve which is as good as one could hope for. Which means that I would happily play this one with 1.5% or even 2% position sizing. Which really cranks the compounding but I don’t want to throw too many numbers at you guys.

Where do we go from here? Well, Thor subscribers can rejoice as I will be adding ThorDotO to the existing subscription for free. I may make a few more adjustments over the next few days and then it’ll go live by early March.

 

It’s not too late – learn how to consistently bank coin without news, drama, and all the misinformation. If you are interested in becoming a subscriber then don’t waste time and sign up here. The Zero indicator service also offers access to all Gold posts, so you actually get double the bang for your buck.

Cheers,

Sign up here to receive my FREE early morning briefing:

About The Author
The Mole
Mole created Evil Speculator amidst the chaos of the financial crisis in early August of 2008. His vision for Evil Speculator is a refuge of reason, hands-on trading knowledge, and inspiration for traders of all ages and stripes. You can follow him and his nefarious schemes at the usual social media waterholes.
Enjoyed this post? Consider a small donation to keep those evil deeds coming!

BTC: 1MwMJifeBU3YziDoLLu8S54Vg4cbnJxvpL
BCH: qqxflhnr0jcfj4nejw75klmpcsfsp68exukcr0a29e
ETH: 0x9D0824b9553346df7EFB6B76DBAd1E2763bE6Ef1
LTC: LUuoD6sDWgbqSgnpo5hceYPnTD9MAvxi6c
PayPal: https://paypal.me/evilspeculator