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Equity Curve Trading With Crazy Ivan
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Equity Curve Trading With Crazy Ivan

by The MoleApril 22, 2014

A few weeks ago Scott sent me a pretty fascinating article on equity curve trading which after perusal triggered a major brain quake followed by a flurry of activity over the past few weeks. The whole affair started in response to Ivan Krastins bitching at Scott (and thus implicitly at me) for not considering certain EC techniques that he apparently teaches to his own students. Most of them practice things like ‘stop trading after x drawdown in a month’ or ‘increase position size after x losers’ etc. A bit all too vague for my taste but I was interested enough to dig a bit deeper on this. Which of course meant letting Scott do all the statistical heavy lifting – he’s good at that which is why I keep him around. Turns out equity curve trading (ECT) works best on one-size-fits-all and marginal systems with large dependency (a term explained in the article), so looking at our recent equity curve our suspicion was that it may just be tailor made for CrazyIvan.

For the record, Scott and I have always steered clear of any manual intervention – meaning switching systems off and on – thinking it was a subjective way to curve fit a marginal edge. But after being schooled on dependency and how it can affect high dependency systems we had to concede it to be totally valid concept. Of course now you may just want to know how dependency and thus equity curve trading may affect Crazy Ivan – would it actually benefit? Well, I’m glad you asked as Scott ran the stats about two weeks ago. And here they are:

The is the unfiltered version which ran through 379 trades this year and is currently still hovering around 50R. That’s right on track and we’re optimistic it’ll keep up the good work.

Now this is the equity curve filtered version which only would have taken 141 trades this year by the time we ran the numbers. Results in R – 115R!! Boy oh – boy! How did we do that?

Now to be clear, this is the exact same system – same settings, same time frame, same instruments. The only difference is that we slapped on an SMA(12) on the raw equity curve (which is basically the first chart). Any trades below the SMA were skipped and when the raw equity curve slipped back above the SMA we would continue taking trades.

Now frankly there is really no magic to this – and it’s a ridiculously simple technique. The reason why this works so well on CrazyIvan is that it obviously has high dependency – i.e. you get periods of consecutive profit taking followed by stretches of draw downs. Over time it comes out on top, assuming of course you are able to sit through the rough periods. Of course we had considered various approaches to avoiding those drawdown periods – the one we actually implemented was a volatility filter based on Ken Long’s VolStat and StretchStat indicators. In theory the vol-filter was supposed to avoid those nasty sideways periods which we knew were tough to sit through. But when we actually ran it this way we actually saw a decrease in expectancy and in the end we just decided to let it run pure (since early January0. Until now that is.

As you can imagine, once I collected my jaw off the floor I was getting pretty antsy about implementing an EC filter into CrazyIvan. Scott ran through the numbers a few times and it seemed that anything from an SMA(10) to an SMA(15) was working just fine, so we settled on the 12. There were however unforeseen challenges which had to do with the fact that we run CrazyIvan on a 480 minute chart, that’s eight hours. So it’s very much possible that the SMA is being breached but it’s not ‘on the books’ yet until a day or two later when some of the open campaigns actually settle. Of course the Mole wouldn’t let this one sit and I came up with a pretty creative solution to the problem (which one I won’t tell you of course – hehe).

I’m still testing it on my end but I expect it to be deployed into production either today or tomorrow, so all CrazyIvan subs can rejoice! The only difference you will see going forward is an additional instruction in your alerts. Here is an example:

*****************************************************************
CURRENT MKT POSITION: Flat

ACTIVE ENTRIES:

LONG SIGNALS: RTV-L
IF BUY GBPUSD STOP @1.67955.
THEN SELL GBPUSD STOP @1.67825.

RISK: 13 pips.
RISK RATIO: 1%.

EXPIRES:
New York: 4/17/2014 11:00:00 PM Eastern Daylight Time
London: 4/18/2014 4:00:00 AM GMT Daylight Time
Tokyo: 4/18/2014 12:00:00 PM Tokyo Standard Time
*****************************************************************

Right below the risk field you will now find a ‘risk ratio’ field which tells you how much of your equity we recommend risking. Now until now that has implicitly been 1% (more or less being at your discretion) but we now recommend a risk ratio based on our equity curve filter. All the heavy lifting is done behind the scenes and you don’t have to worry about making any changes on the trading front. The only difference is that you will either trade 1% as usual or reduce it down to 0.1% (or nothing). We decided to use a fractional position sizing approach as it’s better if you adjust the SQN formula accordingly (a topic for another day). But you of course have a choice and so during EC down periods you may get alerts that say this:

*****************************************************************
CURRENT MKT POSITION: Flat

ACTIVE ENTRIES:

LONG SIGNALS: RTV-L

IF BUY EURUSD STOP @1.38165.
THEN SELL EURUSD STOP @1.3812.

SHORT SIGNALS: FH-S

IF SELL SHORT EURUSD STOP @ 1.3812.
THEN BUY TO COVER EURUSD STOP @1.38165.

RISK: 4.5 pips.
RISK RATIO: 0.1% or skip this campaign.

EXPIRES:
New York: 4/17/2014 11:30:00 PM Eastern Daylight Time
London: 4/18/2014 4:30:00 AM GMT Daylight Time
Tokyo: 4/18/2014 12:30:00 PM Tokyo Standard Time
*****************************************************************

So this is pretty easy – if you want to trade fractional position sizing then take only 1/10 of a percent or skip the campaign altogether (for a fixed on/off EC approach). The math is simple as you can just change that field in our handy futures (or forex) risk calculators. Here’s how you would do it:

You can click on the image to get to the actual calculator. So by simply by changing your risk ratio to 0.1% you are now following the system by the book. Of course if you think that’s all humbug and that you prefer to trade as always then simply ignore the risk ratio recommendation and Bob’s your uncle.

Scott and I are pretty jazzed about all this and we are very curious how the new EC Filter will affect the system moving forward. We will continue to post equity curves based on the filtered and unfiltered version of course – all my server side logging accounts for both. I also think that this will make a huge impact on you subs as draw down periods promise to be rather shallow compared with what we usually had to deal with. As of now the average draw down was 10R and if the system runs long enough you may have experienced a worst case scenario of 20R (my motto is to always expect the worst). Given the EC filter however this cuts draw downs to 5R or less and the worst case scenario to 10R and even that would require six or more consecutive losers with very bad fills, meaning they would all overshoot our 1R stop. Not impossible but rare.

The article I referenced mentions near the end that not all trading systems will be candidates for equity curve trading techniques (i.e. Heisenberg is NOT), but if you have a system that is, the results may be well worth the effort. Well, after running the stats Scott and I both agree that CrazyIvan is a superb system for EC trading and moving forward I hope we’ll all reap the benefits.

If you are interested in giving CrazyIvan a shot then I suggest you work yourself through the intro/tutorial as well as the order flow page. If you still have questions after all that then feel free to shoot me an email to admin@.

Cheers,


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 various social media waterholes below.
  • http://dartht.blogspot.com/ Gold_Gerb
  • http://evilspeculator.com molecool

    What we have here is a failure to communicate!

  • wandering196

    Eur/Usd

  • Skynard

    Remaining short /YM, /6A, still long the /DX, /ZW, /ZT. Have to play the game:) Crude weakness is key here today.

  • ridingwaves

    OPEX metals on thursday…

  • DollarChaser

    fantastic work! looks awesome. can’t wait to get stuck in.

  • DarthTrader

    My cycle work has a turn date on Friday. That means I’m staying long or on the sidelines til Thurs as there is an orb of 1 trading day on either side.

  • http://dartht.blogspot.com/ Gold_Gerb

    ..love it or hate it – tops (did I say top? ahem, arches…yeah.) can have spikes.

    Hmmm, reminds me of a certain throne.

    😉

    http://s1.postimg.org/56quxjtlb/spikes.png

  • http://dartht.blogspot.com/ Gold_Gerb

    S&P 100 – Tee Time

    http://s4.postimg.org/6uvibca6l/T_time.png

    -Gerb

    (ok, i’m outta here. work to do)

  • DarthTrader

    /TF is just 2 points away from my target posted on Monday of 1154.10

  • Dyellowflash

    Out of Oil shorts. That’s about 1.5 points of game here. Thanks for the chart on Mon, Mr Mole!

  • mugabe

    115R in 4 months seems almost too good to be true. If you started with 100K and compounded (R=1%), I don’t know how long it would take you to become the richest person in the world. Having said that, I’m intrigued…

  • DarthTrader

    I don’t care if it rains or freezes
    long as I got my plastic Jesus

  • http://dartht.blogspot.com/ Gold_Gerb

    I forgot. (that scene)

    obligatory link for the young kids.
    http://www.youtube.com/watch?v=GHf7TD4qwjk

  • DarthTrader

    Well if you’re going there

    Ya gotta go here

    https://www.youtube.com/watch?v=Kliy32YWFcU

    Gotta polish it . . .

  • http://www.ProfitFromPatterns.com/ Ivan K

    I am with you!!

  • http://dartht.blogspot.com/ Gold_Gerb

    there must be a weak link, otherwise the PH.D’s would have found it.

    but yes,

    “Simplicity is the ultimate sophistication.”
    ? Leonardo da Vinci

  • http://evilspeculator.com molecool

    Well, you know better and I’ll answer him above 😉

  • http://evilspeculator.com molecool

    Theoretically yes – practically no. After you start trading more than $500k or so in retail FX you’ll have problems getting perfect fills and your performance will suffer. There is a glass ceiling and once you start shoveling around a few millions it’s a different ball game. Very few subs here however would have that problem I think 😉

  • http://www.ProfitFromPatterns.com/ Ivan K

    The majority of people with degrees … PhD or otherwise … in the USA have what sort of jobs ?

  • http://dartht.blogspot.com/ Gold_Gerb

    too close to call.

    I have a chart!

    http://s1.ibtimes.com/sites/www.ibtimes.com/files/styles/v2_article_large/public/2013/02/22/phdplans.jpg

    (wait! I should be working….bye)

  • http://www.ProfitFromPatterns.com/ Ivan K

    Scalability is certainly not a glass ceiling … it is simply a conceptual challenge !

  • http://www.ProfitFromPatterns.com/ Ivan K

    Scalability is certainly not a glass ceiling … it is simply a conceptual challenge !

  • http://evilspeculator.com molecool

    When I was a kid in Munich most of the PhDs were driving taxis. And we are not talking psychology or art majors – STEM sciences. Met a lot of super smart people in Silicon Valley who were doing 9-5 and an equal amount of very average guys who found their niche and banking millions. So intelligence is an asset but 90% of success is hard work and being in the right place as the right time.

  • http://www.ProfitFromPatterns.com/ Ivan K

    Plans … hmmm!

  • http://evilspeculator.com molecool

    Well, once we start running into that problem I would be happy to pursue that debate 😉

  • http://www.ProfitFromPatterns.com/ Ivan K

    Intelligence … irrespective of how it is measured … has nada connection with ability … and outcome / income.

  • http://www.ProfitFromPatterns.com/ Ivan K

    The time to be a boy scout is before !!

    EDIT: After all, trading is a business … and, as such deserves a biz plan … else BS ** is real.

    ** Black Swan

  • ridingwaves

    teaching or healing

  • Sean

    Great stuff! And thanks for posting the trades! … I ran them through scenarios where I randomize the order of the trades to see how robust the strategy is and it was really interesting… the raw results will always end at the same number, but the path it takes to get there can vary wildly, deep drawdowns or long periods of no profits, I can imagine that being very stressful… however, with the equity curve filter the end number will be slightly different, but the path is fairly reliable, fascinating stuff!

    I plan to sign up, but only to paper trade… the results you show activate an “oh no, I better trade this right away so I don’t miss out on more profits” emotion, and missing out on a profit feels the same as actually losing money, so I see profiting at paper trading as a cheap way to “lose” money and work on releasing that emotion. Also, I need to make sure I can trade it at 95% efficiency for a couple of months before I start using real money. In the meantime, back to the Trader Transformation I have set out for myself… currently I am working on Level I mental fitness (full belief exam, internalize Tharp Think and reduce monkey mind chatter) and physical fitness (reduced body fat%, balance muscle weaknesses and baseline on fitness tests)… I expect I will be at Level I for a couple more months as my monkey mind is still fighting the small steps and tries to distract me with Level II and Level III issues (even my comments above betray this as worrying about efficiency is a Level III or Level IV issue in my program), but the work must be done.

  • http://www.ProfitFromPatterns.com/ Ivan K

    Random Walk concept at work … a working hypothesis at best … to ponder.

  • http://www.ProfitFromPatterns.com/ Ivan K

    You have had my SkyPe for ages.

  • Sean

    I have pondered it a great deal, but I don’t want to assume I know what you are getting at… care to elaborate?

  • http://www.ProfitFromPatterns.com/ Ivan K

    “where I randomize the order of the trades”

    EDIT: What if there is no such thing as ‘random’?

  • http://evilspeculator.com molecool

    Boy scout for life, but one who carries (lived in the states to long).

    I think if we run into problems we’ll switch over to Hotspot or one of their competitors. Only problem is that I would have to recode everything in FIX and boy that’s a rough one as the current codebase has nearly 6000 lines of code. Yes we could trade it manually but you know my POV on that one.

    But honestly I am able to maintain a fantastic lifestyle with the amounts I’m currently trading – frankly do not need to trade $20M+ on an ongoing basis IYKWIM. You yourself live on an island so I’m sure you get the concept of simplification. In the end very little is needed to live a happy and free life.

  • http://evilspeculator.com molecool

    “Also, I need to make sure I can trade it at 95% efficiency for a couple of months before I start using real money.”

    Efficiency is a key point here – Scott is still trying to get to 100% and he often slips. Which is actually why I personally love automated systems – life doesn’t get easier per se as you exchange the types of problems you deal with but it does take a way the excuses and subjectivity.

  • http://evilspeculator.com molecool

    Physical fitness – KEY point for me as well by the way. When I feel great and I rip it up in the gym I usually return to trade like a motherfucker. When I have down days I often stay away – so for me the mind/body link is a big factor. And of course the discipline of maintaining yourself in top A shape physically transcends into your mental attitude as well.

  • http://www.ProfitFromPatterns.com/ Ivan K

    Linear concept at work I see … ah yes … the markets will continue with the current playing field for … just a bit longer!

    And most definitely I do embrace the ‘concept’ of simplification … island or not.

    EDIT: Refer to my previous quote for the 1800’s.

  • Skynard

    Seeing crude, usually the day after. May even see it slide this afternoon, if the /DX has anything to do with it:)

  • mugabe

    I’m gonna very pissed off if my R gets to be 500K and I can’t trade any more cos of size. In fact, I would demand a refund. Harrumph!

  • http://www.ProfitFromPatterns.com/ Ivan K

    From 1 million ?

    EDIT: Famous quote (universal) … How to end up with a small fortune … start with a large one!

  • mugabe

    The results you show activate an “oh no, I better trade this right away
    so I don’t miss out on more profits” emotion, and missing out on a
    profit feels the same as actually losing money, so I see profiting at
    paper trading as a cheap way to “lose” money and work on releasing that
    emotion.

    I can hear you there. Got to keep the emotions in check. However, I would suggest that, if you try it out, psychologically, it might better to trade it with a very small R (e.g. 0,1%) rather than paper trade. Paper trading is possibly too far removed from the reality.

  • http://www.ProfitFromPatterns.com/ Ivan K

    So is 0.1R%

    EDIT: In the words of M above, take a campaign with just 0.1R … ah yes … I forgot … the next campaign (that ‘should’ be skipped) … will be a mega winner … and the logic is?

  • mugabe

    Dunno. It depends on the person.

  • http://www.ProfitFromPatterns.com/ Ivan K

    Depends on YOU

  • Sean

    I don’t believe anything is random, we just lack the information to forecast accurately… the key assumption in randomizing the equity curve is that the R-distribution for the next 400 trades is close to the distribution of the last 400 trades, if that doesn’t hold then the simulation falls apart… but that may make it even more interesting, since even assuming the R-distribution holds you can still get very different paths (alternate futures).

  • http://www.ProfitFromPatterns.com/ Ivan K

    Risk taking … aka trading … is far rather self-confronting!

  • mugabe

    It is that … a constant battle

  • Sean

    I have tried the “trade small R” idea in the past… seems to me that it takes much more self control to paper trade until you are very efficient than it does to “just get in there and trade”… the point to practice consistency, discipline and form until you are a master… if you can’t do that in practice what makes you think you can do that on the field?

  • http://www.ProfitFromPatterns.com/ Ivan K

    “We just lack” … hmmm … real estate prices fell / remained constant for 400 years in times long ago … sort of puts 400 campaigns into a very different context … but of course things are different now.

  • Sean

    That is why you need robust risk management at the systems level, not just position size and campaign management… you don’t just close your eyes and floor it, you adjust to where the road takes you…. you need to constantly learn and ensure you are not emotionally attached to beliefs that are no longer helpful/true.

  • http://www.ProfitFromPatterns.com/ Ivan K

    All part of the deal … “attachment to the outcome” is the key … the same as for a golf player … from my island perspective.

  • mugabe

    well, you can’t ignore the outcome. and mole is at least attempting to adapt the bet size to the environment. seems like a good simple solution

  • http://www.ProfitFromPatterns.com/ Ivan K

    And you?

    All your comments refer to other than you.

    EDIT: The .01% can ignore the outcome of a 1 billion $ bet.

  • Skynard

    Time to watch the ZL here.

  • http://www.ProfitFromPatterns.com/ Ivan K

    I am with you!

  • Sean

    I read all of Tharp’s books in the last couple of weeks, great stuff and it got me well on my way creating a development program, but I felt like something was missing or I was forcing ideas (not to mention the Oneness Blessings and A Course in Miracles started to make things seem a little weird to me)… then I read Unbeatable Mind by Mark Divine and something just clicked, a lot of the same ideas, but it includes physical fitness as the first step to clarity and it was framed in such a way that I finally got that “I know what I must do” moment.

  • Skynard

    Hang on to that /ZW, going to run here.

  • mugabe

    Well, we’re talking about Mole’s system, aren’t we?

    Me? I’m employing one totally mechanical system based on momentum, volatlity and correlation- no looking at charts. The other one is more of a classical charting system a la Peter Brandt that of its nature is less rule based regarding entry but is rule.base regarding position size and campaign management.

    I haven’t had to think of adapting the strategy regarding drawdowns because they haven’t really occurred (which doesn’t mean that gains have been spectacular, because they haven’t). My rule is that if I hit 6% from peak to trough I would re-consider, examine the why and reduce R until things look up. This a bit like what Mole’s doing..

  • Sean

    Do you know the stats of your systems?

  • mugabe

    Yes for the first one. No for the second. It’s a it difficult to have stats for a chart-based system which is really discretionary.

  • Sean

    It is actually not difficult, just tedious… at the very least you can look at the trades you have already taken… what are the stats for the one you do have?

  • http://evilspeculator.com molecool

    It hasn’t dropped below the line today – don’t go against today’s trend without some solid evidence.

  • http://evilspeculator.com molecool

    In terms of raw SQN skipping is better as you trade less. Unless of course you change the SQN formula and I’ll write a post on that once I’m coming up for air on the coding front.

  • http://evilspeculator.com molecool

    You may also look at the trading tribe that Ed Sekoyta runs – Scott is all over it. For me it’s too esoteric – all I need is to punch people once or twice a week 😉

  • http://evilspeculator.com molecool

    It’s super easy to do. Simply take the R compound column and produce an SMA against it (add a dozen up and divide by that number). Then you have your SMA on your chart. Now you clip the trades below the SMA and you’ll quickly see if you have a high dependency system.

    Alright back to testing/coding for me.

  • http://evilspeculator.com molecool

    You forgot my birthday so I’m pouting 😉

  • http://evilspeculator.com molecool

    God bless America!

  • Skynard

    Right now looking at 5 min lower panel. Dump coming!

  • http://dartht.blogspot.com/ Gold_Gerb

    hey can we at least tag 1900 before crying out for P3?
    =P

  • Dyellowflash

    Shorted YM 16558. That’s the first and only fill. Probably for a retracement? I am not sure. No technical reasons to short except for double gap up, high probablity of retesting gap at ES 1843, so taking a cheap shot here.

  • Dyellowflash

    Sorry, that’s the price for DOW Index.. I made the call to short when it reaches that price for Dow.

  • andrea

    Hi, I run a trading system on Collective2 based on S&P500. Does your system applies to ETF like SSO and SDS which are the one I trade?

  • Skynard

    Already did, W2 complete now bitch:P Are you afraid to short that bitch? You should be:)

  • http://dartht.blogspot.com/ Gold_Gerb

    Bitch!?
    Perhaps you’re in need of a crown of gold.

    http://s28.postimg.org/54r0inl4d/bitch.png

  • Skynard

    Looking to get a gap fill today.

  • http://evilspeculator.com molecool

    Participation really melted away up there. But it’s not where I would have gone short – very hard to predict this.

  • http://evilspeculator.com molecool

    If you get there I send you a dollar 😉

  • doublestepover

    Mole- I pulled the individual campaigns off the CI results link and manually input them into a pre-existing EC smoothing spreadsheet I maintain. The only way I was able to replicate the results shown above was to use a “perfect hindsight” methodology. The way this ‘should be’ done IMO is, for example, to base the decision whether to enter campaign #20 on the Equity Curve and SMA resulting from a completed campaign #19. By doing so, I show no improvement over the baseline CI Equity Curve. It actually is worse by a couple R.

    However, if “perfect hindsight” is employed, whereas the decision to enter campaign #20 uses the result of campaign #20 in comparing the Equity Curve to the SMA, the new Equity Curve (from smoothing) matches what you’ve shown in your post.

    Although it sounds like you’ve come up with a method to include open campaigns in the current period EC and SMA, it seems the new EC results are inflated.

  • http://www.ProfitFromPatterns.com/ Ivan K

    Until it is not!

  • http://evilspeculator.com molecool

    Yes, we are considering open trades. That was a bitch to code…

  • mugabe

    The problem is, I’m still in most of the of them as they’re weekly trades with wide initial stops.

  • mugabe

    I want that in writing .. oh, I’ve just got in in writing

  • http://www.ProfitFromPatterns.com/ Ivan K

    “Wide initial stops” are clear evidence of other than the belief that Timing is the Key.

  • mugabe

    They are a reflection of an approach (right or wrong) that says you can’t hope to exactly nail the entry because markets aren’t mechanistic. Also, of the observation that the market often seems to take out obvious stops (e.g. it breaks support) only then to regain it (e.g. SPY recently).

  • http://www.ProfitFromPatterns.com/ Ivan K

    A break of an ‘obvious stops’ can be a tremendous buying opportunity … and is regularly taken advantage by those who share the same approach.

  • mugabe

    There’s an interesting idea of Jankovsky’s – which I’ve never really been able to use – that you should look at a chart and try to see what the loser is doing and do the opposite. His contention is that the loser will operate on shorter timeframes and use classic TA. He’s got a video / infomercial on it on Youtube.

  • http://www.ProfitFromPatterns.com/ Ivan K

    That is a concept I wrote about in my book over 20 years ago … as well as what I feature in my CyberTutorials.

  • mugabe

    Just fouind your website. will need to peruse!

  • http://www.ProfitFromPatterns.com/ Ivan K

    The tip of the iceberg!

  • mugabe

    I’ll start at the top and work down!

  • doublestepover

    The point I was attempting to make was that I don’t think the results you show are possible unless you are including campaigns that have yet to occur. In the example above, you would need to include campaign #20 in determining whether to take or skip campaign #20. I understand that you have a way to include open campaigns (for example, #’s 18 and 19). But, you can’t include campaign #20 in the analysis (comparing the EC to the SMA) before it exists.

    I called it perfect hindsight, but it’s better defined as perfect foresight.

  • http://www.ProfitFromPatterns.com/ Ivan K

    Enjoy the slide.

  • mugabe

    I’ll take that as a positive comment …

  • http://evilspeculator.com molecool

    Hey, I just sent you an email. Can you please forward your spreadsheet to Scott (cc’d in the email) so that he can double check your numbers?

  • http://evilspeculator.com molecool

    Not sure what you mean by looking forward – we went by the exit dates of the respective campaigns. Anyway, see below – if you can forward your spreadsheet we’ll be sure to figure out if there’s an error or problem 😉

  • http://www.ProfitFromPatterns.com/ Ivan K

    Always … a keen participant spent quantum time to absorb my ‘legacy’ piece … website … and created a 250 page precis of the content … and then created his own RBT based on his interpretation of my content … demonstrating true commitment … followed by a very pleasant outcome … all in all about 1 year of ‘work’.

  • http://evilspeculator.com molecool

    The way it works is that the SMA swings above/below the EC curve due to an exit. Afterward we take an entry based on those two values – based on whether the raw is above or below the SMA. I understand what you are saying about open campaigns and we are accounting for open trades. That’s not optimal of course but it’s a big step toward perfect foresight. What I don’t get is what you’re saying about include #20 in determining #20. You can’t include the current campaign and then decide whether you would have traded it above or below the baseline after it finishes. If our chart has that problem then I want to of course address it but I would be surprised if Scott hadn’t thought of that…

  • http://evilspeculator.com molecool

    I think I just realized what may be going on. You are probably using one curve whereas we are using two. The raw one never changes and it’s not the one doing the trading. Once it has completed a theoretical trade (or is open right now and already above the SMA due to its profit) only then do we turn on regular position sizing again. Trades that started below the SMA and finished above are not being included.

  • itslance

    I apologize if someone already asked this, but how do the CI 30 results compare to the CI 480 results? Also, when is the target to get the new CI version up and running?

  • http://dartht.blogspot.com/ Gold_Gerb

    ..some really good discussion here today.

    light crude oil….DENIED.
    http://stockcharts.com/h-sc/ui?s=$WTIC&p=D&yr=1&mn=0&dy=0&id=p86634613407

  • DollarChaser

    pretty sure i remember mole once saying that almost no one has signed up for CI30 too intensive to follow i think. but yes, im also interested as to how she has performed compared to CI480

  • phantomflash

    Doublestepover, I believe I see what you are getting at. Not sure if such considerations would turn out to be seriously damaging to the technique or not. Bottom line, the proof will be in the real-time trading results going forward — which I’m sure we all will be anxious to see.

  • doublestepover

    Yes, you understand what I perceive to be the problem. And, I agree that it doesn’t seem like an error Scott would make. However, I don’t see another way for those results to be achieved. The concept is very simply, but probably made more complex by the handful of markets CI trades. Per you comment below, I’m also using a raw data series that doesn’t change, which is then compared to the SMA. If the EC data point is greater than the SMA, take the campaign. Otherwise, skip it or use .1% risk. The new EC is created from this process.

    To achieve more than a doubling from compounding $ Equity is much more plausible IMO than a greater than 2x increase in R results (which doesn’t use any form of compounding).

  • RUFCrazy2

    the don;t. Mostly forex.

  • http://www.ProfitFromPatterns.com/ Ivan K

    CLARIFICATION:

    The same as each person has their own character, each RBT that my students create also has a different character / profile / stats … hence, as a direct consequence, my EqC concept is tailor-made to suit … the MA concept is but one of a few that I share with my students … once they have put in the effort to establish their own RBT … none of my EqC concepts are “a bit all too vague” … the same as my 12 setups and 5 timing tools are not vague.

  • Scott Phillips

    Mole asked me to address this, so I’ll jump in. The problem with your methodology/thinking here is the inherent volatility correlations between markets mean that it is more than likely that a lot of trades (both winning and losing) will trigger very close together.

    The inherent problem that needs to be overcome on our end is that a winning trade is

  • phylum

    There is ‘no’ vague in black & white ….

    Edit: Analogue minds in a digital world maybe?

  • Harry Coin

    I asked this a month or so ago, and Mole said that performance wasn’t tracking the 480 at all, and that he was probably going to close it down to lack of participation/interest. My uninformed guess is that that the S/N ratio was way too low on that time scale. At the time I thought that the CI.30 was interesting in that it was described as only being in the market %15 of the time (when the market was trending) and also that it differed from the CI.480 campaign management rules to let trends run longer.

  • phylum

    He has the code, if you ask nicely he may back test it for you, when he has time of course.

  • doublestepover

    Yes, I’m sure total R was improved via the methodology Mole uses to include open trades. But, I don’t believe there is a way to produce 115R from 47R with MA smoothing. It sounds as though you concur. Instead of me trying to prove you wrong (which I have no interest in doing), why not make the CI stats and the SMA methodology data available to CI subs? It could be that some now question why “Most likely result is that the result is roughly in the middle of the two equity curves in terms of total R”:)

  • itslance

    I was a bit confused when I read the post too, until I read the article that Mole referenced. In the end of the 4th paragraph it states:

    “Keep in mind that
    when we refer to the equity curve and its moving average, we’re referring to the
    continuously traded equity curve plotted from all system trades. If we skip
    a trade in a real-time because of the equity curve crossover, this skipped trade
    is still included in the equity curve for purposes of calculating the moving
    average and the equity curve crossovers.”

    So the SMA accounts for all trades taken or not. While Mole’s system may or may not take trade #20 based on where the SMA is in relation to the EC, it’s still accounted for in the SMA for future trades. The effect on the cumulative R would be based on what the %R that was taken for the trade as determined by the SMA/EC relation just prior to the trade. So with that in mind, it makes logical sense to me that the draw downs would be less severe. Hope this helps anyone else that was scratching their head like I was.

  • doublestepover

    Thanks, but I didn’t miss that. The raw data EC is in my spreadsheet. And, agreed the DD will be less. But, I don’t believe the total R is accurate.

  • Scott Phillips

    You previously stated that you “pulled the individual campaigns off the CI results link and manually input them into a pre-existing EC smoothing spreadsheet I maintain” – please post your spreadsheet.

    You don’t believe! Is there a reason for your disbelief? Any facts or other reasons to back it up? A doubling of total R is roughly typical for equity curve optimization.

    The stats and methodology are available to subs

  • Scott Phillips

    You are incorrect, and trolling.

  • doublestepover

    Out of respect for Ivan’s other students, I’m not going to post the EC spreadsheet. This isn’t new to me, as I’ve run a similar approach on my RBTs and others sent to me (I believe on several of yours else well that you sent his way) over the last two years. R improvement, less DD and reduction in campaigns? Yes. Doubling? I doubt it. My EC smoothing approach is skipping a heartbeat vs SMA. As you said, some like more complex and I fit in that camp. It’s not up to me to prove your and Mole’s approach is robust. That’s up to you guys.

  • Scott Phillips

    No please – no need to be respectful. Post the spreadsheet.

    I really really doubt you bothered to “enter our values in a spreadsheet” like you claimed, because when I did it it took me a very long time.

    Fucking trolls – should never feed em 😉

  • doublestepover

    Actually, it only took about an hour to enter the 641 campaigns from the start date. But, I only used the data from Jan.1, as this is when you guys started calculating your equity curve. How long could it have possibly taken you to do this…

    Anyone reading this can do the same thing and run the analysis I did. It takes very little time, and worth it if one is relying on the data (which I am not).

    I guess I’ll go troll on now:)

  • Scott Phillips

    Each trade has a START TIME and and END TIME. There is no way, except manually, one trade at a time, to work out whether the previous trade had ended at the time the next trade started, and what the current equity curve was at that exact time, and whether that trade should be skipped or taken.

    So yes, whatever you did was incorrect if you did it at all, which I doubt.

    Maybe you should fuck right off :)

  • doublestepover

    All the best to you as well:)

  • phantomflash

    The link Mole posted shows the technique in use for index futures, not forex. Index futures act essentially the same as index ETFs. The technique applies to trading systems, not trading vehicles.

  • Scott Phillips

    wanker!

  • http://evilspeculator.com molecool

    Correct, you would have to manually correlate those two. The exit column is the best one as a starting point. Of course it should be possible to write a script that considers whether a previous campaign has ended above or below and whether the current row started before or after that date. If the former use the value from two rows back if the latter use the value from the previous one. I hope this makes sense…

    FWIW I am logging the EC filter setting moving forward, so we will know exactly.

  • http://evilspeculator.com molecool

    Doubt does not equal proof. And it’s not up to us to prove anything to you if you are calling bullshit. Send us your sheet privately – Scott has been an Ivan student for over a decade and there is no need to protect anyone.

  • http://evilspeculator.com molecool

    You will.

  • http://evilspeculator.com molecool

    I don’t think you understand trading at all if the concept of doubling an equity curve due to avoidance of losses seems alien to you.

  • http://evilspeculator.com molecool

    The link yes, but ours is based on FX and futures trades.

  • http://evilspeculator.com molecool

    What was relayed to me was a bit vague, I have not been your student. Typical human behavior, you can compliment a person dozens of times but they only remember the one slip of the tongue. Sometimes I wonder if I should just shut up and trade my own coin – dealing with egos is too exhausting.

  • http://evilspeculator.com molecool

    Hey I remember that you also ran the stats on each respective instrument of which we keep the results in a separate spreadsheet. It was working well and there are only sequential trades, there are never any open ones until the last one has closed.

  • http://www.ProfitFromPatterns.com/ Ivan K

    The challenges and joys of language / words … especially for non-native speakers!

  • http://evilspeculator.com molecool

    Well, FWIW I didn’t mean to denigrate your approach or systems – we are all benefiting due to your tireless commitment to system development and I have not been shy to give credit where it is due.

  • http://evilspeculator.com molecool

    Wasn’t denied on the downside though – so I would not have played this based on that chart. Yes, in hindsight it worked and perhaps going forward it will be valuable.

  • http://evilspeculator.com molecool

    The 30 has not attracted sufficient subs and I’ll probably phase it out. Per the new version of CI – I am busting my ass to get it up and running today.

  • Scott Phillips

    There is a critical difference between our CI and ANY other system he would have run equity curve optimizations on (from myself or anyone else), which accounts for why the SMA equity curve smoothing is much better in this situation than the more complicated approaches which are usually optimal.

    Ordinarily I would explain in exhaustive detail, but seeing the guy basically came here like a douchebag… I don’t think so.

  • newbfxtrader

    https://www.tradingview.com/x/VrqLuEfk/

    Good start on the bear flag posted earlier. Lets see if it got legs.

  • mugabe

    G’day! Keep up the good work on English: you’re not doing badly for an Aussie.

    http://www.youtube.com/watch?v=qJkO-EKRVd0

  • http://www.ProfitFromPatterns.com/ Ivan K

    If a cat give birth to kittens in the oven (not lit) … are they called scones?

  • Spalding

    There is nothing vague to Ivan’s setups or timing tools. Matter of fact, it’s the only place where I’ve seen clear “exits” spelled out.

  • mugabe

    I can’t clutter my mind with that sort of litter.

  • http://evilspeculator.com molecool

    ¤ø„¸¸„ø¤º°¨¤ø„¸¸„ø¤º°¨

    ¨°º¤ S H A K E N ¤º°¨

    ¸„ø¤º° B A K E !“°º¤ø„¸

    ¸„ø¤º°¨¤ø„¸¸„ø¤º°º¤ø„¸

  • Skynard

    Love you Bro, nice to hear from you. You a bad ass! One of these days:)

  • phantomflash

    I think I see the confusion here. He said “your system” but I believe he actually meant “equity trading” in general. (I originally pointed him to this article to learn about equity trading.)

  • sburtt

    I’ve 2 questions:

    1. are you planning to embed the EC filter in the NT strategy or will you do this manually? Just asking as I tried this in the past, but had technical issues, therefore any advise on how to do this would be most welcome. The problem I see is that you will need to track 2 equity curves (the equity curve and the hypothetical equity curve if you take all trades)

    2. from this post it looks like the only change between Old Crazy Ivan (2013) and new 2014 Crazy Ivan is that this new version takes all entries, hence you simply removed the VolStat and StretchStat. Is this assumption correct?

    thanks for sharing

  • Raymond Nersessian

    Hi, Thanks for the great read.

    I use moving averages on my equity curves for end of day systems.

    Everyone praises MAs and other technicals overlayed on system equity curves, however I give back approx 40% of my profit due to the lag these curves create. for example after market I will download new price data, which may flag a trade which pushes my equity curve back above my moving average, however I cant take that trade now as market is closed, so I can start trading the system from the next open, hence I have lost that positive trade.

    over the course of a year this t+1 lag the moving average creates, does cost a fair % of profit, however I dont whinge much because it creates a very nice equity curve.

    does anybody else have this lag problem ? I am still toying with ways to improve this.

    Regards,
    Ray