Wealth-Lab Wiki

API ChartStyles Community Components Community Indicators IndexDefinitions Knowledge Base Misc Optimizers Pending Deletion PosSizers Providers Standard Indicators TASC Traders Tips TASCIndicators Tutorial Videos Visualizers
RSS

Navigation


Quick Search
»
Advanced Search »


TASC 2009-03 | Monte Carlo Conniptions (Pendergast)

RSS

Traders' Tip text

It’s not at all common to encounter a strategy that’s profitable when reversing the entry and exit signals, but simplicity and metrics generated by the Reverse MACD strategy merit further investigation. Figure 1 shows the results from a Monte-Carlo Lab “Trade Scramble” using the results from a weekly simulation from 1990. We found that running the strategy with weekly data tended to increase profit and reduce drawdown - another uncommon combination! Tradability may further be increased by installing a 20% stop loss, corresponding to a 2.4% max drawdown per position at 12% of equity sizing. Since the Nasdaq 100 constituents have had more than 200% turnover since 1995, it’s probably worthwhile to revisit this strategy with a dynamic WatchList that represents the current index.


Image

Figure 1. Monte-Carlo Lab Trade Scramble of weekly simulated trades, no options selected.


Code

No code (version 3/4)!

Important Disclaimer: The information provided by Wealth-Lab is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.  The owner of Wealth-Lab.com assumes no liability resulting from the use of the material contained herein for investment purposes. By using this web site, you agree to the terms of this disclaimer and our Terms of Use.

Used under license from FMR Corp. Copyright 2008 FMR Corp. All rights reserved.


ScrewTurn Wiki. Some of the icons created by FamFamFam.