Posted by Jack Cahn on Oct 31, 2012 in Be a Trader, developer-trader | 2 comments
2 Responses to “eclipsed dt monthly performance report”
I noticed from the video that you have applied a number of filters to what I think is essentially a breakout strategy based around trading bands. It appears from the video that you are using ADX plus your own % C filter plus a time of day filter and I seem to remember from a previous video also a day of week filter (don’t trade Fridays ?) and also maybe an optimisable profit target ?
I realise you have apparently 3 or 4 versions of eclipsed each using different filters but roughly how many filters are being used in any particular variation. I realise that in order to eliminate the poor trades that filters are invaluable/essential even though each individual filter effectively takes a pair of scissors and cuts out a portion of the data-set so as with everything in trading we want to lose some of the poor performing trades but without cut¬ting the data-set into shreds!
I know you are a highly experienced trader and I have fol¬lowed you and your comments for many years and you always provide valuable comments and thoughts so I just wondered what your views are on the forward stability prospects for eclipsed given the apparent relatively large number of filters — and indeed how the basic system would perform without the filters.
Eclipsed Phase IV is a descendant of the long term, trend following system called Aberration. Where ADX is the only filter-indicator used by the strategy. I also pointed out that Phase IV uses two bar chart price patterns to set up the trade.
Eclipsed Phase III uses an adaptive set of breakout bands that are different from Phase IV. Exclusive to Phase III it uses a trend calc to determine direction and does not use a filter at all, so ADX, %C or the choppiness index is not used.
Eclipsed Phase II, that it uses the same set of bands as phase III with only a do not trade the first Friday of the month filter.
As you can see, filters are not over used, plus exits are always MOC tested first. We want the systems to be priced based and stand on its own two feet without the intervention of money exits. We do use them but only after the systems has tested 2 to 1 PF w/o the money stops. This is part of our stress testing.
The reason we have Phase IV is Phase II and III do better on the commodities, it does ok on the stock futures but Phase IV, with a different break out band, does very well on the stock indexes but not as well on the commodities.
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