Live performance updates for PRC Marketplace strategy: High Probability Reversal
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So technically we still have 2 days of trading left for the month but on request of a few clients I will post the latest Live results for the new version today and just do another post over the weekend should there be more trades. So for the first month of the updated algo we have had 9 trades with 6 winners (Win rate 66.67%). The gain to loss ratio is currently at 1.62
I am happy to see we are doing higher lows and higher highs on the equity curve and I maintain a very positive outlook.
Attached is my results for the algo with the PositionMultiplier = 3
(P.S. For those doing backtests, keep in mind: https://www.prorealcode.com/topic/live-performance-updates-for-prc-marketplace-strategy-high-probability-reversal/page/7/#post-190662)
Unfortunately since the last update we have seen a big loss for Friday meaning we ended the month negatively. I have attached 2 pictures, the first picture show the 3 failed short attempts leading to the drawdown (and how close it came to catching the final reversal) and the second picture showing the loss ‘in perspective’ to a bactest of the new version going back to 2021. The backtest show a similar drawdown in Feb ’21 which simply means this drawdown is not unexpected in term of past performance. It obviously sucks for users of the strategy that takes the strategy live just before a drawdown happens, but unfortunately that is always a possiblilty. And as anyone following the markets knows many funds and strategies out there are negative for the year. So I am grateful to see the algo remaining positive YTD.
Let’s all remain positive as we continue to aim for long-term out-performance. I look forward to our next update.
We unfortunately had another very nasty loss today and hence are starting the month in the negative. For those interested in technical analysis Gold’s recent behaviour seems to be particulary out of sorts considering the fact that we are seeing risk-off behaviour in the majority of markets and yet gold is selling-off. Attached is my technical analysis showing the Weekly and Monthly Pivots untested. With price currently trading below the Daily 100 SMA and 61.8% Fibonacci level, there exist an even greater probability for reversal to the mean. If price closes the inefficiency zone @ 1840 there will exist an extraordinary opportunity with excellent risk:reward when considering a stop @ 1819 and a target @ 1970
Unfortunately for the strategy the market can and will at times behave ‘ilrrationally’ and while it’s decisions are based on it’s algorithm which typically work on a high probability edge of about one sigma, outliers will occur. Despite this setback I recommend we remain commited as we await performance to normalize once again. At the end of the day all I want to see is yearly returns that outperform the vast majority of market based funds and equity in general.
I will continue to provide updates as per usual. With the next update closer to the end of the month or perhaps sooner if there is some significant trades.
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Topic Details
| Forum: | General Trading: Market Analysis & Manual Trading |
| Language: | English |
| Started: | 08/15/2021 |
| Status: | Active |
| Attachments: | 66 files |
