Sunday, 29 April 2007

Note To Self: Sell Canadian Energy iUnits

Just a reminder that my sell signal for the S&P/TSX Canadian Energy iUnits (symbol XEG.TO) takes effect for the open tomorrow, Monday, April 30. See my note for Monday, April 9, for more details ("Crude Oil: Sell").

Also note that my data for XEG.TO goes back only to March 2001, so my largest past drawdown for this trade is relatively low and probably doesn't reflect as much volatility as the other data sets, which mostly go back to 1995. As a consequence, my maximum portfolio allocation for this trade is relatively large, but my stop is also smaller.

What does all that mean? I know, I know you're probably scratching your head. Click "How It Works" and "Glossary" on the right for some explanations, or write me a comment with your question.

7 comments:

Anonymous said...

Just read your article in TASC. Nice work. My only concern is that you're doing some massive curve fitting.

Alex Roslin said...

Hi Babak,

Thanks for your comment. That's certainly a valid question, like in any kind of system of this kind.

What I do to address this question is a visual check at the halfway point in each data set to see if the results on the long and short sides were similar to the final results, in terms of being superior to the results of the underlying index. They usually were. See for example the NASDAQ signals table on the "Profit/Loss Results" page.

In the rare cases where they weren't, this tended to be reflected in a large drawdown in my setup. That simply means I reduce my maximum portfolio allocation to account for the higher volatility of the setup.

I'm still thinking about ways to systematize this and whether to integrate this factor into my trading.

Best regards,
Alex

Anonymous said...

Alex, read the article and came to the website. VERY interesting stuff, and I wanted to thank you for it.

When/how do you take profits? I apologize if I missed that in the posts. Do you just wait for an opposite signal in the same market so it's a stop-and-reverse system or is there some other method? Do you move up your stops when you have a profit?

Also, how are the results affected by rollover or how do you deal with that?

Again, thanks for sharing this.

Alex Roslin said...

Thanks very much for your comment and kind words. The results are based on the purely theoretical notion of going long the underlying cash market on a buy signal and short on a sell signal. My backtesting system re-calculates the profit or loss each week based on the percent change from the previous weekly open price.

In my trading, I use a mental stop just below the largest drawdown that I've recorded for the setup multiplied by my entry price. This helps me to control my risk. As you can see from the table on the "Profit/Loss Results" page, many of the setups have significant past intra-signal drawdowns.

I didn't introduce variables like taking profits or rollover in my backtesting system.

Best regards,
Alex

Anonymous said...

What is your email address? I found your blog today. I have been trading off the COT reports for many years (since 1992). My COT data goes back to 1985. I specialize in the S&P 500 with the commercials category. Would like to chat with you.

Dave M.

Alex Roslin said...

Hi - Feel free to email me at roslin@videotron.ca.

Regards,
Alex

Alex Roslin said...

I wanted to add something in regard to one respondent's question about when I would take profits.

I would do so when a trade has pushed my holding in the asset above my maximum portfolio allocation for the setup. (See the table on the "Profit/Loss Results" page.)

Regards,
Alex