Regimes - Trading Software

Regimes

allan nathan
2015-07-03 18:00:00

Hi,
I am running a system using rank,and then looking at the Regimes...

Specifically,I am looking at Middle term Bullish with GSPC> SMA(c,100)..

when I code it myself

b=getseries("^gspc",gspc,close);
goodma=b>sma(b,100);

the results are drastically different.here is the system

rank1=Comp(perf(close,days),"Rank",1,close>2);
b=getseries("^gspc",gspc,close);
goodma=b>sma(b,100);
buy=rank1<11 and goodma;

shouldnt that system be the exact same as

buy=rank1<11; and looking at the midle term Regime?

Thanks,

allan

QuantShare
2015-07-04 11:40:17

The regimes tool trades the equity curve and thus when the rule is off, no positions will be considered.

In your system, no position is taken when the rule is off, however when the rule becomes off, all open positions are still there.

You will probably not get exactly the same results but try adding a sell rule:

sell = !goodma;

allan nathan
2015-07-04 12:14:46

If I understand correctly,you are saying Regimes adds a buy filter and also an Exit sell?

Stocks are purchased if the GSPC > SMA and will close/sell positions if GSPC <

Is that correct?

I am testing the comp rank and using a simple 10% stop,which would explain the differences.It appears if I add a sell rule with a MA cross of the GSPC,than the results should be closer?

Is this explained anywhere?

Allan

QuantShare
2015-07-04 19:12:23

The regime tool works differently, it trades the equity curve of your trading system. Just imagine as the equity curve was the price of an asset.
If buys that asset when regime is on and sell it when it is off.

And yes, the result should be closer.

http://www.quantshare.com/sa-589-quantshare-trading-software-new-features-in-the-331-version

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