The Power Dip model portfolio has been in cash for two days now. One little dip made the radar during Tuesday evening’s screens. This dip is Gol Linhas Aereas Inteligentes SA (ADR) [[GOL]] and it will be purchased on Wednesday’s open.
The system has really outperformed recently and based on backtesting, the Average Trade and Win% are now above their historical averages. Perhaps the equity curve is due for a pullback.
the mean reversion argument…….i love it!
nice work, a good real-life example of how the law of large numbers eventually drives a good system to and even above their mean after a slow start. People don’t appreciate this, and tend to give up on good concepts (power dip) for short-term reasons.
dv
Nice!!! It looks like the average trade is now in line with the backtested model, correct? It seems like I remember about a 1% edge?
Bill, yep, ~1%. I’m glad to see it too, as this has been the “official” out of sample testing, complete with adding slippage via publishing the signals. I’m pleased, to say the least.
David, system trading takes great patience. Most people I think see the double digit returns that system traders can generate, but they don’t realize that these returns develop in fits and starts and pauses. Often it is a few good trades that can make the quarter, or year. For example, see NPD and NOVN, both gained over 20%… And that is why when the trading gets boring, or the system gives back some gains, you have to keep trading it very very diligently, and by the book, so to speak.
Meant to tell ya — go get yourself a Weekend edition of last week’s Journal — nice spread on all of Richmond’s good bbq joints.
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hi wood,
havent seen any update from you on any of your other system like big bamboo. do you mind sharing some info.
also how about some more studies on mean reversion, recently iread up some of dv2 stuff which is pretty neat.
thanks
Biill