Hi Myst! Yes, still experimenting with XDEV! Your Fisher Transform version sounds interesting. If you send over the spreadsheet I'll take a look! I hope you are well. Best regards,

Hi Myst,

I hope you're well. I will try to share my experiences trading XDEV in the coming weeks. In the interim, did you arrive at 8 days look back period for the Williams %R for a reason?

Additionally, I noticed, when calculating Williams %, you are using the 8 day SMA of the HIGH and LOW and not the MAX and MIN of the HIGH the LOW.

You use AVERAGE(BD2:BD9)

Others use MAX(BD2:BD9) and MIN(BE2:BE9)

Did you find using the 8 day SMA rather than the MAX or MIN better? Did you choose to use the 8 SMA of the HIGH and the LOW instead of the MAX and MIN for a reason?

I think your way of calculating Williams %R contains more information by distinguishing between overbought and oversold and REALLY overbought and oversold periods.

Calculation using AVERAGE:



Calculation using "MIN" and "MAX":



All the best,

Alex

Hi Myst,

I am wondering whether the formula in the Actual Shares Bot column is correct. See below:



I understand the logic of the formula to mean that if the (Absolute) suggested shares sold is greater than the actual shares held (in column X309), then the formula returns the value “0”.

Should it not be the case that if the (absolute) indicated shares bot / sold is greater than the actual shares held the amount to be sold should be (- / minus) * X309 not “0”?

Interestingly, as it currently stands, the formula, has had the effect of keeping us LONG an asset a little longer because every time the suggested shares sold is greater than the amount of actual shares held nothing happens (the formula returns “0”) and we stay LONG for longer than we otherwise would. So, if the asset rises, we continue to benefit. Then, after keeping us LONG, if the price increases sufficiently, when the value of the shares held is once again greater than the value of the suggested shares sold, the formula once again returns the suggested shares sold (AD309). Was this intentional?

Regards,

Alex

Hi Myst,

I have shared another Nat Gas play (V.3), which incorporates the improvements from the CELO play. Ignore V.1 and V.2.

Kind regards,

Alex

Hi Myst,

Here is a chart of the LONG and SHORT Size Factors and XDEV's Average Share Price and CELO Close.

Peaks in either the LONG or SHORT Size Factor nicely correlate with local Highs and Lows.

Hi Myst,

I’ve shared a CELO sheet with the same updates as I sent you yesterday. The CELO spreadsheet highlighted occasions where the price rise was so extreme, our average share price effectively became zero. I had to tweak the Average Share Price formula due to the extreme volatility of the play. The zero average share price lead to a divide by zero error in the LONG Size Factor and SHORT Size Factor columns. So, for the time being, to deal with this, on occasions where price rises so much that the shares held by XDEV are effectively free, I have chosen to use the last average price per share on occasions when the average share price effectively becomes zero, from the row above. It isn’t perfect. But, it may be good enough. Certainly, it means we no longer get the divide by zero error in the Short Size Factor column. Instead of an “infinitely high” zero value we now get a very high number. A high value, along with a SELL signal, can then be interpreted as a good occasion to go SHORT.

We can decide how to use the LONG and SHORT Size Factor. One way, as I said to you, yesterday, might be to only refer to the Factor on starting a new play and scale our initial position size accordingly.

Another way might be to scale each individual BUY or SELL Market Order by the Size Factor. For example, one way might be to scale into an asset by multiplying the indicated BUY Market Order by the LONG Size Factor when scaling back into an asset after going 100% into cash. In theory, these first BUYS after going 100% to cash are made at a moment when an asset is expensive and so caution is warranted. The probability, at these moments, is that an asset will fall more. And so scaling in conservatively may be wise.

We could try to establish a threshold LONG or SHORT Size Factor value that indicates a particularly high probability or high return trade. Then, choose to take the Market Order BUY or SELL or multiply the Market Order by the Size Factor when the Size Factor value is particular high, sort of like using leverage at moments when price is a long way above or below the share price held on XDEV’s books. For example, look through the SHORT Size Factor values and see what you think would have happened had you gone SHORT on occasions when the SHORT Factor value is particularly high. Either using a trade sized by the Market Order indicated or, perhaps, multiplying the Market Order by the SHORT Size Factor. Then, perhaps, simply, covering the short, either fully or partially, in line with the Market Order given by the next BUY signal.

Best regards,

Alex

Hi Myst,

Further to my earlier message, I have re-sent the same spreadsheet but with corrected charts, which had all come out of synch in the version sent to you earlier today.

In this version (V.2), the Size Factor column AG has now been named "LONG Size Factor". I added a "SHORT Size Factor". I will raise this with you in another message later.

Best regards,

Alex

Hi Myst,

I have shared an XDEV sheet with you. First, I added a column “AF” which I titled “Average Share Price” which shows the cumulative average share price held at the time, taking into account BUYS and SELLS. So, in cell AF2 you see that the Average Share Price = 5.62, this equates to the closing price in E2 at the start of the play. After a BUY signal on 19 10 21, in cell CF14, we have lowered the Average Share Price to 5.4. Again, 26 10 21, after the price has risen and a SELL signal is given, in cell AF19, the Average Share Price = 4.59. And so on…

Knowing the cumulative Average Share Price may be useful for a number of reasons. However, I would like to focus one today. It may be useful in estimating when to start a play. If you see that the average share price of the shares held by XDEV is significantly lower than the share price on the day you want to start a play, you might be better of waiting, for the two to come more in line.

More interestingly, perhaps, is a column I added AG, named “Size Factor”. This column simply divides the cumulative average share price held on XDEV’s books by the, then, current CLOSE price.

When starting a play, this would mean you would simply multiply the given STOCK % in column U by the Size Factor thereby scaling down or up your initial exposure depending on how cheap or expensive the then current CLOSE price is relative to the stock held on XDEV’s books.

Rather like the zone % you had shared with me previously, this could allow us to under-weight or over-weight our exposure by this factor at the time of starting a play.

Best regards,

Alex

Myst,

Don't worry at all. Good to hear from you.

Best regards,

Alex

Hi Myst,

I have shared a spreadsheet in which the minimum $150 size rule is applied to both BUYS and SELLS. I have made the minimum $ amount “optimisable” in cell P3 so it can be set to $0 or anything else a user wants. Now, the BUY Forecast and SELL Forecast columns show 0 if the amount recommended is less than the $ amount shown in cell P3. The SELL Market Order and BUY Market Order columns will continue to show the recommended trade no mater what the size. The MARKET ORDER column will show 0 when the recommended SELL or BUY is less than the minimum % amount in cell P3.

Can you help me understand one more time why you incorporated this “hardcoded” minimum $ amount in the spreadsheet in addition to the Minimum Signal %?

I have included two further additions to the sheet. Since I am experimenting with trying to enumerate what matters most in choosing assets for trading with XDEV, in cells S4 to T8, I added some measures derived from the XDEV Factor and, in cells O5 to Q7, a way of counting the number of “crossovers” between STOCK and CASH that have occurred over the backtest period in order to turn this into a rough estimation of the no. of crossovers per year so that the number of “crossovers” can be compared between assets.

From my initial comparisons, the MIN / MAX / RANGE / STDEV information derived from the XDEV Factor alone, while interesting, are not so helpful in establishing which assets to choose. Poorly performing assets and better performing assets cannot be distinguished by looking at these measures alone. The main parameter which has the greatest effect on the suitability of an asset for trading with XDEV is the number of crossovers the asset triggers. Interestingly, it looks like starting CASH % seems to have the biggest impact on the number of crossovers over the backtest.

Best regards,

Alex

Hi Myst,

I hope you are feeling better.

I have noticed that while the minimum $150 size “rule” is being applied to SELL trades, it is currently not being applied to BUY trades. Do you want the rule only to apply to SELLs or is it something we want to change?

Best regards,

Alex

Hi Myst,

How are you feeling? I hope a lot better.

I have sent you an XDEV sheet in which I updated the SELL Forecast column to include your $150 minimum limit on the number of dollars that can be sold to initiate a sell signal. So that the SELL Forecast column will show “0” if the signal calls for less then $150 dollars to be sold.

Best regards,

Alex

Hi Myst,

The mistake happens because cell AA4 in the Suggested Shared Bot/Sold formula rightly refers to cell H4 but as a result wrongly references the High % Dev Band multiple 5.53% in cell H4 in the yellow box.

Try manually entering "0" into Cell AA4. Do you agree that the problem is then resolved?

We might have to make that a hard coded "0" in all future sheets.

Best regards,

Alex

Hi Myst,

I have shared an updated version of the XDEV “1-day lag” sheet with you in which I have made one small change to formula in the BUY Forecast column. I altered the formula to show “0” when the forecast trade is smaller than the minimum signal % shown in cell AB2.

All the best,

Alex

Hi Myst,

I hope you will be feeling better soon.

I have shared two charts of Tezoz (XTZ) starting 14 6 20.

In the first, I optimised 15 9 20, using 3 months of data and then walked forward month by month without re-optimising the settings to see how well XDEV would continue to do in a scenario in which no further amendments were made to the settings.

It is reassuring to see a continued out-performance versus buy & hold using the initial XDEV settings, from using 3 months of data. XDEV performed well even when the settings were not changed.

In the 2nd sheet, I re-optimised the settings on 31 12 21 utilising the full strip of data back to 14 6 20.

Although the results in the first un-optimised play are impressive, the re-optimised results are more incredible still.

The question is whether re-optimising every month (or making small incremental changes weekly) brings one to this end result slowly over time?

I will, perhaps, try to do the same “walk forward” experiment again, this time re-calibrating the settings each month using the data from the months before.

Do you re-optimised over an (expanding) full length of data when you trade?

Do you re-start a new chart using 3 months (or 2 x buy or sell signals) at some point?

Have you observed whether it is better to use longer strips of data?

Kind regards,

Alex

Hi Myst,

I have shared a MARA sheet in which I tried an alternative approach.

Since you have more firsthand experience in the problems you encounter trading XDEV, you will be able to share what you think is useful.

Instead of calculating the size of the BUY or SELL % as a % of the Portfolio Value, I tried turning the $ values in the BUY Forecast and SELL Forecast columns into a % of Stock Value.

The Market Order is not always exactly what turns out to be traded as the BUY signal in the Market Order column sometimes exceeds the CASH VALUE available for a BUY.

I thought sizing relative to Stock Value might be easier to follow. If the STOCK you hold is different to what is shown in the spreadsheet then you will simply BUY or SELL a % relative to that amount of STOCK.

The question of how much stock to hold in the first place is one we will do more work to try and answer, perhaps calculating a maximum % of the total trading account and perhaps with reference, to the Zone % idea you discussed previously.

I would love to hear your thoughts on how and when to bring an investment inline with the $ value shown on the sheet, or, whether, in your experience, it is necessary at all. In particular, after a re-optimisation, as it is after a re-optimisation that the numbers can sometimes on the sheet indicating one's exposure can dramatically change.

Best regards,

Alex

Hi Myst,

I hope you are feeling better soon.

Further to this earlier message I shared another YINN sheet, the same as the previous version except that I added to the SELL Forecast formula so that it never forecasts a SELL larger than the actual current holding of STOCK shown in Stock Value - Column "V". There may be pros and cons to this. We'll see.

Best regards,

Alex

Hi Myst,

Sorry to hear you feel poorly. Get well soon!

Alex

Hi Myst,

I have shared a sheet for YINN. Like LINK, which has gone down 50% in the period covered in your 4-hour sheet, this play has gone down about 60% in the period covered by the sheet. The optimisation is quite strange. I suppose because the daily data is less granular than the information you are trading on the 4-hour sheet. All the money in this optimisation was made in one trade taken in 27 July 2021. I am not sure if it would be successful going forward. Have you traded assets in a downtrend successfully in the past? Perhaps, if you don’t mind, you could optimise the sheet yourself and share the results?

Kind regards,

Alex

Hi Myst,

Did you get the BUY and SELL forecast to work?

The 4-hour sheet you sent me still did not seem to show the correct numbers.

Alex

Hi Myst

Thank you for the 4 hour LINK sheet.

I think you are trying the 4-hour time frame for the first time. Are you proposing to trade the LINK chart with the 4 hour timeframe going forward?

Optimisations for assets in a downtrend seem to be different to optimisations in an uptrend. Are there any observations you want to share?

Have you traded assets in a pronounced downtrend like this with XDEV before and achieved similar results? I'd be interested to hear if you have had similar results in the past.

With regards to the 2 drawdown column... On each row, for both XDEV and B&H, the column calculates how much the equity curve is in drawdown since your last high. Whenever you see a 0% (in black) it means your equity curve is back at all time highs or above. This allows for comparisons between XDEV and B&H in terms of depth of drawdown and of duration of drawdown. It is interesting to compare the timing and depth of XDEV and B&H drawdowns.

The top 2 cells show the MAX drawdown experienced over the period modelled in the sheet. The calculation in the cell simply looks through all the data below and finds the largest negative value (in other words biggest drawdown) and this is shown at the top of the column.

For example, in your 4-hour LINK sheet, if you look through the column below, you will see XDEV experienced a MDD (Max Drawdown) of -9.13% and B&H experienced a MDD of -51.87% over the same period.

Dividing the Profits (or losses) modelled in a sheet by the MDD during the same period allows us to calculate a reward to risk ratio and get a sense of the reward received for risk taken and make comparisons between assets in terms of reward to risk, rather than, simply return. This ratio is calculated in cells J7 and K7. This allows us to compare XDEV to B&H, but the ratios may also allow us to compare XDEV's performance across different assets.

As stated above, in itself, it is interesting to compare the timing and depth of XDEV and B&H drawdowns. I also wonder whether the Reward to Risk Ratios will help us in our optimisations to see when an optimisation is "good enough", or, when it is "under-optimised" or "over-optimised", i.e. curve-fitted. Maybe helping us find parameters that are "good enough" and robust and therefore will be effective going forward.

I read this comment online, which is why I included it. I quote, "The other factor I always like to look at is the profit/drawdown ratio. If this is anywhere near 1 [then] I see this as not a good strategy. This indicates that the risk and return are essentially equal, and if you have ended up ahead it is probably due to luck, not by your strategy having a statistical edge. If it is too high (say > 4) then I start to wonder whether it is over-optimised. The drawdown also provides a good guide for the expected future strategy performance, if in real use the strategy exceeds your expected drawdown it may be time to switch it off." https://www.forexfactory.com/showthread.php?t=263380

I am not sure how fruitful the ratio will be. It will be interesting to see if there is some correlation between this metric and other metrics that might indicate when an optimisation is "good enough".

I think your preferred metric is checking whether BUY or SELL signals occur at "extreme" moves in the DEV factor.

Alex

Hi Myst,

This is really helpful. The situation of my numbers not looking like the sheet exactly is already something I have across. For example, after re-optimising a sheet.

The question is what to do then? Do you have any tried and tested answers?

How do you try and get back into balance with what the sheet is proposing?

Alex

Hi Myst,

It is my pleasure.

I’ll check out the improvement in ROI’s on both.

I am gratified to hear you think we have improved the sheets and I am grateful to hear you think they are honing in on what your vision for X_DEV was meant to be.

I am sure we'll share many more insights.

I look forward to trading them with you!

Alex

Hi Myst,

I received the MSTR and 4-hour BTC and ETH 4-hour sheets. Thank you.

With regards the BTC and ETH 4-hour sheets:

See below:



If you look at the formula in J5, you'll see I multiplied 365 * 6. This is the number of 4-hour periods there are per day. I.e. 365 x 6 to annualise the period return. Doing this gives the correct Annualised Return in J5. In your ETH sheet 253.62% per annum.

The number "3.98" in J7 is a ratio, not a percentage, calculated by dividing the Profit / Loss by the Max Drawdown to express the reward in terms of risk taken, where risk is defined as max drawdown. In the ETH sheet 22.79% (PROFIT) / 5.73% (MDD) = 3.98. Showing a return of 3.98 x the risk during the period.

Is that clear?

I notice some of the 4-hour periods are coloured a darker yellow. Why is this?

Alex

Hi Myst,

I have shared another iteration of the ETH sheet with you in which I have now added BUY Forecast and SELL Forecast columns.

I think I have managed to calculate BUY Forecasts which allow us to set limit orders in advance and incorporate actual CASH VALUE at the time. It was a little complicated.

You will see how, from time to time, the BUY Forecast will seem to be different to the BUY Market Order in column “O”. This is because the value shown in the BUY Forecast Column takes into account the CASH VALUE available at the time, so the value shown in the BUY Forecast column is actually equal to the CASH VALUE column available at the time in instances where the BUY Market Order suggested is greater than actual CASH VALUE. In these instances, the BUY forecast simply equals remaining CASH VALUE. (This works out to equal the amount shown in the next day’s Suggest Shares Bot/Sold column.) When we have run out of CASH and are 100% invested the BUY Forecast column simply shows $0.

Take a look.

Best regards,

Alex

Hi Myst,

I have shared an ETH sheet with you that incorporates a new formula in the Shares Bot column. Take a look.

Doing this turned out to be a bit complicated. I also had to adjust the formula in the CASH VALUE column - column "V".

Previously, the CASH VALUE column also linked to the CLOSE column - column "E".

Now, the formula in the CASH VALUE column adds or subtracts from the CASH VALUE based on the correct BUY or SELL amount. Take a look.

In the ETH sheet I have shared with you, by correcting the CASH VALUE calculation from row to row, there is a dramatic performance improvement. I have yet to test this on other plays.

Experiment with the sheet and please confirm this is the case as well.

Aside from the above, the sheet includes your most recent SELL Market Order and BUY Market Order formulas.

The sheet also incorporates the “1-day lag” version of the formulas in the SELL Market Order and BUY Market Order columns. In other words, following the way XDEV is designed to work, it uses the previous day's XDEV factor in order to allow limit orders to be set in advance.

The above is certainly progress. However, at this stage, we still lack the functionality to set Limit Orders in advance.

We need to replicated the following on the sheet:



As shown in the picture, each row will have to show the amount to BUY and SELL, covering both eventualities in advance, to allow us to set limits orders.

I will try and add 2 new columns to the sheet and title them BUY Forecast and SELL Forecast and have them show the BUY or SELL amounts to set as limit orders.

Entering the OHLC information into the spreadsheet the next day will confirm which of the two options was hit - or none at all - and the existing calculations on the sheet will update the sheet in the usual way.

However, as in the picture above, we need to calculate both options in advance in each row in order to set limit orders in advance.

Kind regards,

Alex

Hi Myst,

It is not at all clear it will improve the results, but logically, sure, it needs to be changed. I’ll update the formulas to reflect the change.

I am look forward to feedback from you as to whether the “1-day lag” version of the spreadsheet is working for you.

I think it is good that both of us carry out the amendments and compare the result. The outcome is more likely to be objective. Two heads are better than one!

No need to apologise for the delay. I understand it is Christmas.

Just update me as soon as you are satisfied with your results.

Alex

Hi Myst,

I was looking at the XDEV sheet and thought the following: In the Suggested Shares Bot / Sold column “Y” shouldn’t the formula divide the Market Order in column “W” by the either the HIGH % BAND column “H” or LOW % BAND in column “I” rather than the CLOSE price in column “E” since we are ideally executing our trades by limit order at the HIGH % BAND and LOW % BAND prices and not the CLOSE price?

Best regards,

Alex

Hi Myst,

Thanks. I look forward to it.

Hi Myst,

I am only now beginning to be able to get a feel for what matters in the question of starting CASH.

Can I ask a simple question first:

Say, you started your play, somewhere mid-May, where price was in line with the red moving average, with 45%-50% of the capital you usually allocate for each play.

Price then drops to the 75%-80% zone.

It did not do this immediately. Am I right to think that XDEV would have been given the chance to buy the dip and sell higher during the smaller up and down movements that took place mid to late May before the price steadily turned down?

I think you sent me a spreadsheet where you had incorporated this longer-term 48 sma. Have you been able to observe its interaction with the allocations that XDEV is indicating, over time? I would be very interested to explore the interplay of the two.

Is there a latest sheet incorporating this you can send me?

Best regards,

Alex

Hi Myst,

CELO is on a tear today, which leads to the following question:

Assuming I am using the XDEV “Original” sheet and not the “1-day lagged” version.

I have HIGH % and LOW % price levels indicated the day before, in the morning CELO hits the HIGH % price level, setting off a price alert. I open the sheet and input the OHLC information current at the time and, in this case, sell some CELO.

Entering the OHLC information generates the new HIGH % and LOW % Dev band price levels.

Now, imagine CELO continues to rise during the day - the markets are still open, after all - and imagine CELO hits the next HIGH % band the same day.

Have you come across such a situation before?

I thought I might add in another row of data and give it the same day’s date and a letter, e.g. “22 12 21 A”, essentially entering in more than one row of information for the same day.

As a result I would enter two rows of information for the same day and take two trades the same day.

Is this something you have ever done when assets are in an extreme pump?

Alex

Hi Myst,

My responses yesterday to your messages are no longer showing on the message board today.

Has that ever happened to you?

To make our understanding explicit, we are exploring the possibility of a "1-day lag" XDEV sheet, which might allow for limit orders set in advance.

I was ready to accept that trading XDEV means using a combination of XDEV band price levels determined a day in advance and trades which are sized in "real time"by inputting OHLC data when a price level is hit during the day. This would effectively mean XDEV is a trading system that uses a combination of price alerts set in advance and some real time "live trading" and no limit orders set in advance.

However, your comments indicated that you think it could be worth investigating the XDEV program using "1-day lagged" data, using the XDEV factor from the previous day to size trades, which might allow trades to be set as limit orders a day in advance.

I look forward to seeing the results of your experiments.

Best regards,

Alex

Hi Myst,

I am concentrating on daily spreadsheets currently.

Do you know how the XDEV program generates its “buy forecast” and “sell forecast”?

To recap:

The XDEV sheet uses 3 sma price information and the XDEV multiple to generate the HIGH % and LOW % DEV bands to “forecast” the price levels at which to trade the next day. This is historical data.

The question we are asking is how best to generate the amount to BUY or SELL?

Currently, the amount to BUY or SELL is calculated with reference to prices inputted the same / or next day.

While the levels at which to BUY or SELL are “forecast” or forward-looking, the amount to BUY or SELL are calculated with reference to information in the spreadsheet that is current and is generated in “real time”.

As you understood, this makes it impossible to input BUY or SELL orders in advance.

You say you are nearly always at home when you trade. Can you say what that looks like?

Does that mean that you are watching the price and if the price reaches either the HIGH % or LOW % band targets you enter the (current) OHLC information into the sheet to generate a BUY or SELL amount?

Does that mean you will in instances have to enter current / ongoing OHLC information before the end of the trading day?

This is fine, as you say, but means you have to be watching the charts to enter the current OHLC price information into the sheet, which cannot be done in advance.

However, doing this means the amount you buy or sell will be calculated using the most up to date price information.

It seems that the “cost” if we want to set limit orders the day before is that we have to also quantify the amount to BUY or SELL using data from the day before.

Let me know what you think after you have have given thought to incorporating that feature back into the spreadsheet.

You say: “Use the high or low from the period before to let it forecast the buy or sell amounts.”

In terms of the spreadsheet this means changing the formula in the BUY Market Order column from:

=IF(D10<I9,ABS(AA9*P10)-$M$4*(AA9*P10),”0”)

to:

=IF(D10<I9,ABS(AA9*P9)-$M$4*(AA9*P9),"0")

and changing the formula in the SELL Market Order column from:

=IF(C10>H9,(ABS(AA9*P10)*-1)-(AA9*P10)*$L$4,"0")

to:

=IF(C10>H9,(ABS(AA9*P9)*-1)-(AA9*P9)*$L$4,"0")

Essentially, this introduces the one day lag.

I have shared a sheet with the change above. The results are still good. No doubt you will have a better grasp of the drawbacks of doing this.

I can send over another sheet with the same changes if you want to work on a specific play.

Best regards,

Alex

Hi Myst,

In the example shown in the screen shot, the question, then, I suppose, is should we not use the DEV factor of 10.2% from the 7 12 21 rather than the DEV factor of 8% shown 8 12 21?

Unless I am mistaken, currently, the DEV factor is calculated using price information relating to data on the same row. This information would not have been know the day before.

The amount bought or sold would need to be calculated with reference to the DEV factor from day before.

So, if I were to place limit orders in advance at the price levels indicated by the HIGH % and LOW % Dev Bands on the 7 12 21 - i.e. $175.74 and $139.66 - I would have to use the DEV factor from the same row, in this case, 8%.

Best regards,

Alex

Hi Myst,

Oh wow. I have definitely been reading the spreadsheet wrong. That makes all the difference! LOL

I see now how 7 12 21, the High % DEV BAND indicated $175.74, which would allow me to enter this price as a SELL LIMIT ORDER in advance.

I could do the same for a BUY Limit Order using the Low % DEV BAND price indicated as well.

Now, forgive my asking a really stupid question, but where, then, is the size of each LIMIT ORDER also indicated in advance please?

Alex

Hi Myst,



This screenshot comes from an NRGU play.

8 / 12 / 21, the close was 170.81 and updating the spreadsheet indicated selling almost all STOCK at a price of $175.74 the next day.

However, the next day, that target was never reached and has still not been reached so you never got the opportunity to sell at the price indicated on the sheet.

There have been 2 BUY signals since then, as you can see. If you had set a limit order to SELL or were waiting for the price indicated on the sheet to SELL, you would be unable to follow the trades on the sheet. Effectively, 100% exposed, waiting for the opportunity to sell.

Have you come across this kind of situation?

Kind regards,

Alex

Hi Myst

I've shared an amended version of the CELO sheet with you in which I added an "ABS(...)" (enclosed in a set of brackets) in the formula in the SELL Market Order column.

Now it looks like this:

=IF(C13>H12,(ABS(AA12*P13)*-1)-(AA12*P13)*$L$4,"0")

It looks like it has sorted out the problem.

Can you tell me if you are happy with that?

Best regards,

Alex

Hi Myst,

With regards, the positive values in the SELL Market Order column, could we add some conditional formatting which multiples all cells with positive values by -1? That way we could eliminate all positive values from this column? Would that work?

Best regards,

Alex

Following on from my previous message, please ignore the moving averages I have on the BTC chart below, I overlaid CELO and BTC. Their "volatility" on a peak to trough basis is almost the same. CELO might even be a little more extreme.

Unless I am mistaken, CELO is almost as volatile as BTC and offered one more chance for compounding returns in the "up / down" cycle it showed in August 2020 which was not mirrored in BTC.

Hi Myst,

Thanks for re-optimising the sheet. In future, if I encounter a positive value in the SELL column, I will manually change those cells to negative values.

Apologies if I used the wrong term. Disregarding the absolute values of “2” and “4”, by “high volatility” I meant repeated “up and down” movements where the stock loses and then regains over 50%.

My impression is that it is these “volatile” up and down movements that allow XDEV (or AIM for that matter) to outperform B&H.

In the months shown on the sheet from 14 5 21 to 8 12 21, the asset is down -18.11% whereas XDEV has returned 187.76%.

On its own merits, that is an astonishing return in approximately 7 months and, as you point out, for a ranging asset that has gone nowhere, astonishing outperformance.

CELO stood out to me because the “up / down” cycles seemed both frequent in time (more opportunity) and “extreme” (greater than 50%), I thought, giving XDEV more opportunities to compound returns.

The chart reminded me of the Robert Lichello “10, 8, 5, 4, 5, 8, 10” sequence.

Since it isn’t certain there will always be long-term, upward-sloping trends in asset prices, the ability of XDEV to compound gains trading volatile assets by selling high and buying low is what appeals to me.

Have I misunderstood? I simply don’t have as much context or familiarity with what will make good or bad assets as you do.

If I start your optimisation with 200% CASH the return drops a small amount to 184.16%. If I drop the starting CASH to 100% (I.e. 50/50 Stock/CASH) the return drops to 21.07%.

In practice, would you start a play with $5,000 in CASH and $253 in STOCK?

Do you tend to start all your plays with around $5,000 in CASH? Or, do you simply try different CASH values in order to achieve the highest return?

If I increase the CASH to 3000%, the return increases only to 189.61%. Such an increase seems to have a diminishing effect on the return.

The orange cells in J5 and K5 (if I have calculated correctly) annualise the total return. They take the total profit or loss in the look-back period for XDEV and for B&H in cells J4 and K4 and turn these into equivalent compound annual growth rates (CGAR). I am not sure yet how useful this will be.

Alex