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Actually, its not really trying to pick tops per se....its more like i can't resist trying to fade overextended rallies. It's a pretty hard way to make money. I full well realize gold & oil are likely going much higher...

Thanks :) I cannot resist trying to pick tops. I'm not even trying to resist it any more. My entire strategy now is simply to avoid going on tilt while trying to do so and preserve as much capital as possible. I am relatively hopeful that they will all come down monday since the...

I'm an idiot. Performance for Week 14: Weekly % Return = +0.1% 2011 P/L = +5.9% Current DD = -0.37% MDD = -12.05% Both of my systems performed beautifully this week, as they had me short the dollar and long asian/ewz equities. My account reached all new highs mid-week and i...

A monster week and a monster comeback.... Performance for Week 13: Weekly % Return = +2.9% 2011 P/L = +4.6% Current DD = -0.4% MDD = -12.05% This week finds me back to within 4/10 of a percent of all-time account highs, which is pretty shocking/surprising to me given the...

A great shot to end the quarter in the black... Performance for Week 12: Weekly % Return = +2.4% 2011 P/L = +1.6% Current DD = -3.1% MDD = -12.05% After a tumultuous start to the year, including a 12% drawdown during one of the easiest periods to make money in the history...

I swing trade but also do some discretionary trading of ES and CL futures. I occasionally overtrade, particularly in CL, and that is what drives the transactions. Last year my transactions costs approached 50% (on almost 10,000 trades), so 2% thus far has me on a much better run rate. I need...

By the way, I am only shooting for a CAGR of 20% - 30%, with drawdowns in the same range. While this would be a stellar return, it is more reasonably achievable with an actively managed but longer term trading approach. If i were trying for higher returns I would need to hit more signals on...

I have been running my system against about 20-30 ETFs, mostly country specific with a few commodity specific. I backtested the system against a more limited set of ETFs, due to the fact that many country specific and commodity ETFs have more limited history. I expanded the number of ETFs I...

I have spent a lot of time backtesting trend following strategies on ETFs, and I'm currently actively trading one myself. One of the things I've found consistently is that returns are lower and risk is higher when using smaller positions across a much larger set of instruments. I think...

I'm assuming you've backtested this, at least over the last few years (realizing there isn't sufficient ETF history to go much further.) What do your backtested returns and drawdowns look like?

A teensy, tiny break in the gloom... Performance for Week 9: Weekly % Return = +2.1% 2011 P/L = -4.8% Current DD = -10.2% (carryover from last year) MDD = -12.05% Got lucky this week...bigger winning position in gold futures as well as decent performance in EWZ and FXI...

In the wrong place, at the wrong time, doing the wrong thing... Performance for Week 8: Weekly % Return = -1.6% 2011 P/L = -6.7% Current DD = -12.05% (carryover from last year) MDD = -12.05% A very very bad week, bringing me to an all new drawdown low. I am now down 12%...

Really mismanaging my finances.... Performance for Week 7: Weekly % Return = +1.4% 2011 P/L = -5.0% Current DD = -11.7% (carryover from last year) MDD = -10.47% The good news, if there is any, is that I stopped losing money for at least one week. At the close of last...

Thanks SpecterX, what you are saying is what my research has been confirming. I do have strategies which lower volatility and add 2%-3% return per year, but you would never trade them individually. The reduction in volatility is pretty significant, however. Drops my MDD over a 30 year...

Just get tradelog and be done with it...i trade equities, options and futures and have used it the last two years to cover thousands of transactions. I then use Taxact to actually file my taxes, as the two are compatible and large transaction levels. I tried like hell to find a service to...

both good ideas i think...how would you build a filter for #1? I do have something in place, but it is less than perfect for sure. Certainly far less adept than eyeballing a chart.

most of my systems are backtested on between 10 and 30 years of data...average holding period is a few weeks to months for longs. Shorts definitely need to be held for shorter durations. I am using amibroker for backtesting...

curious, what is your expectation for cagr?

good results...you will soon be a billionaire if you can annualize that :) what are your predicted drawdowns?

Do you trade long-only or short side as well? If short also, mechanical or discretionary? thnx