Another Mechanical Swing Trading System

T

tradermaji

Based on the various comments I received, I decided to add a filter to my original system so that it does not place trades every day but just on days when the filtered conditions are met.

Using a 2:1 leverage and interest rate of 10% per annum, and trading the NDX100 stocks for the last 4 years, the results are as follows:

Long + Short
Starting Capital $1,000,000.00
Ending Capital $2,096,105.13
Net Profit $1,096,105.13
Net Profit % 109.61%
Annualized Gain % 20.35%
Exposure 36.12%

Number of Trades 4,089
Avg Profit/Loss $268.06
Avg Profit/Loss % 0.48%
Avg Bars Held 2.24

Winning Trades 2,866
Winning % 70.09%
Gross Profit $4,164,397.29
Avg Profit $1,453.03
Avg Profit % 2.52%
Avg Bars Held 1.59
Max Consecutive 40

Losing Trades 1,223
Losing % 29.91%
Gross Loss ($3,061,302.07)
Avg Loss ($2,503.11)
Avg Loss % -4.28%
Avg Bars Held 3.76
Max Consecutive 15

Max Drawdown ($284,261.38)
Max Drawdown % -17.03%
Max Drawdown Date 10/7/2008

Wealth-Lab Score 46.75
Profit Factor 1.36
Recovery Factor 3.86
Payoff Ratio 0.59
Sharpe Ratio 2.04
Ulcer Index 2.61
Wealth-Lab Error Term 1.63
Wealth-Lab Reward Ratio 12.52
Luck Coefficient 10.98
Pessimistic Rate of Return 1.32
Equity Drop Ratio 0.17

For reference, the original system under the same conditions produce the following results

Long + Short
Starting Capital $1,000,000.00
Ending Capital $1,755,566.89
Net Profit $755,566.89
Net Profit % 75.56%
Annualized Gain % 15.13%
Exposure 19.64%

Number of Trades 2,290
Avg Profit/Loss $329.94
Avg Profit/Loss % 0.64%
Avg Bars Held 2.18

Winning Trades 1,667
Winning % 72.79%
Gross Profit $2,247,095.20
Avg Profit $1,347.99
Avg Profit % 2.69%
Avg Bars Held 1.61
Max Consecutive 42

Losing Trades 623
Losing % 27.21%
Gross Loss ($1,491,063.50)
Avg Loss ($2,393.36)
Avg Loss % -4.85%
Avg Bars Held 3.69
Max Consecutive 10

Max Drawdown ($118,258.75)
Max Drawdown % -9.04%
Max Drawdown Date 10/7/2008

Wealth-Lab Score 70.06
Profit Factor 1.51
Recovery Factor 6.39
Payoff Ratio 0.55
Sharpe Ratio 2.2
Ulcer Index 1.72
Wealth-Lab Error Term 2.98
Wealth-Lab Reward Ratio 5.08
Luck Coefficient 7.96
Pessimistic Rate of Return 1.39
Equity Drop Ratio 0.08

A couple of observations:
1. The original system has less profits but a better Profit Factor and a great Sharpe Ratio.

2. Drawdowns are also lower for the original system.

3. The original system will be a pain in the butt to place 100 trades everyday if used manually.

I will be posting the filtered system alerts too here. If one can stand a 17% drawdown, then this is a nice system... atleast theoretically till now. ::)
 
Symbol Date ChartScript Order Shares Type Price Signal Name
ADBE 9/16/2009 %H&L - Filtered Buy 1000 Limit 30.45 H&L Filtered
GENZ 9/16/2009 %H&L - Filtered Buy 600 Limit 54.27 H&L Filtered
HOLX 9/16/2009 %H&L - Filtered Buy 2000 Limit 15.37 H&L Filtered
LLTC 9/16/2009 %H&L - Filtered Buy 1200 Limit 25.59 H&L Filtered
ORCL 9/16/2009 %H&L - Filtered Buy 1400 Limit 21.13 H&L Filtered
QCOM 9/16/2009 %H&L - Filtered Buy 700 Limit 44.00 H&L Filtered
XLNX 9/16/2009 %H&L - Filtered Buy 1500 Limit 20.66 H&L Filtered
 
Symbol Date ChartScript Order Shares Type Price Signal Name
ADBE 9/17/2009 %H&L - Filtered Buy 1000 Limit 30.45 H&L Filtered
AMAT 9/17/2009 %H&L - Filtered Buy 2300 Limit 12.85 H&L Filtered
BIIB 9/17/2009 %H&L - Filtered Buy 600 Limit 48.92 H&L Filtered
BRCM 9/17/2009 %H&L - Filtered Buy 1100 Limit 27.22 H&L Filtered
CMCSA 9/17/2009 %H&L - Filtered Buy 2000 Limit 15.18 H&L Filtered
GILD 9/17/2009 %H&L - Filtered Buy 700 Limit 44.86 H&L Filtered
INTC 9/17/2009 %H&L - Filtered Buy 1600 Limit 19.17 H&L Filtered
INTU 9/17/2009 %H&L - Filtered Buy 1100 Limit 27.15 H&L Filtered
LLTC 9/17/2009 %H&L - Filtered Buy 1200 Limit 25.81 H&L Filtered
LOGI 9/17/2009 %H&L - Filtered Buy 1700 Limit 17.88 H&L Filtered
LRCX 9/17/2009 %H&L - Filtered Buy 1000 Limit 29.60 H&L Filtered
MCHP 9/17/2009 %H&L - Filtered Buy 1200 Limit 25.41 H&L Filtered
MRVL 9/17/2009 %H&L - Filtered Buy 2000 Limit 14.80 H&L Filtered
MXIM 9/17/2009 %H&L - Filtered Buy 1700 Limit 17.93 H&L Filtered
NVDA 9/17/2009 %H&L - Filtered Buy 2100 Limit 14.07 H&L Filtered
ORCL 9/17/2009 %H&L - Filtered Buy 1400 Limit 21.13 H&L Filtered
QCOM 9/17/2009 %H&L - Filtered Buy 700 Limit 44.00 H&L Filtered
TEVA 9/17/2009 %H&L - Filtered Buy 600 Limit 49.93 H&L Filtered
XLNX 9/17/2009 %H&L - Filtered Buy 1500 Limit 20.66 H&L Filtered
 
Symbol Date ChartScript Order Shares Type Price Signal Name
ADBE 9/18/2009 %H&L - Filtered Buy 1000 Limit 31.21 H&L Filtered
AMAT 9/18/2009 %H&L - Filtered Buy 2300 Limit 12.87 H&L Filtered
BIIB 9/18/2009 %H&L - Filtered Buy 600 Limit 49.75 H&L Filtered
CHKP 9/18/2009 %H&L - Filtered Buy 1100 Limit 26.71 H&L Filtered
GILD 9/18/2009 %H&L - Filtered Buy 700 Limit 45.17 H&L Filtered
HOLX 9/18/2009 %H&L - Filtered Buy 1900 Limit 15.71 H&L Filtered
LLTC 9/18/2009 %H&L - Filtered Buy 1100 Limit 26.47 H&L Filtered
LOGI 9/18/2009 %H&L - Filtered Buy 1700 Limit 17.94 H&L Filtered
MCHP 9/18/2009 %H&L - Filtered Buy 1200 Limit 26.08 H&L Filtered
MXIM 9/18/2009 %H&L - Filtered Buy 1700 Limit 17.93 H&L Filtered
NVDA 9/18/2009 %H&L - Filtered Buy 2100 Limit 14.41 H&L Filtered
ORCL 9/18/2009 %H&L - Filtered Buy 1400 Limit 21.24 H&L Filtered
QCOM 9/18/2009 %H&L - Filtered Buy 700 Limit 43.86 H&L Filtered
SYMC 9/18/2009 %H&L - Filtered Buy 2000 Limit 15.15 H&L Filtered
 
Quote from tradermaji:



A couple of observations:
1. The original system has less profits but a better Profit Factor and a great Sharpe Ratio.

2. Drawdowns are also lower for the original system.

3. The original system will be a pain in the butt to place 100 trades everyday if used manually.

I will be posting the filtered system alerts too here. If one can stand a 17% drawdown, then this is a nice system... atleast theoretically till now. ::)
More...

This is a tip: You only use the system with the highest sharpe ratio, and lever up. Your calmar was much higher with the original system, and I think you need to look back at why. The point is your system at 20% from 15% could have the exact same annualized return if you use .2/.15 more equity percentage wise with the system. So the original was the better system. The other way is to make it to where the drawdowns are comparable, in which case, you'd use .17/.09 more equity, going into margin, and you'll have a lot higher returns that way as well. I'm not sure the new one was an improvement looking at it, but at least we're over that 20% threshold. I also noticed a lot more trades over the first Mechanical Swing trading system thread you started. Was there a reason for this?
 
Quote from bwolinsky:

This is a tip: You only use the system with the highest sharpe ratio, and lever up. Your calmar was much higher with the original system, and I think you need to look back at why. The point is your system at 20% from 15% could have the exact same annualized return if you use .2/.15 more equity percentage wise with the system. So the original was the better system. The other way is to make it to where the drawdowns are comparable, in which case, you'd use .17/.09 more equity, going into margin, and you'll have a lot higher returns that way as well. I'm not sure the new one was an improvement looking at it, but at least we're over that 20% threshold. I also noticed a lot more trades over the first Mechanical Swing trading system thread you started. Was there a reason for this?
More...

This variation is more aggressive and that is reflected in the larger number of trades.

Thanks for the discussion. That helps not only me but the other readers as well.
 
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