Extremely simple strategies with > 100% annual return

intradaybill · Feb 3, 2012

Quote from jcl:

On 4-hour bars it returns about 70% with EUR/USD. It's also not tradable in this form because the Sharpe ratio is too low, but can be made more robust with walk forward optimizing. With optimized parameters, the annual return can be pushed up to 200%. It's another candidate for a compound portfolio strategy.

Could you post pls the details of the backtest?

abattia · Feb 3, 2012

Quote from intradaybill:
Could you post pls the details of the backtest?

+1

intradaybill · Feb 3, 2012

Quote from kut2k2:

Any faster MA you use to match the average lag of the LPF over normal price data will do a much poorer job of smoothing than the LPF does.

You heard everyone. Take his word for it. Big words, no proof. Typical behavior of a crank.

jcl · Feb 3, 2012

Quote from intradaybill:

Could you post pls the details of the backtest?

Sure, here's the performance sheet:

Code:

BackTest Workshop5_1 EUR/USD - performance report

Test period         04.05.2008-30.12.2011
Lookback period     541 bars (130 days)
Assumed spread      2.6 PIP (roll -0.01/-0.01)
Assumed slippage    2.0 sec
Contracts per lot   7800

Gross win (loss)    $10116 (-$5090)
Average profit      $1375/year, $115/month, $5/day
Max drawdown        -$1563
Max down time       71 weeks from Sep 2008
Largest margin      $400
Trade volume        $1395980 = $381958 per year
Capital required    $1963

Number of trades    64 = 17 per year
Percent winning     19%
Avg trade return    $79 (+$843 -$98)
Max win (loss)      $1658 (-$190)
Avg trade time      43 bars (10 days)
Max trade time      447 bars (107 days)
Time in market      47%
Max open trades     4
Max loss streak     10

Annual return       70%
Profit factor       1.99
Sharpe ratio        0.63
Kelly criterion     0.56
Ulcer index         17.48%
Prediction error    72%

                    Fac Win/Loss Profit

EUR/USD:L           0.3   3/28    909
EUR/USD:S           1.7   9/24   4116

The equity curves and other details of both simple strategies can be found in the Zorro workshops 4 and 5:

http://zorro-trader.com/en/tutorial_trade.htm
http://zorro-trader.com/en/tutorial_fisher.htm

ssrrkk · Feb 3, 2012

Quote from jcl:

Sure, here's the performance sheet:

Code:

BackTest Workshop5_1 EUR/USD - performance report Test period 04.05.2008-30.12.2011 Lookback period 541 bars (130 days) Assumed spread 2.6 PIP (roll -0.01/-0.01) Assumed slippage 2.0 sec Contracts per lot 7800 Gross win (loss) $10116 (-$5090) Average profit $1375/year, $115/month, $5/day Max drawdown -$1563 Max down time 71 weeks from Sep 2008 Largest margin $400 Trade volume $1395980 = $381958 per year Capital required $1963 Number of trades 64 = 17 per year Percent winning 19% Avg trade return $79 (+$843 -$98) Max win (loss) $1658 (-$190) Avg trade time 43 bars (10 days) Max trade time 447 bars (107 days) Time in market 47% Max open trades 4 Max loss streak 10 Annual return 70% Profit factor 1.99 Sharpe ratio 0.63 Kelly criterion 0.56 Ulcer index 17.48% Prediction error 72% Fac Win/Loss Profit EUR/USD:L 0.3 3/28 909 EUR/USD:S 1.7 9/24 4116

The equity curves and other details of both simple strategies can be found in the Zorro workshops 4 and 5:

http://zorro-trader.com/en/tutorial_trade.htm
http://zorro-trader.com/en/tutorial_fisher.htm

Okay you revealed your motive for this thread. Nevertheless, I can see some things from the site that I can use, e.g., dominant period, high pass to remove trend. I will also give the second order LPF a try. Thanks!

Bob111 · Feb 3, 2012

you can't be serious ..#1: the number of trades is not enough to have statistically sound system. #2-can you handle 10 losing trades in row? CAN YOU? and where your account will be after that? those two just screaming out loud. lets' just leave alone 19% win rate. contracts per lot 7800-how much is it in $ per position?

jcl · Feb 3, 2012

Quote from Bob111:

you can't be serious ..#1: the number of trades is not enough to have statistically sound system. #2-can you handle 10 losing trades in row? CAN YOU? and where your account will be after that? those two just screaming out loud. lets' just leave alone 19% win rate. contracts per lot 7800-how much is it in $ per position?

To answer questions #1 and #2: yes, and yes.

I think I said it already about 20 times in this thread: This is not a tradable strategy. Do not attempt to trade it. A really tradable strategy needs > 200% annual return, a Sharpe ratio > 2, and some other parameters that are not fulfilled here. But it is a highly useful component for a professionally optimized compound strategy.

ssrrkk · Feb 3, 2012

Quote from ssrrkk:

Okay you revealed your motive for this thread. Nevertheless, I can see some things from the site that I can use, e.g., dominant period, high pass to remove trend. I will also give the second order LPF a try. Thanks!

By the way, I believe what you are doing is the smartest thing to do with regards to trading: sell tools that *almost" promise a dream. There is very little risk involved. There is little to no regulation to worry about. Low starting capital, just need the know-how (education, preferably graduate level science / engineering degree). Very scalable business with low cost distribution on the web. What's not to like?

jcl · Feb 3, 2012

Quote from ssrrkk:

By the way, I believe what you are doing is the smartest thing to do with regards to trading: sell tools that *almost" promise a dream.

Selling tools that promise a dream is a sort of contradiction: if you have such a tool, and it works, you obviously don't need to sell it. I have no intention to sell tools. Nowhere on the Zorro website is anyone asking you for money.

Bob111 · Feb 3, 2012

Quote from jcl:

To answer questions #1 and #2: yes, and yes.

I think I said it already about 20 times in this thread: This is not a tradable strategy. Do not attempt to trade it. A really tradable strategy needs > 200% annual return, a Sharpe ratio > 2, and some other parameters that are not fulfilled here. But it is a highly useful component for a professionally optimized compound strategy.

sorry, i didn't read the whole thing. all i saw is those numbers above, 100% return and 9 lines of code. first and last page of this thread