Hallo folks
So I have been developing automated systems for a while...most were either not really successful or there were a few that were successful but only based on current market conditions, which gave them a fairly short lifespan.
Recently, over the last 12 months or so, I have developed an automated system that I am pretty certain works and works very well. The reason for this post is that, realizing how difficult this actually is to accomplish, i'm looking for a gut check or validation that what I am saying is true.
The situation is more or less as follows...this particular automated system is only partially automated - that is to say it gives me the signals at end of day and I place the orders before market opens. Most of my systems are fully automated but this one in particular is more of a swing trade system, with most trades lasting a few days to max a few weeks.
I have backtested this system over a 10 year period, and it basically has the following characteristics:
CAR: 160%
Max DrawDown: 35%
Now, I realize that isn't very impressive, but what I think is more relevant is that no single year since 1999 has produced less than a 35% return, and most have been between 100% - 200%. These stats include running the system with significant leverage (2:1) -- i can achieve a much smaller drawdown without leverage.
Most years, even with leverage, the MDD is only about 15%.
Anyway, i have been trading the system for a couple of months, and I have been able to validate that I can enter and exit the trades without much slippage, given that most entries are on market open orders, and most exits are stop limit orders.
With all of the above being said -- what am I overlooking? Is there some element that might make this system dangerous or unprofitable that I have missed? Any feedback or challenges are appreciated....
br
So I have been developing automated systems for a while...most were either not really successful or there were a few that were successful but only based on current market conditions, which gave them a fairly short lifespan.
Recently, over the last 12 months or so, I have developed an automated system that I am pretty certain works and works very well. The reason for this post is that, realizing how difficult this actually is to accomplish, i'm looking for a gut check or validation that what I am saying is true.
The situation is more or less as follows...this particular automated system is only partially automated - that is to say it gives me the signals at end of day and I place the orders before market opens. Most of my systems are fully automated but this one in particular is more of a swing trade system, with most trades lasting a few days to max a few weeks.
I have backtested this system over a 10 year period, and it basically has the following characteristics:
CAR: 160%
Max DrawDown: 35%
Now, I realize that isn't very impressive, but what I think is more relevant is that no single year since 1999 has produced less than a 35% return, and most have been between 100% - 200%. These stats include running the system with significant leverage (2:1) -- i can achieve a much smaller drawdown without leverage.
Most years, even with leverage, the MDD is only about 15%.
Anyway, i have been trading the system for a couple of months, and I have been able to validate that I can enter and exit the trades without much slippage, given that most entries are on market open orders, and most exits are stop limit orders.
With all of the above being said -- what am I overlooking? Is there some element that might make this system dangerous or unprofitable that I have missed? Any feedback or challenges are appreciated....
br
