Is this good, bad or mediocre backtested performance?

[DT-waw]

Attached. As far as i can see most folks say they are up every month (or near that), produce 50%+ each year, etc. Meanwhile 99.9% of CTAs are faar faaaaaar away from such superb track records.

Capacity ($ size which can be employed) of this strategy is very deep, as the number of trades is very low per each symbol.

If i would apply it to many other symbols like SMH, AAPL, AMZN, GOOG, NVDA, AVGO, TSLA etc. performance will likely improve further.

If i will arrive at a portfolio with 99% months positive from 2006 or maybe even from 1996, will this spark some inst. interest? (hedge funds, CTAs)

 

[MoreLeverage]

Looks good if it holds up going forward.

 

[TrAndy2022]

Attached. As far as i can see most folks say they are up every month (or near that), produce 50%+ each year, etc. Meanwhile 99.9% of CTAs are faar faaaaaar away from such superb track records.

Capacity ($ size which can be employed) of this strategy is very deep, as the number of trades is very low per each symbol.

If i would apply it to many other symbols like SMH, AAPL, AMZN, GOOG, NVDA, AVGO, TSLA etc. performance will likely improve further.

If i will arrive at a portfolio with 99% months positive from 2006 or maybe even from 1996, will this spark some inst. interest? (hedge funds, CTAs)

The problem is nobody knows how this is done except you. It can be a lot of curve fitting thus no predictive value. Only realtime tracking records combined best with live track records from your automated strategies can have a meaning at all. But then it is extraordinary difficult to convince any pros here to buy something as they create all things on their own. I would never trust any third party results here before I rebuilt it on my own. If you have a 3 year live track record from your systematic strategies that can be a help but not only some backtests where you can just optimise back and forth. Nobody seriously would or could trust this. When you then tell anybody how it is done they can do it on their own already as they have enough information. So tricky in the end all in all. Just trade on your own and then compound on your trading gains to get a meaningful income. Then there is no need for selling anything. This is the way to go. If you want to know my opinion how good it is, I would say only mediocre. It can be a lot better and already assumed here it is going forward as backtested.

 

[rb7]

Attached. As far as i can see most folks say they are up every month (or near that), produce 50%+ each year, etc. Meanwhile 99.9% of CTAs are faar faaaaaar away from such superb track records.

Capacity ($ size which can be employed) of this strategy is very deep, as the number of trades is very low per each symbol.

If i would apply it to many other symbols like SMH, AAPL, AMZN, GOOG, NVDA, AVGO, TSLA etc. performance will likely improve further.

If i will arrive at a portfolio with 99% months positive from 2006 or maybe even from 1996, will this spark some inst. interest? (hedge funds, CTAs)

Do your results take slippage into account? And comm?
Does your system/algo go long only, or short as well?

For now, you are profitable 68% of all month.
Your results are not bad, but not sure it's good enough to interest anyone (IMO).

 

[MrMuppet]

Attached. As far as i can see most folks say they are up every month (or near that), produce 50%+ each year, etc. Meanwhile 99.9% of CTAs are faar faaaaaar away from such superb track records.

Capacity ($ size which can be employed) of this strategy is very deep, as the number of trades is very low per each symbol.

If i would apply it to many other symbols like SMH, AAPL, AMZN, GOOG, NVDA, AVGO, TSLA etc. performance will likely improve further.

If i will arrive at a portfolio with 99% months positive from 2006 or maybe even from 1996, will this spark some inst. interest? (hedge funds, CTAs)

20-40% p.a. is nothing to write home about for a trader but for a CTA it is exceptionally good, however, it also depends on what your target group is.
If you're looking to get AUM from high networth individuals the performance is good. If you're looking to market to fund of funds or other professionals you'd need to post more details about the performance is made.

Professional clients care more about the return distribution and the characteristics of the left tail events because they have a diversified portfolio of different strategies.

 

[murray t turtle]

Attached. As far as i can see most folks say they are up every month (or near that), produce 50%+ each year, etc. Meanwhile 99.9% of CTAs are faar faaaaaar away from such superb track records.

Capacity ($ size which can be employed) of this strategy is very deep, as the number of trades is very low per each symbol.

If i would apply it to many other symbols like SMH, AAPL, AMZN, GOOG, NVDA, AVGO, TSLA etc. performance will likely improve further.

If i will arrive at a portfolio with 99% months positive from 2006 or maybe even from 1996, will this spark some inst. interest? (hedge funds, CTAs)

%%
IT actually could turn out better than you planned [hidden treasure.....] ;
but usually goes the other way.
99.9% is a fairly hi standard. I hope it performs better than the Hi Standard pistol my banker dad bought .
.Super strong sector, but duck duck go could easily outperfrom GOOG, with an 75 EPS.............

 

[Zwaen]

Attached. As far as i can see most folks say they are up every month (or near that), produce 50%+ each year, etc. Meanwhile 99.9% of CTAs are faar faaaaaar away from such superb track records.



Capacity ($ size which can be employed) of this strategy is very deep, as the number of trades is very low per each symbol.

If i would apply it to many other symbols like SMH, AAPL, AMZN, GOOG, NVDA, AVGO, TSLA etc. performance will likely improve further.

If i will arrive at a portfolio with 99% months positive from 2006 or maybe even from 1996, will this spark some inst. interest? (hedge funds, CTAs)

Looks good imho. I have something similar, also swing/portfolio trading (not the 99% but your screenshot).
What's the ratio between your worst drawdown/yearly r?
(I see nxot all your results are conditionally formatted)

 

[Bad_Badness]

What is the draw down profile. Those 3-4% down months and then the 5 in a row are worrisome. Go one STD DEV off those in combination and it could turn into 20%-30% down in a 6 month period. Would you continue if that happens?

I would like to see 2x gain months to loss months in both amount and frequency, at a minimum. Also way too many mediocre months. Compared to a bank account, it would be a poor investment, risk adjusted.

Using the Yearly % smooths out everything, but a year is a VERY long time for a trader.

 

[Zwaen]

What is the draw down profile. Those 3-4% down months and then the 5 in a row are worrisome. Go one STD DEV off those in combination and it could turn into 20%-30% down in a 6 month period. Would you continue if that happens?

I would like to see 2x gain months to loss months in both amount and frequency, at a minimum. Also way too many mediocre months. Compared to a bank account, it would be a poor investment, risk adjusted.

Using the Yearly % smooths out everything, but a year is a VERY long time for a trader.

Looking from my phone to the jpg I would estimate max dd around 7%. Given this would resemble the future I would consider it a better investment than a 'riskless' bank account yielding a few %
Don't you agree?

 

[DT-waw]

Do your results take slippage into account? And comm?
Does your system/algo go long only, or short as well?

For now, you are profitable 68% of all month.
Your results are not bad, but not sure it's good enough to interest anyone (IMO).

Long only. No slippage incl. yet.

But With roughly 8-15 trades a year...
and lets say 1/3000 of stock price as slippage (based on avg bid ask spread, could be different)
slippage can eat 1/200 of acct each year. that is 0.5%. With over 15% avg returns it wont destroy overall performance.
Also, dividends are not included, which will most likely cover any slippage costs easily.