Minimal Effort Returns - Algo Based

[Spectre2007]

Derivative 1 per $50,000

2012

year end returns 10.8%
drawdown from HWM -23.02%

2013

year end returns 17.7%
drawdown from HWM -5.09%

2014

year end returns 34.3%
drawdown from HWM -9.0%

2015

year end returns 9.9%
drawdown from HWM -4.0%

2016

year end returns 13.5%
drawdown from HWM -0.02%

 

[algofy]

Derivative 1 per $50,000

2012

year end returns 10.8%
drawdown from HWM -23.02%

2013

year end returns 17.7%
drawdown from HWM -5.09%

2014

year end returns 34.3%
drawdown from HWM -9.0%

2015

year end returns 9.9%
drawdown from HWM -4.0%

2016

year end returns 13.5%
drawdown from HWM -0.02%

And....

 

[Spectre2007]

And....

looking at a very simplistic approach.. trading futures just using daily data. Its tedious collecting the data for different instruments.

 

[algofy]

Are the above results real cash or testing?

 

[Spectre2007]

Are the above results real cash or testing?

backtesting system to validate and forward testing using different macro futures.. gold/usd/30 year...

 

[algofy]

backtesting system to validate and forward testing using different macro futures.. gold/usd/30 year...

Cool

 

[Spectre2007]

Derivative 2

2012

10.7 -20

2013

-7.7 -25

2014

9.9 -6

2015

15.3 -6

2016

25.1 -2.75

 

[Spectre2007]

Derivative 3

2012

25.1 -6.01

2013

12.1 -5.1

2014

10.6 -29.4

2015

-4.2 -11

2016

8.7 -6.0

 

[Spectre2007]

Just trading 1 contract per 50K ..testing on 3 futures .. returns don't factor in interest earned. Only trades a few times a year. Uses daily data for entry on opening range of the next day from signal generation. From high water mark, equity can hit -30% DD but on the whole recovers by the end of the year.

Derivative 1 - Gold
Derivative 2 - US 30 year bond
Derivative 3 - Yen

 

[Spectre2007]

Derivative 4 - Copper

2012

-46 -58

2013

10.1 -7.92

2014

-6.4 -25

2015

22.4 -9

2016

-4.6 -27.3

pretty bad numbers for this, but put it into the above basket for diversification.