KC's "The IBD Experiment": the "final wraps"
Now that I've been trading/chronicling for 6 months my futures & ETF systems - I just did a back-test, using my final rules, to compare with 3 years of C2 trades in both system categories.
Here are my FUTURES system results -
3-year return: <b>184%</b>
(max) drawdown: <b>27.5%</b>
average annual return: <b>44%</b>
Number of trades: <b>32</b>
Winners: <b>17</b>
Losers: <b>15</b>
Win %: <b>53%</b>
and corresponding graph:
See -
http://img821.imageshack.us/img821/4358/kcvsmrmarket2.jpg
or
http://bit.ly/h2wYUB
<b>Note:</b> "back-test" is in accordance with C2 traded "forward-test"
What am I doing (differently) to make this a Long-Term Successful Trading System? (see profile for more info)
Now that the final wraps have been taken, for 6 months, off this "long-term successful strategy" -- I decided to now back-test my final rules over the last 3 years and compare it to my long running (forward-tested) C2 systems using FUTURES & STOCKS (ETF) and include my new 6-month system results. See graph - which includes 3 years of C2 trades, back-test trade list and current system trade list. <b>NOTE:</b> current "swing" signals contain ONE trade per market shift - sharply limiting the amount of system trades.
Also note that my STOCKS (ETF) system is traded identical to my FUTURES system, yet with with more exact adherence to computed allocation schedule (NQ contracts have to be rounded). Note too that my long-term FUTURES system commissions were more than my long-term STOCKS (ETF) system and are not shown in chart and additionally note STOCKS (ETF) system gains from first trade, as shown in chart, has been significantly reduced (by 63%) to appropriately compare equity amongst other curves.
Easily seen is that first year gains were over-leveraged, while second and third year was under-leveraged - with increased drawdown from high mainly due to testing various trading methods (resulting in over-trading). <b>I now use a strict leverage (correlated to overall market volatility) and trading plan.</b>
In hindsight...I went too conservative in the latter stages - looking for a complete "correction" washout (before re-investing vigorously with funds). My max drawdown <i>was</i> considerably less, yet I paid dearly as the market rebounded off lows. We essentially stopped the 2-year STOCKS (ETF) and 2.5-year FUTURES trading systems in SEP 2010 - to now only trade my new systems chronicled in this thread...and did nicely capture the subsequent multi-month rally! <b>Now I stick too a strict - 100% mechanical - allocation schedule as can be seen in my back-test and from my current trade list.</b>
Historical -
I started my prior FUTURES system on 02-MAR-2008 and traded it (2 yrs. 10 mos.) until 30-DEC-2010. For more historical info please visit "My Successful, Long-Term E-mini Trading System": (see profile for more info)
I started my prior STOCKS (ETF) system on 30-SEP-2008 and traded it (2 yrs. 3 months) until 12-JAN-2011. For more historical info please visit "My Successful, Long-Term E-mini Trading System": (see profile for more info)
It, too, is based on the same price & volume "trend-following" signals provided by Investor's Business Daily (IBD). It proved to truly be a long-term system (a rarity on C2) since out of 1000's of futures systems tracked by C2 - it remains one of just 8 that remain profitable. See the Grid (sort by "Futures" & Age>=1095 days).
Also see that my ETF system ranks, by annual return, 13th of just 27 (of 1000's) profitable C2 stock systems traded >2.5 years. See the Grid (sort by "Stocks" & Age>=915 days).
Everything did not go right, however, as I used the system to test a variety of secondary theories (that mostly added a significant number of trades) I finally was able to create my final system version(s).
Please note: "The IBD Experiment" has worked quite well throughout much market malaise. This includes averting losses and shifting to gains with the sudden 50% 2008 market drop, capturing the 2009 "bottom", carefully navigating the ominous "Flash-Crash" wreckage to finally tracking really good, during the last 180 days uptrend -- that contains some wild swings/calls along with some frothy index moves.
Key System Points:
- streamlined number of annual trades
- tracks trends - both up and down
- signals back-tested for more than 100 years:
http://www.investors.com/NewsAndAna...gh-Signals-New-Market-Uptrend.htm?src=HPLNews
- signals personally tracked, before C2, for more than 10 years (covered call website)
- signals forward-tested, for more than 3 years, at C2
- uses market orders at 9:30 am EST
- appropriate leverage ALWAYS used
- proven long-term success that compounds a high annual average
- contained (max) drawdown
- good calmar ratio.
- affordable trading costs
<b>VERY IMPORTANT:</b> A truly successful long-term trading system that compounds a high annual average and contains drawdown periods <i>-- will grow your funds most expeditiously.</i>
Back-Test -
Some have requested a back-test, which I am producing (for 3 years futures system starting 20-MAR-2008)...using NASDAQ-100 (NDX)
Year 1 data points:
20-MAR-2008 (close): $100,000.00 CASH
24-MAR-2008 (open): $100,000.00 LONG
22-MAY-2008 (open): $116,185.60 SHORT
30-JUL-2008 (open): $122,915.80 LONG
04-SEP-2008 (open): $118,606.60 SHORT
25-SEP-2008 (open): $127,250.20 LONG
30-SEP-2008 (open): $111,057.40 SHORT
16-OCT-2008 (open): $128,115.40 LONG
21-OCT-2008 (open): $135,454.40 SHORT
28-OCT-2008 (open): $142,628.60 LONG
12-NOV-2008 (open): $141,924.20 SHORT
02-DEC-2008 (open): $147,574.40 LONG
12-JAN-2009 (open): $163,692.60 SHORT
28-JAN-2009 (open): $164,369.40 LONG
18-FEB-2009 (open): $161,576.40 SHORT
13-MAR-2009 (open): $163,437.00 LONG
23-MAR-2009 (close): $177,007.20 (STILL) LONG
Annual Return: 77%
Max Drawdown: 22% (25-SEP-2009 to 30-SEP-2008)
NASDAQ-100
20-MAR-2008 (close): 1,751.99
23-MAR-2009 (close): 1,259.81
(28%)
NASDAQ
20-MAR-2008 (close): 2,258.11
23-MAR-2009 (close): 1,555.77
(31%)
S&P 500
20-MAR-2008 (close): 1,329.51
23-MAR-2009 (close): 822.92
(38%)
--
--
Year 2 data points:
23-MAR-2009 (close): $177,007.20 (STILL) LONG
11-MAY-2009 (open): $193,140.80 LONG
15-JUL-2009 (open): $206,936.40 LONG
18-AUG-2009 (open): $220,898.60 SHORT
24-AUG-2009 (open): $211,360.40 LONG
28-OCT-2009 (open): $229,911.40 SHORT
10-NOV-2009 (open): $221,476.20 LONG
25-JAN-2010 (open): $232,157.20 SHORT
02-MAR-2010 (open): $226,734.40 LONG
23-MAR-2010 (close): $257,157.40 (STILL) LONG
--
23-MAR-2009 (close): $177,007.20
23-MAR-2010 (close): $257,157.40
Annual Return: 45%
Max Drawdown: 4% (18-AUG-2009 to 24-AUG-2009)
NASDAQ-100
23-MAR-2009 (close): 1,259.81
23-MAR-2010 (close): 1,963.20
56%
NASDAQ
23-MAR-2009 (close): 1,555.77
23-MAR-2010 (close): 2,415.24
55%
S&P 500
23-MAR-2009 (close): 822.92
23-MAR-2010 (close): 1,174.17
43%
--
--
Year 3 data points:
23-MAR-2010 (close): $257,157.40 (STILL) LONG
05-MAY-2010 (open): $255,402.40 SHORT
03-JUN-2010 (open): $264,376.40 LONG
08-JUN-2010 (open): $245,898.60 SHORT
16-JUN-2010 (open): $236,698.60 LONG
30-JUN-2010 (open): $213,428.20 SHORT
08-JUL-2010 (open): $209,471.20 LONG
25-AUG-2010 (open): $202,474.60 SHORT
02-SEP-2010 (open): $195,256.60 LONG
17-NOV-2010 (open): $254,852.40 SHORT
03-DEC-2010 (open): $244,845.60 LONG
08-MAR-2011 (open): $277,410.00 SHORT
23-MAR-2011 (close): $283,965.60 (STILL) SHORT
--
23-MAR-2010 (close): $257,157.40
23-MAR-2011 (close): $283,965.60
Annual Return: 10.42%
Max Drawdown: 27.5% (03-JUN-2010 to 02-SEP-2010)
NASDAQ-100
23-MAR-2010 (close): 1,963.20
23-MAR-2011 (close): 2,270.50
16%
NASDAQ
23-MAR-2010 (close): 2,415.24
23-MAR-2011 (close): 2,698.30
12%
S&P 500
23-MAR-2010 (close): 1,174.17
23-MAR-2011 (close): 1,297.54
11%
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