Trendfollowers: When oh when are we going to start making some $$$?

ELITE TRADER C.S.I.

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I trade some trending stuff. 2008 was great, 2009 was slightly red and this year has been pretty good (this month has been very green).
I very much disagree what asiaprop said about 2009 being a good year for trend followers. Not everyone trades on daily charts and the intraday moves were choppy as hell (ugly charts). However if the OP is not making money this year, I sense problems - this market is very trending now. Mean reversal stuff has been pretty mediocre this year so far but I expect this to change. Also, thanks to ProfLogic we have some truly insightful posts, very useful.
Oh, and my approach is systematic.
 
Quote from Rodney King:

Well, if you mean he warned of the possibility of a substantial drawdown, I think you'd say he was correct.
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Does someone need to slap a bitch, Rodney?

Here's my walk-forward on my optimized values from April 8th, 2010 in <b><i>Tradestation Motherfucker!</b></i>


\/ NQ Excel Results Walk Forward File
 

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Quote from bwolinsky:

Does someone need to slap a bitch, Rodney?

Here's my walk-forward on my optimized values from April 8th, 2010 in <b><i>Tradestation Motherfucker!</b></i>


\/ NQ Excel Results Walk Forward File
More...

\/ ES Excel Results Walk Forward File
 

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But wait, there's more. Tradestation data is total garbage compared to the actual results of a correctly computed constant volume bar chart <b> off E-signal data in Multicharts, hell yeah.</b>

I can hear the russian hacker behind me say sell 30 contracts, and laugh when I trade against him by buying 1 tick lower as the exchange? Badass, right?








I know, why does volume always have something to do with price?
 

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Portfolio Overview By Symbols

Market Start Date End Date Net Profit # Trades
ES #F 4/24/2008 10:53 8/5/2010 12:40 355100 44
ES #F 3/18/2008 13:14 8/5/2010 12:40 1407180 19
NG #F=1 2/8/2008 11:45 7/27/2010 22:43 500160 82
YM #F 5/1/2008 12:10 7/27/2010 23:56 424720 115
QM #F 5/6/2008 6:55 7/27/2010 23:47 2644935 139


QM had an 85+% win percentage and a 50+ profit factor.


Now, why is the value below so ironic?

Portfolio Annual Rolling Period Analysis

Period Net Profit % Gain Profit Factor # Trades Percent Profitable
Today - 2010 893277.5 9.538103591 4.937875398 114 69.29824561
2009 - 2010 2652542.5 34.87391851 6.621907603 286 74.47552448
2008 - 2010 5258635 105.1727 6.853659487 419 72.79236277


Yeah, looks like a great time to sell a system. You know? Going from 70% profits one year to less than 20% per year. Yep, I'd try to sell that system, too.

Portfolio Annual Rolling Period Analysis

Period Net Profit % Gain Profit Factor # Trades Percent Profitable
Today - 2010 893277.5 9.538103591 4.937875398 114 69.29824561
2009 - 2010 2652542.5 34.87391851 6.621907603 286 74.47552448
2008 - 2010 5258635 105.1727 6.853659487 419 72.79236277
 
Doesn't this add a spice of realism?


52 ES #F 103 EntryLong Buy#1 7/15/2008 7:12:49 AM 1215.75 2 -21225 -17.45835904 1201035 24.0207 9925 8.163684968 -37875 -31.15360888
104 ExitLong Short 10/13/2008 2:58:23 PM 1003.5 2
 
Tell you, though, as a prospective CTA candidate, I really like this stat:

Slippage Paid 29652.5 14755 14897.5
Commission Paid 27550 13640 13910
 
Quote from d08:

I trade some trending stuff. 2008 was great, 2009 was slightly red and this year has been pretty good
More...

as was Mr. Schamp's system's performance for those time periods, but they never seemed too out of control with a max DD of 20%. It says 10% but that was by the time it happened and the absolute dollar amount of the drawdown equates to about $750,000 at risk on $5 million, 15% almost.
 
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