Universal Trend Trading

Quote from luckyputanski:


Account Value 208k
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Besides the fact this hasn't been profitable, did the backtesting engine you modelled have a 60% drawdown? Is this still what your model showed or have you re-optimized? How much data did you use before you started to trade?
 
Quote from bwolinsky:

Besides the fact this hasn't been profitable, did the backtesting engine you modelled have a 60% drawdown? Is this still what your model showed or have you re-optimized? How much data did you use before you started to trade?
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Not sure what you mean by engine's drawdown, but yes, strategy had more than 60% drawdown before and current drawdown is confirmed when backtesting with most recent data. I did not optimized this system. I backtested it on 40 years of data of about 20 market and demo traded for a few months.
 
Quote from luckyputanski:

Not sure what you mean by engine's drawdown, but yes, strategy had more than 60% drawdown before and current drawdown is confirmed when backtesting with most recent data. I did not optimized this system. I backtested it on 40 years of data of about 20 market and demo traded for a few months.
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That's way too much data. Daily data is more influenced by news and fundamentals if you're holding any longer than 5 trading days to up to 15 trading days.

Might want to consider building an optimization engine for parametrizing your variables on a rolling 2 year monthly basis followed by stability testing and evaluating the walk-forwards.
 
Quote from bwolinsky:

That's way too much data. Daily data is more influenced by news and fundamentals if you're holding any longer than 5 trading days to up to 15 trading days.
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Strongly disagree about "too much data". If I could I would be using 100 years of data for backtest, simply to make sure the strategy is robust.
 
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