Would you trade this system??
- Thread starter condorll
- Start date
I just read page 1 and the data sheet. I didn't read others comments.
You could adjust about four items:
1. Cut hold time in half. 13 to 7 days. This actually is a result of 2, 3, and 4 below.
2. Enlarge the basket (universe) and choose it weekly instead of annually. You are not using quality stocks. This means your selection will be more presise.
3. The drawdown can be replaced by a different hold and protective stop strategy. The winner loser ratio is the same but you leave losers sooner.
4. Increase the beta of the stocks in the basket by a factor of at least two.
The results will be:
Av profit per trade will increase by 50% to range of 12%
Trades in five streams (make it 6 to 8 after first six months). Will be 40 per stream for and average of about 280 per year.
So it comes down to 40 cycles of intial 2,000 dollars for each of 5 streams going to an average of 7 streams where the compounded profit per stream is 12%.
You could adjust about four items:
1. Cut hold time in half. 13 to 7 days. This actually is a result of 2, 3, and 4 below.
2. Enlarge the basket (universe) and choose it weekly instead of annually. You are not using quality stocks. This means your selection will be more presise.
3. The drawdown can be replaced by a different hold and protective stop strategy. The winner loser ratio is the same but you leave losers sooner.
4. Increase the beta of the stocks in the basket by a factor of at least two.
The results will be:
Av profit per trade will increase by 50% to range of 12%
Trades in five streams (make it 6 to 8 after first six months). Will be 40 per stream for and average of about 280 per year.
So it comes down to 40 cycles of intial 2,000 dollars for each of 5 streams going to an average of 7 streams where the compounded profit per stream is 12%.
The discussion of this system is as interesting as the system results. First and foremost, it's important to design trading plans and systems to match your personality and lifestyle. This means matching it to things like your ability to tolerate draw downs, the time you have available to trade a system and your need for an income (to do the crazy things in life like eat).
I get the feeling that while Kevin wants to trade for an income and has a lower tolerance for drawdowns, condor is trading to build wealth and has a lifestyle not allowing him to trade as frequently. No system will be successful if you can't trade it! These don't make any system better or worse - its not one size fits all.
For the person that commented that since the system only went long there was an inherent inaccuracy in the back testing, I'd have to disagree. Sure, the system was backtested during a bull market, but there'd be no reason why it'd have to be traded in any other market. There are plenty of simple ways to measure this, such as moving averages of market indices and the use of stops based on these. My opinion is that bull, bear and ranging markets are all quite different and each deserve their own systems. Systems that work well in bull markets can't necessarily be turned inside out and used in a bear market as there are different underlying conditions. Sure, a vet could probably treat a human well enough, but why not go see a doctor -particularly when using EOD data trade systems should suit market conditions.
The equity curve is relatively smooth, the drawdown is good and the consecutive winners is quite impressive. My only concern is that your average hold time in a losing trade is longer than the winning hold. Perhaps your stops could do with some further tweaking.
I'd be interested to see what would happen if you bumped up starting equity to 50k and then did Monte Carlo analysis of CAR, Max DD and Net Profit %. I trade several EOD systems (including one with an average hold time of >300 days) and if the monte carlo analysis looked acceptable, the stats are something I would like to trade.
I get the feeling that while Kevin wants to trade for an income and has a lower tolerance for drawdowns, condor is trading to build wealth and has a lifestyle not allowing him to trade as frequently. No system will be successful if you can't trade it! These don't make any system better or worse - its not one size fits all.
For the person that commented that since the system only went long there was an inherent inaccuracy in the back testing, I'd have to disagree. Sure, the system was backtested during a bull market, but there'd be no reason why it'd have to be traded in any other market. There are plenty of simple ways to measure this, such as moving averages of market indices and the use of stops based on these. My opinion is that bull, bear and ranging markets are all quite different and each deserve their own systems. Systems that work well in bull markets can't necessarily be turned inside out and used in a bear market as there are different underlying conditions. Sure, a vet could probably treat a human well enough, but why not go see a doctor -particularly when using EOD data trade systems should suit market conditions.
The equity curve is relatively smooth, the drawdown is good and the consecutive winners is quite impressive. My only concern is that your average hold time in a losing trade is longer than the winning hold. Perhaps your stops could do with some further tweaking.
I'd be interested to see what would happen if you bumped up starting equity to 50k and then did Monte Carlo analysis of CAR, Max DD and Net Profit %. I trade several EOD systems (including one with an average hold time of >300 days) and if the monte carlo analysis looked acceptable, the stats are something I would like to trade.
You can simulate monte carlo in amibroker using a dummy optimize variable, introducing a random component to the position size and dumping the results in excel for analysis.
If you'd like me to help you, get in touch with me via the forum's private messaging.
Have you tested your system on other markets (DAX, FTSE, ASX, HSE)?
If you'd like me to help you, get in touch with me via the forum's private messaging.
Have you tested your system on other markets (DAX, FTSE, ASX, HSE)?
I checked the Yahoo Amibroker forum and there is a Monte Carlo for excel in the files section there (from 2003 I believe). Upon reading however, it uses Positionscore or Positionsize.
I am already using both positionsize and positionscore in my trading formula, so would the MonteCarlo reflect realistic results?
Do you also use Amibroker?
No, I haven't tested other markets.
I use amibroker to test systems for trade primarily on the ASX.
The idea is you use position score with a random function to randomly decide whether or not you're going to buy the signal.
By testing the portfolio many times over the same time period, you'll be testing several different combinations of the signals it generates and the profitibility from each combination. The more signals, the more robust the system generally, this will test the reliability of the signals.
The idea is you use position score with a random function to randomly decide whether or not you're going to buy the signal.
By testing the portfolio many times over the same time period, you'll be testing several different combinations of the signals it generates and the profitibility from each combination. The more signals, the more robust the system generally, this will test the reliability of the signals.