Would you try one of these stock systems?

[sluzbenik]

I've never put one into action yet, but the intellectual challenge is fun. Yes, there are 2 units of slippage activated and $7 commissions (I don't use EB), it's a purely 10% of equity on 30k money management strat. Change it to to risk 3% of equity given the stops and things get more interesting, but an equity percentage is the most conservative. Yeah, I know stops get blown out. Them's the breaks. I can't figure odds on a black swan event. It's gambling, gambling with an edge, but gambling. The only thing your or I can control is how much we risk on a position.

It's slightly optimized over one time period, but the 8 year backtest includes that period. I know.

It's not much of an edge, but at least it's an edge. They are both doing the same thing, except the less exposed one...is less exposed. That's all I'm willing to say.

My other big concern is data mining. These are over a fundy screen, which I would update every quarter. Unfortunately, it's not easy to get that fundy screen every quarter over the past 8 years.

So which one, and why? I like the less exposed myself, even though returns are lower. If it forward tests well, I can switch to the other one, and in the meantime, it's highly unlikely I'll hit a a drawdown that will make me give up. And I can go invest that 80% not necessary in TIPS or savings bonds, lol.

System 1

Long + Short Long Only Short Only Buy & Hold
Starting Capital $30,000.00 $30,000.00 $30,000.00 $30,000.00
Ending Capital $81,963.40 $81,963.40 $30,000.00 $89,589.03
Net Profit $51,963.40 $51,963.40 $0.00 $59,589.03
Net Profit % 173.21% 173.21% 0.00% 198.63%
Annualized Gain % 13.39% 13.39% 0.00% 14.66%
Exposure 22.81% 22.81% 0.00% 101.34%

Number of Trades 789 789 0 440
Avg Profit/Loss $65.86 $65.86 $0.00 $135.43
Avg Profit/Loss % 1.32% 1.32% 0.00% 204.90%
Avg Bars Held 5.56 5.56 0 2,015.00

Winning Trades 449 449 0 255
Winning % 56.91% 56.91% N/A 57.95%
Gross Profit $157,534.81 $157,534.81 $0.00 $65,497.57
Avg Profit $350.86 $350.86 $0.00 $256.85
Avg Profit % 6.50% 6.50% 0.00% 390.14%
Avg Bars Held 5.98 5.98 0 2,015.00
Max Consecutive 19 19 0 N/A

Losing Trades 340 340 0 185
Losing % 43.09% 43.09% N/A 42.05%
Gross Loss ($105,571.41) ($105,571.41) $0.00 ($5,908.55)
Avg Loss ($310.50) ($310.50) $0.00 ($31.94)
Avg Loss % -5.51% -5.51% 0.00% -50.43%
Avg Bars Held 5 5 0 2,015.00
Max Consecutive 13 13 0 N/A

Max Drawdown ($17,520.57) ($17,520.57) $0.00 ($41,087.44)
Max Drawdown % -19.33% -19.33% 0.00% -66.25%
Max Drawdown Date 11/25/2011 11/25/2011 N/A 11/20/2008

Wealth-Lab Score 47.36 47.36 0 4.88
Profit Factor 1.49 1.49 0 11.09
Recovery Factor 2.97 2.97 N/A 1.45
Payoff Ratio 1.18 1.18 0 7.74
Sharpe Ratio 1.31 1.31 0 0.67
Ulcer Index 5.39 5.39 0 20.31
Wealth-Lab Error Term 5.9 5.9 0 15.84
Wealth-Lab Reward Ratio 2.27 2.27 N/A 0.93
Luck Coefficient 6.56 6.56 0 61.81
Pessimistic Rate of Return 1.41 1.41 0 9.31
Equity Drop Ratio 0 0 0 0

System 2

Long + Short Long Only Short Only Buy & Hold
Starting Capital $30,000.00 $30,000.00 $30,000.00 $30,000.00
Ending Capital $174,072.43 $174,072.43 $30,000.00 $72,867.82
Net Profit $144,072.43 $144,072.43 $0.00 $42,867.82
Net Profit % 480.24% 480.24% 0.00% 142.89%
Annualized Gain % 24.59% 24.59% 0.00% 11.74%
Exposure 59.81% 59.81% 0.00% 102.01%

Number of Trades 2,100 2,100 0 774
Avg Profit/Loss $68.61 $68.61 $0.00 $55.38
Avg Profit/Loss % 0.90% 0.90% 0.00% 152.31%
Avg Bars Held 5.65 5.65 0 2,015.00

Winning Trades 1,168 1,168 0 437
Winning % 55.62% 55.62% N/A 56.46%
Gross Profit $510,312.75 $510,312.75 $0.00 $48,915.57
Avg Profit $436.91 $436.91 $0.00 $111.93
Avg Profit % 5.78% 5.78% 0.00% 311.22%
Avg Bars Held 6.01 6.01 0 2,015.00
Max Consecutive 19 19 0 N/A

Losing Trades 932 932 0 337
Losing % 44.38% 44.38% N/A 43.54%
Gross Loss ($366,240.32) ($366,240.32) $0.00 ($6,047.74)
Avg Loss ($392.96) ($392.96) $0.00 ($17.95)
Avg Loss % -5.21% -5.21% 0.00% -53.75%
Avg Bars Held 5.2 5.2 0 2,015.00
Max Consecutive 14 14 0 N/A

Max Drawdown ($32,781.00) ($32,781.00) $0.00 ($35,335.89)
Max Drawdown % -29.81% -29.81% 0.00% -64.79%
Max Drawdown Date 8/19/2011 8/19/2011 N/A 11/20/2008

Wealth-Lab Score 28.86 28.86 0 4.05
Profit Factor 1.39 1.39 0 8.09
Recovery Factor 4.39 4.39 N/A 1.21
Payoff Ratio 1.11 1.11 0 5.79
Sharpe Ratio 1.25 1.25 0 0.56
Ulcer Index 9.82 9.82 0 20.22
Wealth-Lab Error Term 10.72 10.72 0 15.74
Wealth-Lab Reward Ratio 2.29 2.29 N/A 0.75
Luck Coefficient 9.7 9.7 0 77.46
Pessimistic Rate of Return 1.3 1.3 0 6.78
Equity Drop Ratio 0 0 0 0

 

[keeptradin']

I would try it, but I don't trade stocks.

 

[bwolinsky]

Quote from sluzbenik:

I've never put one into action yet, but the intellectual challenge is fun. Yes, there are 2 units of slippage activated and $7 commissions (I don't use EB), it's a purely 10% of equity on 30k money management strat. Change it to to risk 3% of equity given the stops and things get more interesting, but an equity percentage is the most conservative. Yeah, I know stops get blown out. Them's the breaks. I can't figure odds on a black swan event. It's gambling, gambling with an edge, but gambling. The only thing your or I can control is how much we risk on a position.

It's slightly optimized over one time period, but the 8 year backtest includes that period. I know.

It's not much of an edge, but at least it's an edge. They are both doing the same thing, except the less exposed one...is less exposed. That's all I'm willing to say.

My other big concern is data mining. These are over a fundy screen, which I would update every quarter. Unfortunately, it's not easy to get that fundy screen every quarter over the past 8 years.

So which one, and why? I like the less exposed myself, even though returns are lower. If it forward tests well, I can switch to the other one, and in the meantime, it's highly unlikely I'll hit a a drawdown that will make me give up. And I can go invest that 80% not necessary in TIPS or savings bonds, lol.

System 1

Long + Short Long Only Short Only Buy & Hold
Starting Capital $30,000.00 $30,000.00 $30,000.00 $30,000.00
Ending Capital $81,963.40 $81,963.40 $30,000.00 $89,589.03
Net Profit $51,963.40 $51,963.40 $0.00 $59,589.03
Net Profit % 173.21% 173.21% 0.00% 198.63%
Annualized Gain % 13.39% 13.39% 0.00% 14.66%
Exposure 22.81% 22.81% 0.00% 101.34%

Number of Trades 789 789 0 440
Avg Profit/Loss $65.86 $65.86 $0.00 $135.43
Avg Profit/Loss % 1.32% 1.32% 0.00% 204.90%
Avg Bars Held 5.56 5.56 0 2,015.00

Winning Trades 449 449 0 255
Winning % 56.91% 56.91% N/A 57.95%
Gross Profit $157,534.81 $157,534.81 $0.00 $65,497.57
Avg Profit $350.86 $350.86 $0.00 $256.85
Avg Profit % 6.50% 6.50% 0.00% 390.14%
Avg Bars Held 5.98 5.98 0 2,015.00
Max Consecutive 19 19 0 N/A

Losing Trades 340 340 0 185
Losing % 43.09% 43.09% N/A 42.05%
Gross Loss ($105,571.41) ($105,571.41) $0.00 ($5,908.55)
Avg Loss ($310.50) ($310.50) $0.00 ($31.94)
Avg Loss % -5.51% -5.51% 0.00% -50.43%
Avg Bars Held 5 5 0 2,015.00
Max Consecutive 13 13 0 N/A

Max Drawdown ($17,520.57) ($17,520.57) $0.00 ($41,087.44)
Max Drawdown % -19.33% -19.33% 0.00% -66.25%
Max Drawdown Date 11/25/2011 11/25/2011 N/A 11/20/2008

Wealth-Lab Score 47.36 47.36 0 4.88
Profit Factor 1.49 1.49 0 11.09
Recovery Factor 2.97 2.97 N/A 1.45
Payoff Ratio 1.18 1.18 0 7.74
Sharpe Ratio 1.31 1.31 0 0.67
Ulcer Index 5.39 5.39 0 20.31
Wealth-Lab Error Term 5.9 5.9 0 15.84
Wealth-Lab Reward Ratio 2.27 2.27 N/A 0.93
Luck Coefficient 6.56 6.56 0 61.81
Pessimistic Rate of Return 1.41 1.41 0 9.31
Equity Drop Ratio 0 0 0 0

System 2

Long + Short Long Only Short Only Buy & Hold
Starting Capital $30,000.00 $30,000.00 $30,000.00 $30,000.00
Ending Capital $174,072.43 $174,072.43 $30,000.00 $72,867.82
Net Profit $144,072.43 $144,072.43 $0.00 $42,867.82
Net Profit % 480.24% 480.24% 0.00% 142.89%
Annualized Gain % 24.59% 24.59% 0.00% 11.74%
Exposure 59.81% 59.81% 0.00% 102.01%

Number of Trades 2,100 2,100 0 774
Avg Profit/Loss $68.61 $68.61 $0.00 $55.38
Avg Profit/Loss % 0.90% 0.90% 0.00% 152.31%
Avg Bars Held 5.65 5.65 0 2,015.00

Winning Trades 1,168 1,168 0 437
Winning % 55.62% 55.62% N/A 56.46%
Gross Profit $510,312.75 $510,312.75 $0.00 $48,915.57
Avg Profit $436.91 $436.91 $0.00 $111.93
Avg Profit % 5.78% 5.78% 0.00% 311.22%
Avg Bars Held 6.01 6.01 0 2,015.00
Max Consecutive 19 19 0 N/A

Losing Trades 932 932 0 337
Losing % 44.38% 44.38% N/A 43.54%
Gross Loss ($366,240.32) ($366,240.32) $0.00 ($6,047.74)
Avg Loss ($392.96) ($392.96) $0.00 ($17.95)
Avg Loss % -5.21% -5.21% 0.00% -53.75%
Avg Bars Held 5.2 5.2 0 2,015.00
Max Consecutive 14 14 0 N/A

Max Drawdown ($32,781.00) ($32,781.00) $0.00 ($35,335.89)
Max Drawdown % -29.81% -29.81% 0.00% -64.79%
Max Drawdown Date 8/19/2011 8/19/2011 N/A 11/20/2008

Wealth-Lab Score 28.86 28.86 0 4.05
Profit Factor 1.39 1.39 0 8.09
Recovery Factor 4.39 4.39 N/A 1.21
Payoff Ratio 1.11 1.11 0 5.79
Sharpe Ratio 1.25 1.25 0 0.56
Ulcer Index 9.82 9.82 0 20.22
Wealth-Lab Error Term 10.72 10.72 0 15.74
Wealth-Lab Reward Ratio 2.29 2.29 N/A 0.75
Luck Coefficient 9.7 9.7 0 77.46
Pessimistic Rate of Return 1.3 1.3 0 6.78
Equity Drop Ratio 0 0 0 0

Your Wealth-Lab Scores suck. Profit factors below 1.5 are not stomachable no matter what the ulcer index ranking is.

Calmar's below 1, so that's not excessively profitable.

Really, look at the Superbands scripts at http://wl4.wealth-lab.com. Use on NASDAQ 100 Watchlist.

Basically you've found a random pattern with an edge not high enough to earn more than a risk free long term investment.

You will be disappointed in either strategy's performance.

Incidentally, here is what a robust model looks like:

Pairs Trading QID QLD

Starting Capital $30,000.00 $30,000.00 $30,000.00 $30,000.00
Ending Capital $265,604.00 $265,604.00 $30,000.00 $4,740.21
Net Profit $235,603.97 $235,603.97 $0.00 $-25,259.79
Net Profit % 785.35% 785.35% 0.00% -84.20%
Exposure 36.36% 36.36% 0.00% 98.99%
Risk Adj Return 2,159.99 2,159.99 0.00 -85.06
All Trades 104 104 0 1
Avg Profit/Loss $2,265.42 $2,265.42 $0.00 $-25,259.79
Avg Profit/Loss % 2.36% 2.36% 0.00% -84.80%
Avg Bars Held 4.58 4.58 0.00 1,259.00
Winning Trades 76 76 0 0
Gross Profit $373,912.01 $373,912.01 $0.00 $0.00
Avg Profit $4,919.89 $4,919.89 $0.00 $0.00
Avg Profit % 4.64% 4.64% 0.00% 0.00%
Avg Bars Held 4.55 4.55 0.00 0.00
Max Consecutive 9 9 0 0
Losing Trades 28 28 0 1
Gross Loss $-138,308.04 $-138,308.04 $0.00 $-25,259.79
Avg Loss $-4,939.57 $-4,939.57 $0.00 $-25,259.79
Avg Loss % -3.84% -3.84% 0.00% -84.80%
Avg Bars Held 4.64 4.64 0.00 1,259.00
Max Consecutive 3 3 0 1
Max Drawdown -22.69% -22.69% 0.00% -92.72%
Recovery Factor 6.89 6.89 0.00 0.43
Profit Factor 2.70 2.70 0.00 0.00
Payoff Ratio 1.21 1.21 0.00 0.00
WL Score 1,669.87 1,669.87 0.00 -163.93

Now I know this is the best Wealth Script that was ever written, so don't think that this was easy.

Superbands, with Linear Regression Analysis

Starting Capital $30,000.00 $30,000.00 $30,000.00 $30,000.00
Ending Capital $52,063.41 $52,063.41 $30,000.00 $44,296.63
Net Profit $22,063.41 $22,063.41 $0.00 $14,296.63
Net Profit % 73.54% 73.54% 0.00% 47.66%
Exposure 13.73% 13.73% 0.00% 97.73%
Risk Adj Return 535.79 535.79 0.00 48.76
All Trades 1,750 1,750 0 58
Avg Profit/Loss $12.61 $12.61 $0.00 $246.49
Avg Profit/Loss % 0.40% 0.40% 0.00% 50.49%
Avg Bars Held 1.00 1.00 0.00 1,259.00
Winning Trades 959 959 0 31
Gross Profit $115,759.95 $115,759.95 $0.00 $18,533.79
Avg Profit $120.71 $120.71 $0.00 $597.86
Avg Profit % 3.45% 3.45% 0.00% 121.98%
Avg Bars Held 1.00 1.00 0.00 1,259.00
Max Consecutive 52 52 0 5
Losing Trades 791 791 0 27
Gross Loss $-93,696.54 $-93,696.54 $0.00 $-4,237.16
Avg Loss $-118.45 $-118.45 $0.00 $-156.93
Avg Loss % -3.30% -3.30% 0.00% -31.58%
Avg Bars Held 1.00 1.00 0.00 1,259.00
Max Consecutive 41 41 0 6
Max Drawdown -31.70% -31.70% 0.00% -56.00%
Recovery Factor 1.66 1.66 0.00 0.73
Profit Factor 1.24 1.24 0.00 4.37
Payoff Ratio 1.05 1.05 0.00 3.86
WL Score 365.96 365.96 0.00 21.46


The Wealth Lab Scores in particular need to be at least 100 before you should ever try trading that model.

 

[Option_Attack]

Quote from bwolinsky:

Your Wealth-Lab Scores suck. Profit factors below 1.5 are not stomachable no matter what the ulcer index ranking is.

Calmar's below 1, so that's not excessively profitable.

Really, look at the Superbands scripts at http://wl4.wealth-lab.com. Use on NASDAQ 100 Watchlist.

Basically you've found a random pattern with an edge not high enough to earn more than a risk free long term investment.

You will be disappointed in either strategy's performance.

Incidentally, here is what a robust model looks like:

Pairs Trading QID QLD

Starting Capital $30,000.00 $30,000.00 $30,000.00 $30,000.00
Ending Capital $265,604.00 $265,604.00 $30,000.00 $4,740.21
Net Profit $235,603.97 $235,603.97 $0.00 $-25,259.79
Net Profit % 785.35% 785.35% 0.00% -84.20%
Exposure 36.36% 36.36% 0.00% 98.99%
Risk Adj Return 2,159.99 2,159.99 0.00 -85.06
All Trades 104 104 0 1
Avg Profit/Loss $2,265.42 $2,265.42 $0.00 $-25,259.79
Avg Profit/Loss % 2.36% 2.36% 0.00% -84.80%
Avg Bars Held 4.58 4.58 0.00 1,259.00
Winning Trades 76 76 0 0
Gross Profit $373,912.01 $373,912.01 $0.00 $0.00
Avg Profit $4,919.89 $4,919.89 $0.00 $0.00
Avg Profit % 4.64% 4.64% 0.00% 0.00%
Avg Bars Held 4.55 4.55 0.00 0.00
Max Consecutive 9 9 0 0
Losing Trades 28 28 0 1
Gross Loss $-138,308.04 $-138,308.04 $0.00 $-25,259.79
Avg Loss $-4,939.57 $-4,939.57 $0.00 $-25,259.79
Avg Loss % -3.84% -3.84% 0.00% -84.80%
Avg Bars Held 4.64 4.64 0.00 1,259.00
Max Consecutive 3 3 0 1
Max Drawdown -22.69% -22.69% 0.00% -92.72%
Recovery Factor 6.89 6.89 0.00 0.43
Profit Factor 2.70 2.70 0.00 0.00
Payoff Ratio 1.21 1.21 0.00 0.00
WL Score 1,669.87 1,669.87 0.00 -163.93

Now I know this is the best Wealth Script that was ever written, so don't think that this was easy.

Not even close, Bowo...

This is one I use. ES Long only, last 10 years:

	Long + Short	Long Only	Short Only	Buy & Hold	
Starting Capital	$30,000.00	$30,000.00	$30,000.00	$30,000.00
Ending Capital	$328,033.10	$328,033.10	$30,000.00	$110,905.95
Net Profit	$298,033.10	$298,033.10	$0.00	$80,905.95
Net Profit %	993.44%	993.44%	0.00%	269.69%
Annualized Gain %	34.85%	34.85%	0.00%	17.75%
Exposure	0.92%	0.92%	0.00%	100.00%
				
Number of Trades	119	119	0	1
Avg Profit/Loss	$2,504.48	$2,504.48	$0.00	$80,905.95
Avg Profit/Loss %	0.92%	0.92%	0.00%	19.83%
Avg Bars Held	XXX	XXX	0.00	2,017.00
				
Winning Trades	108	108	0	1
Winning %	90.76%	90.76%	N/A	100.00%
Gross Profit	$351,784.20	$351,784.20	$0.00	$80,905.95
Avg Profit	$3,257.26	$3,257.26	$0.00	$80,905.95
Avg Profit %	1.20%	1.20%	0.00%	19.83%
Avg Bars Held	XXX	XXX	0.00	2,017.00
Max Consecutive	56	56	0	N/A
				
Losing Trades	11	11	0	0
Losing %	9.24%	9.24%	N/A	0.00%
Gross Loss	$-53,751.10	$-53,751.10	$0.00	$0.00
Avg Loss	$-4,886.46	$-4,886.46	$0.00	$0.00
Avg Loss %	-1.79%	-1.79%	0.00%	0.00%
Avg Bars Held	XXX	XXX	0.00	0.00
Max Consecutive	1	1	0	N/A
				
Max Drawdown	$-33,635.25	$-33,635.25	$0.00	$-303,562.00
Max Drawdown %	-14.95%	-14.95%	0.00%	-203.18%
Max Drawdown Date	8/8/2011	8/8/2011	N/A	3/9/2009
				
Wealth-Lab Score	3,238.67	3,238.67	0.00	-18.32
Profit Factor	6.54	6.54	0.00	INF
Recovery Factor	8.86	8.86	N/A	0.27
Payoff Ratio	0.67	0.67	0.00	INF
Sharpe Ratio	1.67	1.67	0.00	-0.58
Ulcer Index	0.91	0.91	0.00	74.56
Wealth-Lab Error Term	18.78	18.78	0.00	430.53
Wealth-Lab Reward Ratio	1.86	1.86	N/A	0.04
Luck Coefficient	6.38	6.38	0.00	1.00
Pessimistic Rate of Return	4.57	4.57	0.00	0.00
Equity Drop Ratio	0.09	0.09	0.00	0.00

 

[bwolinsky]

Quote from Option_Attack:

Not even close, Bowo...

This is one I use. ES Long only, last 10 years:

	Long + Short	Long Only	Short Only	Buy & Hold	
Starting Capital	$30,000.00	$30,000.00	$30,000.00	$30,000.00
Ending Capital	$328,033.10	$328,033.10	$30,000.00	$110,905.95
Net Profit	$298,033.10	$298,033.10	$0.00	$80,905.95
Net Profit %	993.44%	993.44%	0.00%	269.69%
Annualized Gain %	34.85%	34.85%	0.00%	17.75%
Exposure	0.92%	0.92%	0.00%	100.00%
				
Number of Trades	119	119	0	1
Avg Profit/Loss	$2,504.48	$2,504.48	$0.00	$80,905.95
Avg Profit/Loss %	0.92%	0.92%	0.00%	19.83%
Avg Bars Held	XXX	XXX	0.00	2,017.00
				
Winning Trades	108	108	0	1
Winning %	90.76%	90.76%	N/A	100.00%
Gross Profit	$351,784.20	$351,784.20	$0.00	$80,905.95
Avg Profit	$3,257.26	$3,257.26	$0.00	$80,905.95
Avg Profit %	1.20%	1.20%	0.00%	19.83%
Avg Bars Held	XXX	XXX	0.00	2,017.00
Max Consecutive	56	56	0	N/A
				
Losing Trades	11	11	0	0
Losing %	9.24%	9.24%	N/A	0.00%
Gross Loss	$-53,751.10	$-53,751.10	$0.00	$0.00
Avg Loss	$-4,886.46	$-4,886.46	$0.00	$0.00
Avg Loss %	-1.79%	-1.79%	0.00%	0.00%
Avg Bars Held	XXX	XXX	0.00	0.00
Max Consecutive	1	1	0	N/A
				
Max Drawdown	$-33,635.25	$-33,635.25	$0.00	$-303,562.00
Max Drawdown %	-14.95%	-14.95%	0.00%	-203.18%
Max Drawdown Date	8/8/2011	8/8/2011	N/A	3/9/2009
				
Wealth-Lab Score	3,238.67	3,238.67	0.00	-18.32
Profit Factor	6.54	6.54	0.00	INF
Recovery Factor	8.86	8.86	N/A	0.27
Payoff Ratio	0.67	0.67	0.00	INF
Sharpe Ratio	1.67	1.67	0.00	-0.58
Ulcer Index	0.91	0.91	0.00	74.56
Wealth-Lab Error Term	18.78	18.78	0.00	430.53
Wealth-Lab Reward Ratio	1.86	1.86	N/A	0.04
Luck Coefficient	6.38	6.38	0.00	1.00
Pessimistic Rate of Return	4.57	4.57	0.00	0.00
Equity Drop Ratio	0.09	0.09	0.00	0.00

3x instruments and fully margined will make more than yours, but with twice the drawdown. I target 2000% np in futures at 5:1 and 30% dd for 5 year periods.

You have a futures strategy here that's making more money because mine was on QID and QLD and the most recent 5 years. TQQQ at 112% of equity makes more than yours, and roughly 10 times TQQQ's at 5:1 with NQ. You have twice as much data to backtest, and your expectancy is much less. With 5 more years mine will be better, and it already is.

Also, Avg Profit/Loss % 0.92%, <b><i><u>by expectancy mine's way more profitable than yours. </b></i></u> Your backtest is twice as long, and nowhere near the APR that mine has.