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
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
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
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
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
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.
code:
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%, by expectancy mine's way more profitable than yours. Your backtest is twice as long, and nowhere near the APR that mine has.
