tradermaji
Registered: Sep 2004
Posts: 1059 |
09-17-09 04:27 AM
Based on the various comments I received, I decided to add a filter to my original system so that it does not place trades every day but just on days when the filtered conditions are met.
Using a 2:1 leverage and interest rate of 10% per annum, and trading the NDX100 stocks for the last 4 years, the results are as follows:
Long + Short
Starting Capital $1,000,000.00
Ending Capital $2,096,105.13
Net Profit $1,096,105.13
Net Profit % 109.61%
Annualized Gain % 20.35%
Exposure 36.12%
Number of Trades 4,089
Avg Profit/Loss $268.06
Avg Profit/Loss % 0.48%
Avg Bars Held 2.24
Winning Trades 2,866
Winning % 70.09%
Gross Profit $4,164,397.29
Avg Profit $1,453.03
Avg Profit % 2.52%
Avg Bars Held 1.59
Max Consecutive 40
Losing Trades 1,223
Losing % 29.91%
Gross Loss ($3,061,302.07)
Avg Loss ($2,503.11)
Avg Loss % -4.28%
Avg Bars Held 3.76
Max Consecutive 15
Max Drawdown ($284,261.38)
Max Drawdown % -17.03%
Max Drawdown Date 10/7/2008
Wealth-Lab Score 46.75
Profit Factor 1.36
Recovery Factor 3.86
Payoff Ratio 0.59
Sharpe Ratio 2.04
Ulcer Index 2.61
Wealth-Lab Error Term 1.63
Wealth-Lab Reward Ratio 12.52
Luck Coefficient 10.98
Pessimistic Rate of Return 1.32
Equity Drop Ratio 0.17
For reference, the original system under the same conditions produce the following results
Long + Short
Starting Capital $1,000,000.00
Ending Capital $1,755,566.89
Net Profit $755,566.89
Net Profit % 75.56%
Annualized Gain % 15.13%
Exposure 19.64%
Number of Trades 2,290
Avg Profit/Loss $329.94
Avg Profit/Loss % 0.64%
Avg Bars Held 2.18
Winning Trades 1,667
Winning % 72.79%
Gross Profit $2,247,095.20
Avg Profit $1,347.99
Avg Profit % 2.69%
Avg Bars Held 1.61
Max Consecutive 42
Losing Trades 623
Losing % 27.21%
Gross Loss ($1,491,063.50)
Avg Loss ($2,393.36)
Avg Loss % -4.85%
Avg Bars Held 3.69
Max Consecutive 10
Max Drawdown ($118,258.75)
Max Drawdown % -9.04%
Max Drawdown Date 10/7/2008
Wealth-Lab Score 70.06
Profit Factor 1.51
Recovery Factor 6.39
Payoff Ratio 0.55
Sharpe Ratio 2.2
Ulcer Index 1.72
Wealth-Lab Error Term 2.98
Wealth-Lab Reward Ratio 5.08
Luck Coefficient 7.96
Pessimistic Rate of Return 1.39
Equity Drop Ratio 0.08
A couple of observations:
1. The original system has less profits but a better Profit Factor and a great Sharpe Ratio.
2. Drawdowns are also lower for the original system.
3. The original system will be a pain in the butt to place 100 trades everyday if used manually.
I will be posting the filtered system alerts too here. If one can stand a 17% drawdown, then this is a nice system... atleast theoretically till now. :
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