Annual return>40% for SP500. Hope I can find someone that can work together.

Discussion in 'Hook Up' started by leochen2321, Nov 13, 2017.

  1. d08

    d08

    The returns aren't that great when you look at the drawdowns. I can spot drawdowns larger than 46%. So at 50% position sizing it's more like 20% compounded with 23% DD.
     
    #11     Nov 13, 2017
    VPhantom likes this.
  2. truetype

    truetype

    Also wonder if it's long-biased. Notice 2011 is the only post-crash down year in his sim.
     
    #12     Nov 13, 2017
    Van_der_Voort_4 likes this.
  3. d08

    d08

    Clearly long biased. 2001, 2008, 2011. Most probably a type of dip buyer.
     
    #13     Nov 13, 2017
  4. #14     Nov 13, 2017
  5. algofy

    algofy

    nothing fishy here, sign up and get the email. Cmon it's a free email.
     
    #15     Nov 13, 2017
  6. 2Veasnar

    2Veasnar

    Have you done the Monte Carlo simulation? I also think you need to do more walk forward out of sample test before going live. See image,
     
    #16     Nov 14, 2017
  7. Yes, it can pass the out of sample test.
    Amibroker has walk forward optimization test and my system can pass it.
    Thank you.
     
    #17     Nov 14, 2017
    themickey likes this.
  8. d08

    d08

    #18     Nov 14, 2017
    MarkBrown likes this.
  9. 2Veasnar

    2Veasnar

    What is your CAR/Max DD?
     
    #19     Nov 14, 2017
  10. Max. system % drawdown -40.24%
    CAR/MaxDD 1.47
     
    #20     Nov 14, 2017