Trading Style: Intra Day Momentum Past 12 month performance (First 11 months from back test, last month is live trading) 2017:07 1.4% 2017:08 4.8% 2017:09 0.8% 2017:10 -6.0% 2017:11 8.8% 2017:12 5.8% 2018:01 9.5% 2018:02 -0.7% 2018:03 6.2% 2018:04 1.7% 2018:05 -3.5% 2018:06 8.6% (Live trading!) Full back test goes back over 15 years, results as follows: Mean Annual Return: 45% Std deviation of annual return: 20% Best performing year: +100% Worst performing year: +4% Largest drawdown: 15% Trades per year: 136 Trade Win %: 40% Monthly Win %: 75% Average Monthly Return: 3.75% Best performing month: +25% Worst performing month: -10% I plan to update this journal at the end of each month. But sometimes i upgrade my systems based on new research breakthroughs, if so i might start a new journal if the new system is significantly different from this one.
Hey mate, What is this system based on? Are there any good books regarding the Sharpe system? Appreciate any tips or any type of insight
Nice little newbie howler you made there, my system is now officially named 'The Sharpe 2-3' System! Pick your favourite high volatility markets. Then the automated software scans for possible conditions that a large move could happen or has started. The system enters and hopefully rides the move for a large profit, or gets stopped for a smaller loss. Sadly i cant give away too much information, as the system is fully automated and could be copied by others and there is only so much liquidity available on the intra day time frame, i just don't need the competition. If i was a discretionary trader i could give away more information. As there is more personal judgement involved in discretionary trading. I would say this system has five or six variables that i have optimised. But most of these have not been discovered from data mining but from market observations that i have made since 2004. Then i use optimisation to fine tune my observations.
@Millionaire : Nice stats and congrats! I'm wondering if you've tried trading off daily bars successfully, or if your approach would require intraday short time frames and thoughts on that? Also, do your system have some kind of stop-loss, and could such lead to high risk of ruin (DD -30%+), and also wether you've tested the system in different market conditions, eg. Y2K bust, 2007-2009?