Hi GAT, I was wondering if you could explain the benefit of using a home database like e.g., SQLlite vs just saving everthing in CSVs? To me, learning SQL and creating a database seems like more work than its worth vs just accessing data in CSVs, but it does seem common practice, so there must be more to it than I understand. I know you use your own home database. What is the advantage of this? Thanks and congrats on a solid year of performance!
This is the kind of question stack exchange is better for than me https://stackoverflow.com/questions/2356851/database-vs-flat-files GAT
I wrote a very large number of words at my blog discussing performance over the last 12 months: https://qoppac.blogspot.com/2020/04/trading-and-investing-performance-year.html GAT
I wonder what was your max drawdown over the whole 6 years period. Specifically for your futures trading, excluding the hedges. Do you happen to have monthly performance data? Or perhaps even daily?
I don't want to come off as nit-picky, but looking at yearly data there are two consecutive periods 16/17 and 17/18 that had -14% and -3.7% respectively. That's 17.2% based on yearly data. I believe on monthly and daily it would be even larger? Likely somewhere in the range of 18-20%? The reason I'm so interested in this is that I'm comparing it to my system which is a simple long term TF without diversification into other types of rules and timeframes and doesn't do volatility targeting. Looking at the period of 2014 April to 2020 March, I'm finding: CAGR: GAT 15.5% vs my 13.8% Annualized volatility: GAT 25% (targeted) vs my 20.9% (30 year backtest 23.5%) Average annual return: GAT 18.1% vs my 18.6% Max DD: GAT 17.2% (?) vs my 28.1% Your MAR ratio is superior (0.90 vs 0.49) - irrelevant over 6 year period? Sharpe ratio: 0.72 vs 0.89 Similar CAGR/Volatility ratio: 0.62 vs 0.66 Makes me wonder if I should implement a more sophisticated way like yours or if there is no real difference over long term. For instance, in my 40 year backtest I'm getting sharpe ratio of 0.92, CAGR 18.7%, annualized volatility 22.1% and max drawdown 36%.