Hi I use a couple of different sources of return statistics; my own (which assume a constant capital base of £400K) and fundseeder (which uses the current value of my account at the time, usually larger). With the way my system is currently (badly!) setup, it's often quicker to jump on to fundseeder and get the stats from there. This means returns will usually look worse, but things like drawdowns look better. The figure I quoted you was from fundseeder. The other thing is that neithier figure is for futures only. I could get that figure from a backtest, but it would be a huge amount of work to get an accurate figure for live trading. Looking at my annual figures for just a few years, and comparing them to your own, is a really bad way of deciding if one is superior, or if you should make changes to your system. We're talking after all about half a dozen data points! Your 40 year backtest is within shouting distance of mine (somewhere over 1), and the difference won't be statistically significant. As to whether you should become more sophisticated, well if you give me a rough idea of what you're doing I can tell you where I'd expect a little more sophistication to add the most value. Those expectations are based on monte carlo'ing of many different portfolios, so I would trust them far more than live or backtested figures. GAT
From first glance, impressive, yet complicated in terms of positions & trades. Since I just started reading this thread, went from page 1 to page 212, then back to 211. In the following, forgive if my questions are too simple, even stupid, or the information is buried somewhere in the 200+ pages of this thread - still I would appreciate if you could be patient to answer my questions below? Q. Similar what could be found on morningstar for other equities etc, for your portfolio with the capital that you stated with from day one (how much was it?) and without adding in any additional capital or compounding, do you have a simple returns/performance table, spreadsheet or in word of the YTD, 1 yr, 3 yr, 5yr returns since inception. Being an old retired senior I like to see less words just simple facts. Thanks, appreciate if you could post or link me to where it might be in your blog
The figures on my blog ignore compounding. So you could just look at this table from the last blog post: Code: Year: 14/15 15/16 16/17 17/18 18/19 19/20 Total: 57.2% 39.6% 0.3% 0.4% 6.1% 35.7% GAT
GAT another question, from your blog 'confused' ... below, 2016 through 2019, are these your actual total returns & not what you posted previously up thread? Total investment return My total return on all my investments, including cash held for futures margin, came in at an XIRR of -6.6%. Once again Vanguard 60:40 seems an appropriate benchmark (since if I wasn't trading futures I could throw all my cash into that fund), at -10.5%. I have been saved by my futures trading, which really did come through as a diversifier. However this is misleading, since my futures trading was actually flat in the COVID period (say from late February to early April), having made all of it's money up the end of January. So the correlation wouldn't be significantly negative once you look through to monthly performance. Let's look at some history 2016 - 2017 XIRR 18.2%, benchmark 19.3% 2017 - 2018 XIRR 0.6%, benchmark 1.3% 2018 - 2019 XIRR 4.4%, benchmark 7.2% 2019 - 2020 XIRR -6.6%, benchmark -10.5%
These are my actual total returns across all my investments. On this thread I only talk about my futures trading account. That is why when you asked me for figures I quoted just the figures for my futures account. GAT
My strategy in summary: slow trend following, diversified over 40 markets, about one trade per market per year on average (3/4 of the trades' duration between 3 and 11 months), very wide initial stop, position size is determined by ATR at the time of entry (no volatility targeting afterwards). I did not perform any curve fitting. I simply picked the parameters that approximately resulted in certain trading speed I had in mind. Then I checked neighbouring parameter values to make sure it doesn't fall apart. Then out-of-sample tested it on another portfolio. So I believe the system is quite robust. As I understand you do a sort of bootstrapping test by selecting random portfolios from the pool of instruments that you have in your database and come up with confidence intervals for certain performance figures (CAGR, Sharpe, max drawdown, ...)?
That isn't a million miles away from what I do. I trade a bit quicker, but over the same range of futures markets (I'm assuming you trade futures). I don't use explicit stops, and I do continous trading rather than discrete (so I'm always adjusting positions according to changes in vol and forecasts). Based on research I've done for my most recent book in expectation that will add about 40% to performance. So for example if your Sharpe Ratio was 0.9, then it would go up to 0.9*1.4 = 1.27. Is it worth doing this? Well it's a fair bit more work if you're not fully automated. So it depends on how much capital you have, and what you value your time at. Ok so for each instrument I have a set of trading rules, each with variations of different parameter sets, in total perhaps 40 different trading rules. So for example a moving average crossover could be 4,16; 8,32 and so on. The set of variations is selected using artifical data, with no reference to performance. I drop trading rules that are too expensive for a given instrument. Then I use a portfolio selection method to decide which combination of rules to trade, and how much weight to give each one. Although I've written about bootstrapping, my preferred method is actually something called 'handcrafting' (more details here). Importantly, I will trade all the rules that are cheap enough to trade for a given instrument, I don't just pick one. Then I again use a portfolio selection method to decide how much risk capital to allocate to each instrument I trade. It's likely that the result isn't that different from what you would end up with if you started with the same rules, as I'm going to drop the most expensive rules first, but: - as it's an automated selection process it can be backtested. - I am trading multiple parameters for a given trading rule, it sounds like you only trade one. In expectation this will reduce your performance. - The combination of trading rules I use determines the holding period, whereas for you the ratio of ATR to stop loss will determine your holding period. So there is never a potential mismatch in speed between entry and exit rules. The final source of extra performance is speed; you are trading very slowly, and although I generally advise people to slow down, there is likely to be some benefit from including some faster trading rules if you are only doing one trade per year (this also means your performance is going to be very similar to the underlying markets, so your 'information ratio' won't be very high). This is especially true if you are only using one rule per instrument, so you can get a diversification benefit from adding more. GAT