Highest Annual return

Discussion in 'Automated Trading' started by printz0r, Jan 19, 2012.

  1. printz0r


    Hi, I'm new to the forum. I started reading scientific method technical analysis 2 weeks ago and decided to write an algorithm.

    With a 5 to 1 leveraged account, I am returning 20-40% a year from the spy for the past 10 years. The account has to be leveraged because of the buying strategy. The algorithm is based on swing trades & not FFT.

    What are typical annual returns for you guys?
  2. schemer


    20% with 5 to 1 leverage is not great. Are you trading options?
  3. Bowgett


    This is low for that kind of leverage.
  4. I don't fully agree with schemer and Bowgett.

    Trading with a high leverage does not automatically mean that you trade with higher risk and therefore should get higher returns.

    In fact there are many traders that trade with higher leverages (up to 1:200 in Forex) and have smaller annual returns.

    But be cautious, the annual return from a backtest is ussualy a lot higher than one can expect in real trading. Dividing the returns by 2 and multiplying the drawdowns by 2 will be closer to reality most of the time.
  5. printz0r


    That's what I thought because my algorithm is super simple and just based off one technical indicator. I wrote another program to not leverage, and its only returning 8-15% on good years.
  6. schemer


    I didn't say anything about higher risk. My point was that if you are leveraged 5 to 1, 20% return is not great. But, it all depends on the strategy and your objectives.
  7. 007Arb


    Why don't you come back when you have these returns with real money for say two to three years or longer. The average hedge fund returns with real money over the past 20 years is something like 12% per annum on a compound basis.
  8. @ schemer: Yes I agree, it all depends on your objectives.

    Take a look at the MAR ratio of your system with and without leverage. The MAR ratio is calculated by dividing the CAGR by the largest drawdown since inception on the strategy.
  9. jcl


    I found it very difficult to achieve a return in excess of 50% .. 100% with standard indicators.

    It's another matter when you use adaptive filters. I have a multi-asset strategy that uses frequency filters and gets 250% risk adjusted annual return, but I think even higher returns are possible with more sophisticated algos.
  10. @jcl: Are you talking about live results with real money or results from backtests?
    #10     Jan 25, 2012