Mechanical Trading System for the Leveraged ETFs

This is another system that I want to forward test. It trades the following Leveraged ETFs:

BGU BGZ DDM DIG DXD EDC EDZ EEV ERX ERY FAS FAZ SKF SRS TNA TWM TYH TYP TZA URE UWM UYG

It uses a stoploss of 10% and the position size is 3% of the total equity. As the entries and exits are on stop orders, the slippage was increased to 0.2% during backtest along with $10 per side commission. The system can trade both long and short, but because I have had difficulty getting short orders filled, I am going to use the long only portion only. The long/short are also profitable.

Here are the backtest results using a starting capital of $100k and the most recent 2 years of data. Most of the ETFs used are fairly new and don't have long history, and that does raises a red flag. This system appears to have smaller capital requirements. It is currently under a drawdown.

Long + Short Buy & Hold
Starting Capital $100,000.00 $100,000.00
Ending Capital $234,925.07 $58,127.53
Net Profit $134,925.07 ($41,872.47)
Net Profit % 134.93% -41.87%
Annualized Gain % 53.72% -23.90%
Exposure 30.93% 99.73%

Number of Trades 1,820 22
Avg Profit/Loss $74.13 ($1,903.29)
Avg Profit/Loss % 0.79% -42.71%
Avg Bars Held 1.73 502

Winning Trades 994 4
Winning % 54.62% 18.18%
Gross Profit $519,573.39 $12,040.37
Avg Profit $522.71 $3,010.09
Avg Profit % 6.12% 67.42%
Avg Bars Held 1.75 502
Max Consecutive 23 N/A

Losing Trades 826 18
Losing % 45.38% 81.82%
Gross Loss ($384,648.32) ($53,912.84)
Avg Loss ($465.68) ($2,995.16)
Avg Loss % -5.62% -67.18%
Avg Bars Held 1.71 502
Max Consecutive 16 N/A

Max Drawdown ($33,769.48) ($58,148.67)
Max Drawdown % -15.19% -53.16%
Max Drawdown Date 8/13/2009 7/8/2009


Profit Factor 1.35 0.22
Recovery Factor 4 0.72
Payoff Ratio 1.09 1
Sharpe Ratio 1.89 -0.81
Luck Coefficient 9.27 1.74
Pessimistic Rate of Return 1.23 0.09
Equity Drop Ratio 0.05 -0.43

 

No signals for this day.

 

I realized that this system needs the opening price of the day, and hence won't generate orders the night before. Hence, I won't be following this system here as I can only access the system during evenings.

Sorry for the inconvenience.