Derivative 1 per $50,000 2012 year end returns 10.8% drawdown from HWM -23.02% 2013 year end returns 17.7% drawdown from HWM -5.09% 2014 year end returns 34.3% drawdown from HWM -9.0% 2015 year end returns 9.9% drawdown from HWM -4.0% 2016 year end returns 13.5% drawdown from HWM -0.02%
looking at a very simplistic approach.. trading futures just using daily data. Its tedious collecting the data for different instruments.
backtesting system to validate and forward testing using different macro futures.. gold/usd/30 year...
Just trading 1 contract per 50K ..testing on 3 futures .. returns don't factor in interest earned. Only trades a few times a year. Uses daily data for entry on opening range of the next day from signal generation. From high water mark, equity can hit -30% DD but on the whole recovers by the end of the year. Derivative 1 - Gold Derivative 2 - US 30 year bond Derivative 3 - Yen
Derivative 4 - Copper 2012 -46 -58 2013 10.1 -7.92 2014 -6.4 -25 2015 22.4 -9 2016 -4.6 -27.3 pretty bad numbers for this, but put it into the above basket for diversification.