My Conservative System

Discussion in 'Strategy Development' started by tradestrong, Oct 19, 2007.

  1. Ok, I'm in the process of designing a completely automated system. My goal now is to have a conservative system that handily beats the historic performance of the market, while at the same time providing a smooth equity return in all markets.

    This is my first take. It's a VERY conservative system (goal 20-25% a year), so these gains aren't mind blowing by any stretch of the imagination, but I think the performance is solid nonetheless. It was only optimized for 1 year, so these P/L reports are virtually completely outside of the optimized time frames.

    This is the performance from 2000-2007:
  2. And this is the performance in the bear market of 2001-2003. Any comments would be greatly appreciated.

    This is strictly a long system. There are no shorts in the bear market.
  3. Ok, a few more statistics. Also, a bit more information. It's a weekly system, so the number of trades are reasonable. The number of trades is 1511 for the period 2000-2007. The P/L includes IB type commission structures, so that is already incorporated into the profits reported.
  4. Your pulling in alot of trades for a weekly system.
    About 150+ ??

    My weekly system trades about 30-50 times a year.

    Details are on my blog.

    Backtested performance was 34-39%p.a. on in-sample optimised data and 28-31%p.a. on the out-of-sample walk forward analysis.

    MaxDD about 7-8% in all tests.

    The peak to trough of the bearmarket the XAO (Australian All ordinaries Index) lost 18%. My system makes about 13%.

    Its a longterm trend following method which Iv just started trading live.

    And you would be suprised at how fast money compounds at 25%p.a. :D

    Especially if you add to your investment, pyramid into winning trades and pyramid profits to increase your capital base.

    Just a few questions:
    *What risk management technique are you using?
    I use 1.5% of total trade capital.

    *What markets do you trade?
    I trade the ASX only. Long only.

    *Do you use any leverage?
    I do not.

    *What software did you use for backtesting?
    I use MS and TradeSim.


    All the best with your trading.