UPDATE : First month of trading this system is behind me. I'm up 7% for August. I know it doesn't mean anything, but I'm glad that it didn't start with a drawdown. Slippage settings I used in testing were way overestimated. In fact, I had no slippage at all on over 20 trades I undertook last month. That alone should bring large improvement over simulated results I posted. Before I started live trading I spent a great deal of time forming the rules which stocks can even be considered for long/short trading portfolios which led to large modifications of the portfolios on which I tested the strategy. Modified portfolios now include more stocks spanning more industry sectors (portfolio modifications reduced max. simulated drawdown and unfortunately net profit, but it improved max.drawdown/net profit ratio, enabling me to increase size and improve profits without taking on additional risk). Also, during testing I determined position size based on my assumptions that I will get 2:1 margin, instead I got 4:1 and now more than half my money is unused. Because I cannot just increase my position size I plan on developing a third system to complement these two, but I'm finding it hard to come up with an idea that is worth the trouble and time needed to develop a system around
Congrats, What was your ratio of Longs to Shorts during this time? Was the profit distribited evenly throughout all your trades or do you have some trades that were significantly large profit makers or losers? This info might help you to further understand the risk profile of your system... -Neo
Only five of the trades were short. Profit distribution was more or less equal over all of the trades, ranging from 1% to 2% Equity. Risk on all of the trades was less than 1% .
I don't want to turn this thread into a log so i'll keep it short. I'm up 10% since starting, but no long trades at all were signaled/taken during the whole of October and most of September. I don't know if I mentioned it earlier but both long and short strategies have a kind of protective mechanism which suspends all signals until market conditions become favorable again. That protective mechanism for long strategy kicked in by the start of September and remained active until a few days ago. Since my long/short trade ratio usually is around 6:1, you can see why there were just a few short trades (mostly winning ones ). It now seems that the overall strategy works, it needs an uptrend to bring any serious money, but it seems that it works.