This is the Profit Distribution of all trades from the May 08 highs, to the March 06, 2009 low. Note that the bread & butter of profits are in the 1-5% range, with +- outliers basically cancelling each other out.
DDE links is old technology and it is slow. I have since updated to use XLQ, which is a third party excel add-in. This should now allow you to input 1400 with no lag at all, provided you are using a feed that is compatible with XLQ. I switched from pulling 1000 names using DDE to XLQ and I can say that there is significant reduction in lag and as well as crashing.
Very impressive Rol. This is certainly a strategy that all of us would want in our portfolio. I'm sure I'm not alone in hoping that you divulge more of your secrets... Obviously you will get some heat in a bear market but it seems like you're managing to stay out of trouble even when the general indices are falling. Of course you always need to be aware that the past may be different from the future, but what you have done is buy yourself time to find some new strategies. I think the ideal setup for all of us is to have 3-5 different strategies, each with an edge and not too correlated with each other, so that even if performance if one of them tails off, you have others in the toolbox that will compensate. I had a feeling that lescor's journal might be of interest to you, so I'm not surprised that you've read it. You beat me to it, I was going to mention it.
Looking back at the chart I see there is a 40% drawdown around fall of 2008. That is about the worst case scenario I would guess, as this was not even a typical bear market, it was brutal. Infact, a drawdown of this magnitude is quite common in trend following systems (I know yours is not trend following), and the key to long term success is managing risk and emotions. Not to be a kiljoy but the last eighteen months have not been normal, in the sense that Bernanke's QE and global easing have created a one way ''steam train'' bull market. I think you are right not to worry about market direction on a day to day basis, otherwise it will be hard to follow the system, but that doesn't make it easy to withstand a 40% drawdown when it comes. IF you do get a drawdown of a similar magnitude in the next year or so, do not throw this system away! Keep a cool head, and realize that very few systems work in every market environment. It seems clear to me that there is a significant positive edge with this strategy. Don't get complacent, keep working hard to find edges with other strategies, and you may even stick around in this business... Bottom line, well done.
Thanks for the input benwm. I think this journal will help me stick it out thru the difficulties. Today I experienced a 10% intraday drawdown. I knew I was pushing the envelope with the number of open positions I was allowing. I will scale that down a bit. The market action the past couple days has been a good stress test of my system. I know my equity will not just go up in a strait line. It will experience periods of doing great, good, not so good, and horrible. When my equity gets higher, I will likely deploy it into additional strategies. I think a Holy Grail system is not one that is 100% correct all the time. Then it would become too obvious to the masses, and stop working. A Holy Grail system should have a definite statistical edge, but when looked at casually by an observer, should not appear able to work. Moreover, it is an even better system if the average person still cannot make it work in spite of knowing the rules.
I agree with this statement. Very true.. Have you thought about your next backtesting project? I'm new to backtesting, but I'm thinking of purchasing Amibroker since it's cheap and will hopefully be a good learning tool. Although it seems to be more tailored for stock trading than futures trading (my interest).
DGunz Please could you tell us more about your setup and XLQ? I had never heard of XLQ before. How much faster is it compared to DDE and is it easy to use? Do you use any backtesting or autotrading software in conjunction with Excel? Thank you in advance.
I'm not an expert and am in fact quite novice but if you want to know... XLQ is an add-in that will allow you to pull into excel a feed like DTN.IQ or IB's feed without using DDE. Yes, it is a lot faster. Please google it if you want to know more. I use matlab and VBA scripts\excel for testing. For execution I use VBA\excel to load orders to my front end platform,which at the time happens to be Sterling.