Which strategy would you trade?

Discussion in 'Strategy Development' started by Eldredge, Nov 19, 2017.

  1. Eldredge


    I have four similar strategies that have fairly similar results. They all require the same capital, should have similar slippage (included in the number below), and the same commission expense per trade (also included). Over a five year period, I got the following results from back testing:

    Strategy 1: 799 profitable trades, 465 losers, 4 negative months, $2,400 draw down, and a longest losing/flat period of 95 trading days. This strategy earned $223,000.

    Strategy 2: 667 profitable trades, 291 losers, 3 negative months (all small losses), $2,300 draw down, and a longest losing/flat period of 33 trading days. This strategy earned $236,000.

    Strategy 3: 743 profitable trades, 310 losers, 0 negative months, $2,400 draw down, and a longest losing/flat period of 32 trading days. This strategy earned $187,800.

    Strategy 4: 566 profitable trades, 218 losers, 1 negative month, $2,300 draw down, and a longest losing/flat period of 28 trading days. This strategy earned $226,000.

    So, which one would you trade? Thanks in advance for your opinion.
  2. traider


    calculate the sharpe ratio, the best ones have high sharpe and most trades
  3. Robert Morse

    Robert Morse Sponsor

    What was the AUM in the simulation?
    What asset class is this?

    WIth this information, I'd pick 4 to run with real money.
  4. cvds16


    Easier would be to tell you which strategy not to trade. For me that would be the first.
    Can't you trade all the other strategies combined or do you need more capital for that ?
  5. tomorton


    You have diligently carried out back-testing over 5 years. But can you say which you would be able, confident, and happy to trade continuously - and to scale up - over the next 5 years?
  6. ironchef


    They are all profitable and since no strategy that back tested successfully guarantees future successes, I would trade all four going forward and use real money and real trades to down select.
  7. 4
  8. 4th,time in a draw down as a measure of robustness

    I would not trade any of them with real money

    At first i was sure this was over 5-8 months period,then i read your post again

    12 to 14 trades on average over 22 trading days period with 1% draw down from the final account balance.

    I would prefer more "rusty" strategy if i intended to trade it LIVE

    Your stops are just not realistic,my guess is you buy the dip in strong trending market.

    imho ,if logic behind the strategy was robust to my comfort level i would like to see higher draw down amount and more trades in longer time period tested.
  9. fan27


    What is the "theory" behind these strategies? For example, before I try to develop a strategy I first have a theory (i.e. after extreme selling, a bounce is likely which can be profited from).
  10. ironchef


    Can you kindly explain your logic?

    Looked to me OP's strategies trade about once a day for every day in a five year period? Total trades from 784 to 1264 depending on strategy. Each year ~ 250 trading days, so trading signals are either once every trading day or once every couple of trading days?

    Worst case scenario: Only 4 negative months out of 5 years, not bad at all? How many of us can claim such results?
    #10     Nov 19, 2017