Would you trade this strategy ? Makes 180% in 5 months

Discussion in 'Trading' started by zanek, May 5, 2013.

  1. zanek


    The strategy wins 60% of the time, loses 38% of the time (the rest are scratch trades).

    However, in a bear market it loses a lot ( almost 30% at times) ?

    The biggest loser is about 9% in one trade

    Oh, and I've made 47% in the last 10 days trading it, so I know the timing/backtesting matches up with the real market.

    Would you trade a strategy that does horrible in a bear market ?
  2. piezoe


    I wouldn't trade it in a bear market.:D
  3. toc


    if it is options and other derivatives then i would be out of it fast :D
  4. Please post KPIs like sharpe ratio, std dev, max dd etc for proper evaluation. And post equity curve if possible.
  5. Well if you know it is performing bad in bear market then why you trade in such market conditions. Simply wait for the trend to shift in bull market again and then trade. You can increase your winning ratio.
  6. It depends on what you're trading and what the market looks like. If you're trading options, then you're best off in either a bull market with a VIX that is stable or slowly falling. If it's a bear market, you're best off with a VIX that is rising or stable. So basically you're best off when volume in the underlying isn't falling (because the IV of the options will tank, causing the prices to crash).

    If I am doing a bear position (long puts) I look to get in before there has been much move.

    Remember, long calls gain more from the lower IV and lower IV decay rates holding the options stable (while the underlying rises) while long puts gain from a rise in IV more than from the fall of the underlying.

    Personally, I have a more volatile book (took a 40% cut between Thursday and Friday, now back to where I started Friday, with tomorrow to recover Thursday's losses) but accept it due to significantly higher returns (~25%/position before commissions).
  7. Ten days time is way too short a time period to make or draw any conclusions about any trading method or strategy. If you back tested for ten years you cannot draw conclusions from 10 days.

    To avoid the confusion of “bull” or “bear” I measure the periods of volatility during my back testing so I know how to define normal trading conditions. In some high volatility conditions in “bull’ markets I shut my strategies off. For example the next pullback in this “bull” market may be the equivalent of your “bear market” with your strategy and wipe out your profits. Then you will be left wondering about your system.
  8. Lucrum


  9. swcom


    Simple logic would dictate that, and please correct me if I am wrong here - your current strategy is a Bull strat?

    If so, then why not create a strategy that performs well in bear markets also? Or just invert all your logical operators across the board and label it "bearStrat.ext"

    Kidding, but this hypothetical bear market strategy may be needed soon, so create, develop | test | backtest | deploy | retest | refine | rework, and be ready for the next theater of battle because we need you to help us fight the HFT's (I am of course kidding - that's all they talked about on CNBC today.)

    George says" I can't quit now - they got a hold of me . . ."
  10. swcom


    BTW - Nearly triple in 5 mos is great, but I forgot to ask - how are you calculating your strat? What metrics are you using for your calculations?
    #10     May 7, 2013