Would you trade this system??

Discussion in 'Strategy Building' started by condorll, Sep 20, 2005.

  1. Here are my results.
    1 year backtest
    non optimized
    Basket of 100 stocks, hold max 5 at a time.
    Long only.

    Experts have any advice?

  2. Whoops, here is the file
  3. Something doesn't add up...84 trades in a year, on a basket of 100 stocks? And then 24 consecutive winners?

    Non-optimized? Long only IS optimization in and of itself!

    Is this done on daily or intraday data?

    A portfolio equity curve would help immensely.
  4. Long only, no...but with the slim inventories and the shorting rules, I might reconsider...if I went back to trading equities.

  5. It is a swing trade system based on EOD Data, buy next day at open after signal fires, trade duration is average 2 weeks.

    I know it is long only but the trading math has not been optimized. I am using a basket of very strong stocks, shorting these would be foolish. (Not withstanding hurricanes of course)

    I will try to post an equity curve.

    Thanks for your input.
  6. Here is the equity curve.
    The individual stocks equity curve is the middle pane and the Portfoilio total equity is the bottom pane.
    I have applied 20 day SMA's to both.
  7. nice results

    Which year did you do the backtest on?
  8. Is the 'system' also in charge of selecting those 100 stocks?

    How did it do 1 and 2 years ago?

    Equity curve looks good, btw.

  9. September 19, 2004 to Sept 20, 2005
  10. Did most of the profits come from one or 2 huge winners..that could be a weakness.
    #10     Sep 24, 2005