# Signs of a broken system?



## C0ncrete (15 May 2013)

I'm slowly picking up certain aspects of statistics that make me look twice and questions some systems results ie abnormally high profit rate, such as 9.

What I am after is a set of eyes over my Amibroker results for my system, to see if anything is amiss.

My universe is all Fully Paid Ordinary shares on the ASX, around 2100 stocks total. I've tested against delisted.













My concern is that my CAR is quite high, but my max DD quite low. Are these type of daily trend following systems capable of results such as these?

Please be aware, the top pic is 1000MC runs whilst the second image is a single back test

Thanks


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## Gringotts Bank (15 May 2013)

My momentum system is almost identical in shape.  Without slippage - CAGR =  22.7%  This is from May 2000 to present.  Starting capital 100k.


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## C0ncrete (15 May 2013)

Whats your max draw down on that one mate? Doesn't look too dissimilar to mine.

What universe are you testing against?

thanks


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## Gringotts Bank (15 May 2013)

C0ncrete said:


> Whats your max draw down on that one mate? Doesn't look too dissimilar to mine.
> 
> What universe are you testing against?
> 
> thanks





Max system DD:  -17%  (Max trade DD:  -47%)
Any stock that meets the criteria.  ASX.

When I said CAGR, I'm not sure of the strict definition there.  What I mean is, the position sizes are fixed (10-20k depending on turnover) so there's still a heck of a lot of cash unused in that Eq curve especially on the right hand side.


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## C0ncrete (15 May 2013)

Rightio, so am I over reacting regarding the results?

They don't seems to "out there" it seems


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## tech/a (15 May 2013)

Looks pretty standard to me.


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## Gringotts Bank (15 May 2013)

C0ncrete said:


> Rightio, so am I over reacting regarding the results?
> 
> They don't seems to "out there" it seems




The results aren't that good really.  It's one of the best systems I've ever developed (the other is a MR one with better stats again), but once you take some slippage into account and annual tax, there's not much left.  Which is why i don't trade either system.  I probably should, but I don't.


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## C0ncrete (15 May 2013)

Was expecting more pain!

Back to fiddling around


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## CanOz (15 May 2013)

Concrete, those results are very good for a non compounded ASX system. If it were a US universe then i wouldn't be suss, but on the ASX its worth getting someone to have a look.

Run it using 5% of equity and let us have a look will ya?

CanOz


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## Gringotts Bank (15 May 2013)

C0ncrete said:


> Was expecting more pain!
> 
> Back to fiddling around




Well I worked for ages on mine, and I felt like I'd reached some sort of end point as far as breakout/momentum EOD systems are concerned.

In terms of system trading, the bigger money is in:

-- trading more liquid instruments so things are scalable (and not 3/4 cash like my system above), and ...
-- intraday trading

So try to develop something that only trades top 20 stocks, or futures or forex.  Maybe have a look at Camarilla levels for intra-day trading.

[edit: yeh imine isn't CAGR at all, not sure why i said that]


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## C0ncrete (15 May 2013)

CanOz said:


> Concrete, those results are very good for a non compounded ASX system. If it were a US universe then i wouldn't be suss, but on the ASX its worth getting someone to have a look.
> 
> Run it using 5% of equity and let us have a look will ya?
> 
> CanOz




Will do..

Regarding the universe, it is quite large now that I am trading all FPO's on the asx. This is obviously in comparison to the XAO which only lists about 490 stocks at any given time.


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## C0ncrete (15 May 2013)

Theres a typo in the spreadsheet as well.

It shouldnt be $5000 max it should be 5% of portfolio


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## Gringotts Bank (15 May 2013)

C0ncrete said:


> Theres a typo in the spreadsheet as well.
> 
> It shouldnt be $5000 max it should be 5% of portfolio




What position size(s) are you taking?  And are these ok when compared to the sort of $turnover you might expect in your chosen stocks?  How are you filtering that?

Slippage is always a lot higher than one might expect.  Especially if your system sells at open.  Then again, momentum systems have longer hold times so that's helps reduce its impact.  Slippage of 1% reduces my annual return by about 1.5%.


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## CanOz (15 May 2013)

I don't know about you Concrete, but i only run it against the All Ords...


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