# XAO backtest benchmarks for 2018-2020



## qldfrog (17 February 2020)

Dear all system builders, I toyed with the idea of having a repository of backtest or even paper/real trading results for various recent periods, to use as a rating/grading tool when developing systems of your own; what to beat, what to aim for or reaching for the sky;
Ideally if backtesting, please ensure you are do not have future leaks..however great the results are 
And we all know that backtesting will nearly always be different from real trading action so no point discussing this here
The rules:
Portfolio size $100k
Positions 20
Realm: All Ordinaries (XAO)
While my systems are weekly, dayly or monthly system results are welcome

The periods we will test are recent enough to mitigate the survivor bias and chosen to represent interesting market trends
01/07/18 to 01/01/19 : a 6 month  down period,
01/07/19 to 1/1/20: a 6 month  unstable period,
1/1/19 to 1/1/20 a full calendar year with great growth momentum overall


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## qldfrog (17 February 2020)

excel details attached
Hope it helps

systems 1 has been traded for a year next week with real world trading matching these back-tests but for a few mistakes from the operator,
system 2 started in August 2019
thanks to @Skate for these 2 systems initial ideas

123 system is under development and based on the 123 or ABC(D) indicator as discussed by @peter2 Many thanks

Still trying to see where my zigzag is wrong..too good to be true so paper trading to detect future leaks if any;
Thanks to @rnr !!!
Looking forward to work on the super-trend next (@Skate @peter2)

I welcome all similar entries  @Warr87?


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## Newt (17 February 2020)

Might be worth specifying standard commissions per trade and slippage for people to apply if sharing qldfrog.  For example, I'm trading with CMC with max $11 commissions, and apply 1.5% slippage for buy and sell.  Its surprising how even these mild but hopefully realistic handicaps can change a smooth equity curve to more realistic obstacle course  

I guess while on this line of thought, delays should be specified.  Will vary depending on strategy and time constraints, but I use 1 day delay on buy and sell.  If compounding returns (matters quite a bit after a few years), how many positions are targetted.

In Amibroker AFL:

//Slippage modelling:
BuyPrice = Open*1.015;
SellPrice = Close*0.985;

//Commisions for brokerage:
SetOption("CommissionMode",2);
SetOption("CommissionAmount",11);

//Trade delays:
SetTradeDelays( 1, 1, 1, 1 );

//Position Sizing and compounding returns:
Positions = 15;    //(or whatever)
SetOption( "InitialEquity", 100000 );
SetOption( "MaxOpenPositions", Positions );
SetPositionSize( 100/Positions, spsPercentOfEquity );


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## qldfrog (17 February 2020)

Indeed, my results were performed using a weekly system, 1 day delay, no slippage and $10 commission per buy/sell


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## Skate (18 February 2020)

*3 Actual trading strategies*

1. The CAM Strategy with StaleStop
2. The HYBRID Strategy
3. The PANDA Strategy

*Backtest Settings - 6 month down period*
Start Date: 1st July 2018 
End Date: 1st January 2019
Period: 6 months
Portfolio Capital: $100,000
Positions in the Portfolio: 20
Fixed Position Sizing: $5,000 (No re-balancing)

*1. The CAM Strategy with StaleStop*







*2. The HYBRID Strategy*
*






3. The PANDA Strategy



*
Skate.


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## Skate (18 February 2020)

*3 Actual trading strategies*

1. The CAM Strategy with StaleStop
2. The HYBRID Strategy
3. The PANDA Strategy

*Backtest Settings - 6 month unstable period*
Start Date: 1st July 2019
End Date: 1st January 2020
Period: 6 months
Portfolio Capital: $100,000
Positions in the Portfolio: 20
Fixed Position Sizing: $5,000 (No re-balancing)

*1. The CAM Strategy with StaleStop*
*






2. The HYBRID Strategy







3. The PANDA Strategy



*
Skate.


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## Skate (18 February 2020)

*3 Actual trading strategies*

1. The CAM Strategy with StaleStop
2. The HYBRID Strategy
3. The PANDA Strategy

*Backtest Settings - a full calendar year with great growth momentum overall*
Start Date: 1st January 2019
End Date: 1st January 2020
Period: 12 months
Portfolio Capital: $100,000
Positions in the Portfolio: 20
Fixed Position Sizing: $5,000 (No re-balancing)

*1. The CAM Strategy with StaleStop







2. The HYBRID Strategy







3. The PANDA Strategy




A full calendar year with great growth momentum overall*
The results above explains why I made the post below - (a small Portfolio size of $100k & $5,000 bets) multiply that 3 & 10 fold with re-balancing profits gives an indication what can be achieved. Bear in mind, when I win, I win big & when I lose I lose big, it's all relative.


Skate said:


> Bull Markets
> Getting into a trend is easier than most traders think especially in a Bull Market (last year was rip snorter). Timing the exit is another matter, that takes finesse. _*Any trader who is not rolling in it at the moment should be re-evaluating their strategy to understand why they missed a great trading opportunity*._ Sure, I'll be first to admit trading was bumpy at times in the last 12 months but a stalestop eliminates this stress. Winners don't seem to carry the same stress as losing trades. Weekly re-balancing of my position-sizing is another of my personal favourites by putting every dollar to work (soldiers should be out there fighting the good fight not laying idle in the barracks)



*Update - of my Hybrid Strategy*
The updated Equity Curve of my Hybrid Strategy is for the last 12 months. The chart confirms trading with the trend still works.




Skate.


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## Roller_1 (18 February 2020)

Newt said:


> Might be worth specifying standard commissions per trade and slippage for people to apply if sharing qldfrog. For example, I'm trading with CMC with max $11 commissions, and apply 1.5% slippage for buy and sell. Its surprising how even these mild but hopefully realistic handicaps can change a smooth equity curve to more realistic obstacle course




Sorry to deviate a bit but why don't you participate in the Opening auction to mitigate your slippage Newt? I just set a LMT order the night before (to sell) 5-10% below the closing price, then you get the opening price, i don't have any slippage issues.


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## qldfrog (18 February 2020)

@Roller_1  and if it helps @Newt
I do the same: ask abuy higher than previous close and a sell lower than previous close.
In most cases, it get acted on at the Monday open and I do not have any slippage
BUT
Bell Direct sometimes refuses my buy order as they are too high above the estimated open price and so might "tweak" the market.I asked the reason and it is a manually operator controlled action,
If I am deamed too high my order is refused and cancelled: I have had time when I wanted to by at X$ a share (around 2/3% above previous close) my order is refused at 9:30 Sydney time as too high and it actually opens around my X$ value 30 min later and I chase the price manually at X$+ to pass my order

so not an universal recipe,
I also have the case where I need to sell before buying as BD requires the money on the account before allowing the purchase ;
so once fully invested if I want to sell/buy lots I need to first sell then buy and so only the sells are slippage free, I have slippage on the buys

In conclusion, in the real world i have some slippage..sometimes so the slight divergence between backtests and real results


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## Warr87 (18 February 2020)

qldfrog said:


> View attachment 100439
> 
> excel details attached
> Hope it helps
> ...




You've called me out so I guess I have too now , haha.

I will try and post something on the weekend.


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## qldfrog (18 February 2020)

@Skate much thanks, your data is much appreciated 
giving targets which are achievable and emulating to work further and refine the systems further


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## qldfrog (18 February 2020)

Warr87 said:


> You've called me out so I guess I have too now , haha.
> 
> I will try and post something on the weekend.



That was the idea but only if you want to,
 one of my issue is the isolation: is that 20% gain on this period a great result or pathetic?  how can I know if I have no one to compare to? I can not expect stellar results but where should I put my targets
Hopefully these "benchmarks" covering various relatively recent periods will help not only me but others in the same situation


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## Warr87 (18 February 2020)

You are right. It is hard to tell what would be considered good or pathetic, particularly when you start out designing a system.


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## MovingAverage (18 February 2020)

qldfrog said:


> The rules:
> Portfolio size $100k
> Positions 20
> Realm: All Ordinaries (XAO)




That's a shame, I'm living trading a daily swing system but it uses a 20% position size so only max of 5 positions. Would like to post the results but doesn't meet your rules so I guess I'm out


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## DaveDaGr8 (18 February 2020)

Post it anyway .. Be a rebel !!!! .... I'm feeling like this forum needs a shakeup in MAE/MFE


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## MovingAverage (18 February 2020)

DaveDaGr8 said:


> Post it anyway .. Be a rebel !!!! .... I'm feeling like this forum needs a shakeup in MAE/MFE




that’s all the encouragement I need...I’m here to shake things up baby!!! Not sure why but I had George Constanza’s voice going on in my head when I was typing that out...hahaha. I’ll post my results tomorrow morning.


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## Newt (18 February 2020)

Roller_1 said:


> Sorry to deviate a bit but why don't you participate in the Opening auction to mitigate your slippage Newt? I just set a LMT order the night before (to sell) 5-10% below the closing price, then you get the opening price, i don't have any slippage issues.




No probs roller.  I put in Limit orders night before trading and generally get close to the Open too, but for aggressive stocks moving quickly you don't always.  I guess in answer to your question, 2 reasons:

1.  Model the small number of trades where you don't get the Open - not a huge issue for weekly trend trading but your slippage is always >$0 if you average it over the year, so better to have something in your model than be too optimistic

2.  Assist with an idea of what price to offer for next day's trading - so frustrating when you miss out, but frustrates me even more if I offer 5% or greater premium and price later recovers


Slippage modelling is admittedly much more important for short term trading (e.g. mean reversion).
I would challenge you to including a bit of slippage in your backtests - even 1% can make a surprising change to your final equity curve (not just lower - generally much more realistic "lumpiness").


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## qldfrog (18 February 2020)

MovingAverage said:


> That's a shame, I'm living trading a daily swing system but it uses a 20% position size so only max of 5 positions. Would like to post the results but doesn't meet your rules so I guess I'm out



Please post but highlight the daily factor, and whatever other specifics
So brokerage, fixed position size,etc
I am sure it will be of use.
looking forward to seeing this


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## Newt (18 February 2020)

Here are 3 backtests on the weekly trend system I'm currently trading:
All Ords universe, no slippage, $11 commissions, 20 positions, $100k starting, no compounding:

1/7/18 - 1/1/19


1/7/19 - 1/1/20




1/1/19 - 1/1/20


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## qldfrog (19 February 2020)

Much appreciated @Newt


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## julieta (19 February 2020)

qldfrog said:


> Much appreciated @Newt



Statistics | Charts | Trades | Formula | Settings | Symbols | Monte Carlo

*Statistics*
*All trades* *Long trades* *Short trades* *Buy&Hold (XAO)
Initial capital* 100000.00 100000.00 100000.00 100000.00
*Ending capital* 157805.00 157805.00 100000.00 120870.17
*Net Profit* 57805.00 57805.00 0.00 20870.17
*Net Profit %* 57.80% 57.80% 0.00% 20.87%
*Exposure %* 78.58% 78.58% 0.00% 100.00%
*Net Risk Adjusted Return %* 73.56% 73.56% N/A 20.87%
*Annual Return %* 58.20% 58.20% 0.00% 21.00%
*Risk Adjusted Return %* 74.07% 74.07% N/A 21.00%
*Total transaction costs* 2195.00 2195.00 0.00 43.90
*All trades* 50 50 (100.00 %) 0 (0.00 %) 1
* Avg. Profit/Loss* 1156.10 1156.10 N/A 20870.17
* Avg. Profit/Loss %* 23.58% 23.58% N/A 20.87%
* Avg. Bars Held* 90.82 90.82 N/A 254.00
*Winners* 31 (62.00 %) 31 (62.00 %) 0 (0.00 %) 1 (100.00 %)
* Total Profit* 64832.34 64832.34 0.00 20870.17
* Avg. Profit* 2091.37 2091.37 N/A 20870.17
* Avg. Profit %* 42.56% 42.56% N/A 20.87%
* Avg. Bars Held* 107.06 107.06 N/A 254.00
* Max. Consecutive* 11 11 0 1
* Largest win* 9175.43 9175.43 0.00 20870.17
* # bars in largest win* 251 251 0 254
*Losers* 19 (38.00 %) 19 (38.00 %) 0 (0.00 %) 0 (0.00 %)
* Total Loss* -7027.35 -7027.35 0.00 0.00
* Avg. Loss* -369.86 -369.86 N/A N/A
* Avg. Loss %* -7.40% -7.40% N/A N/A
* Avg. Bars Held* 64.32 64.32 N/A N/A
* Max. Consecutive* 5 5 0 0
* Largest loss* -846.93 -846.93 0.00 0.00
*# bars in largest loss* 41 41 0 0
*Max. trade drawdown* -3407.84 -3407.84 0.00 -7862.32
*Max. trade % drawdown* -25.86 -25.86 0.00 -6.39
*Max. system drawdown* -10059.34 -10059.34 0.00 -7862.32
*Max. system % drawdown* -6.09% -6.09% 0.00% -6.39%
*Recovery Factor* 5.75 5.75 N/A 2.65
*CAR/MaxDD* 9.56 9.56 N/A 3.29
*RAR/MaxDD* 12.17 12.17 N/A 3.29
*Profit Factor* 9.23 9.23 N/A N/A
*Payoff Ratio* 5.65 5.65 N/A N/A
*Standard Error* 10545.52 10545.52 0.00 2373.84
*Risk-Reward Ratio* 6.68 6.68 N/A 7.43
*Ulcer Index* 2.08 2.08 0.00 1.93
*Portfolio">Ulcer Performance Index* 25.44 25.44 N/A 8.07
*Portfolio">Sharpe Ratio of trades* 0.83 0.83 0.00 N/A
*K-Ratio* 0.12 0.12 N/A 0.13
*Expectancy (per $100 inv.)* 23.58

comsec 21.95 per trade buy high sell low in  amibroker settings delay 1


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## qldfrog (19 February 2020)

julieta said:


> Statistics | Charts | Trades | Formula | Settings | Symbols | Monte Carlo
> 
> *Statistics*
> *All trades* *Long trades* *Short trades* *Buy&Hold (XAO)
> ...



01/01/19 to 1/1/20?
Great numbers


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## Skate (19 February 2020)

Newt said:


> I would challenge you to including a bit of slippage in your backtests - even 1% can make a surprising change to your final equity curve (not just lower - generally much more realistic "lumpiness").




*As Nick Radge is often quoted*
As Nick Rage is often quote let's read what he has to say about slippage.

*Nick Rage -11% slippage* (Ouch)
_"The opening auction has many benefits which is key reason why we use it in our Portfolio. It is one of the most liquid parts of the day allowing a reduction in slippage (the difference between where you want to buy and where you actually buy). 

Lastly take into consideration the timeframe of the strategy and what impact the slippage has on the bottom line. Shorter term traders will be impacted significantly more by slippage and could be so adversely affected that the strategy can't actually generate a worthy return. If this is the case, then look at higher turnover shares, such as the ASX-100, head over to the US where liquidity is substantially higher, or diversify across multiple strategies where the allocation will be smaller. Longer term traders aren't penalized to such an extent as they're looking for moves in terms of dollars rather than cents.

Well, I did a little exercise recently. I went back through three years of my trading on the ASX and I calculated exactly my wanted buy points, my theoretical buy points according to my strategy, and my realtime buy points in the market. And on average, I was paying $92 per trade for the last three years on every single trade. In other words, *the slippage was costing me over 11% per annum*. So, not only did I have to overcome the commission drag, but the drag of the slippage meant that I had to be making more than 11% just to break even. And that’s way too much. Now, I was trading the top 200 stocks. So, it just goes to show how illiquid the Australian market is at this juncture. And if you’re going to scale this kind of a strategy, it’s going to blow up in your face"
_
Skate.


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## Skate (19 February 2020)

Newt said:


> Here are 3 backtests on the weekly trend system I'm currently trading:
> All Ords universe, no slippage, $11 commissions, 20 positions, $100k starting, no compounding:
> 
> 1/7/18 - 1/1/19
> ...




@Newt would you please repost the last graphic again (1/1/19 - 1/1/20) as the link is broken for me..




Skate.


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## qldfrog (19 February 2020)

Skate said:


> @Newt would you please repost the last graphic again (1/1/19 - 1/1/20) as the link is broken for me..
> 
> View attachment 100507
> 
> ...



3rd link seems ok on my phone but it might have been cached


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## Skate (19 February 2020)

Skate said:


> @Newt would you please repost the last graphic again (1/1/19 - 1/1/20) as the link is broken for me..
> 
> View attachment 100507
> 
> ...





qldfrog said:


> 3rd link seems ok on my phone but it might have been cached




@qldfrog, @Newt it's all good now the graphic is now showing for the (1/1/19 - 1/1/20) in Newts report. As it's important I'll post the backtest results again - I often refer back to previous posts.

Skate.


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## MovingAverage (19 February 2020)

Here you go. Back test results of my swing system. I've been live trading this for sometime but these are the back test results for the periods you've identified. These results are based on $100k initial capital, but each position is 20% of capital (not fixed position sizing) with a max of 5 open positions. I've based this on Bell Direct published commission schedule and I've baked in about a 3% slippage which is what my live trades have been running at. I should add that I hate looking at single back test runs as it gives you absolutely no insight whatsoever into a system's behavior and to get a better insight into how a system might perform you really need to look at Monte Carlo results, which is what I've done here. I hate Amibroker's MC analysis as it has several shortcoming so I tend to do my MC using TradeSim, but for simplicity of this thread I'm just including Amibroker's Equity chart for its MC output which in any event is better than just looking at a single backtest run in Ami.

*01/07/18 to 01/01/19




01/07/19 to 01/01/20




01/01/19 to 01/01/20


*


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## MovingAverage (19 February 2020)

qldfrog said:


> @Roller_1  and if it helps @Newt
> Bell Direct sometimes refuses my buy order as they are too high above the estimated open price




they do that to me if my buy is >5%


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## qldfrog (19 February 2020)

MovingAverage said:


> Here you go. Back test results of my swing system. I've been live trading this for sometime but these are the back test results for the periods you've identified. These results are based on $100k initial capital, but each position is 20% of capital (not fixed position sizing) with a max of 5 open positions. I've based this on Bell Direct published commission schedule and I've baked in about a 3% slippage which is what my live trades have been running at. I should add that I hate looking at single back test runs as it gives you absolutely no insight whatsoever into a system's behavior and to get a better insight into how a system might perform you really need to look at Monte Carlo results, which is what I've done here. I hate Amibroker's MC analysis as it has several shortcoming so I tend to do my MC using TradeSim, but for simplicity of this thread I'm just including Amibroker's Equity chart for its MC output which in any event is better than just looking at a single backtest run in Ami.
> 
> *01/07/18 to 01/01/19
> 
> ...



Point taken cf MC 
I usually look at the MC results for my systems as i stabilise toward a given code.
Thanks for your input: some good resilience there in neg markets


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## Newt (19 February 2020)

Skate said:


> *As Nick Radge is often quoted*
> As Nick Rage is often quote let's read what he has to say about slippage.
> 
> *Nick Rage -11% slippage* (Ouch)
> ...




Wow.  I had been wondering about putting an extra column in my Excel trading spreadsheet and digging back for this Open price versus filled price.  Actually quite shocked at this Radge info.  Now thinking Its a must do.  Could see from my 1 year foray into MR reversion trading just how detrimental slippage was, particularly in stocks in "rebound mode".  

Looking on the positive, we should consider how fortunate we are that trading costs keep coming down (commissions etc).  Sure we have a long way to go in Aus versus US but hopelly the direction is down.  

Hadn't ever considered possible slippage benefit for daily/weekly trend following in US markets versus Aus though.....


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## Newt (19 February 2020)

I spent quite a bit of time last night running backtests for your thread Qldfrog, and frankly was more than a bit peeved how poor the returns were on my Amibroker reports.  After checking there were no obvious coding errors while implementing the standard stock universe (All Ords), slippage, number of positions, compounding etc decided to sleep on it.

Occured to me today that unfavourable or unexpected results from any experiement (in science or financial endeavours) means you're probably about to learn something new   If anyone else learns something that should be in the spirit of what ASF is about too.....

Skate posted quite a few backtests in the Dump it Here thread yesterday morning that got me thinking.  
https://www.aussiestockforums.com/threads/dump-it-here.34425/page-119
(posts 2379 and 2380)
CAM appears to be not too far distant from the weekly ASX system I'm running that I would hope to be "in the ball park" with not to dis-similar returns.  PANDA seems out of my league, so I'll just pretend it doesn't exist for now  

For the period 18/2/17 through 18/2/20, off $100k starting with no slippage, no compounding the backtest was as below.


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## Newt (19 February 2020)

How could the shorter backtest periods Qldfrog suggested/requested be so different to the returns above over 3 years?  Some facts and thoughts, and background on the niche I feel my system occupies:

- Trades full ASX universe, not just All Ords - providing conservative liquidity requirements met
- I have a strong suspicion this is a slight edge - my trading is like my driving - I don't like to change lanes a lot but we all like to be in the lane that is moving best.  Skate (and probably many others here) may be more nimble getting into All Ords trades early, but hopefully by the time a stock is in the ASX500 and trending I already have a position some time ago before it entered the All Ords universe
- System is set up to enter after a decent trend has established - I've tried to force earlier entry criteria but they always hurt final performance
- System is set up to hang on to trending stocks as long as possible - there certainly is no stale filter in there - but still cuts losses and tries to lock in profits with initial % stop and trailing ATR stop
- Entry criteria requirement significant volume, new highs, trend and other conditions - net effect is my total number of trades generally much less than other active systems (100 versus almost double that for Skate's stale stop modified CAM in post 2380)
- My ego likes to see some outlier large stocks ("multi-baggers"), and my lazy side is happy having less buy and sells to do

A more important effect of this "fussy" trade selection into less trades is that the system takes time to assemble a full number of positions, and I consistently find in backtests 15 positions performs better than 20 or more.  For the 1/1/19 to 1/1/20 backtest the system was still only 60% invested in June.  Over longer periods the system will frequently hang on to trending stocks that flatline (but don't track downwards) during prolonged ASX downturns. 

The system I'm describing is probably closer to skate's "non-stale stop" CAM - chases higher returns with less trades but at cost of greater return variability (lower Sharpe, larger and longer DDs).


So, in conclusion:
- I was surprised (and not so surprised) at how bad backtests were on periods < 12 months
- I don't _think_ my system is over-optimised - I'll know for sure in 10 years or so  
- Annual return above (previous post) closely reflects my actual returns through 2019

Lies, damned lies, and statistics!  So much to learn from backtests, and great thread idea QF, but hopefully some of this shows how hard it can be comparing apples and oranges.


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## qldfrog (19 February 2020)

Newt said:


> How could the shorter backtest periods Qldfrog suggested/requested be so different to the returns above over 3 years?  Some facts and thoughts, and background on the niche I feel my system occupies:
> 
> - Trades full ASX universe, not just All Ords - providing conservative liquidity requirements met
> - I have a strong suspicion this is a slight edge - my trading is like my driving - I don't like to change lanes a lot but we all like to be in the lane that is moving best.  Skate (and probably many others here) may be more nimble getting into All Ords trades early, but hopefully by the time a stock is in the ASX500 and trending I already have a position some time ago before it entered the All Ords universe
> ...



I think it could be worthwhile for me to run..and share..my system on this 3y period as well 
As you Newt, my system1 takes a long time to ramp up while system2 is designed to be more dynamic.
It will be intesting to compare these with the 3y period


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## qldfrog (20 February 2020)

18/2/17 through 18/2/20
System 1:


System2:


123 reverse:



The surprising thing is how similar these 3 systems are whereas they have much difference on a shorter timeframe
basically 20% annual return 25% if risk adjusted
The own flipper zig  modified still under investigation returns 63% annual with nearly 90% adjusted
I really pray it is future leak free as this could be a winner
I noticed in the previous one nearly 60% losers whereas I would have expected a 60% winners so that gives me so lead on how to improve


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## Skate (20 February 2020)

qldfrog said:


> The own flipper zig  modified still under investigation returns 63% annual with nearly 90% adjusted
> I really pray it is future leak free




If Tomasz Janeczko, developer of AmiBroker can't code a ZigZag strategy without a future leak what hope is there for us
Read here: http://traders.com/Documentation/FEEDbk_docs/2003/11/TradersTips/TradersTips.html#amibroker




*Here is the problem with the The ZigZag indicator in a nutshell*
@qldfrog the ZigZag indicator identifies pivot points but looks into the future – (beyond the right edge of the chart) in doing so "guaranteeing a future leak"

*The ZigZag function can be misleading*
The ZigZag function is one on those indicators that can be misleading because it accurately pinpoints the "Tops and Bottoms" of a stationary price range. Traders have a habit of falling in love with indicators & the ZigZag indicator is no exception. Often the technical guys will search for an indicator that will give them an edge & when traders stumble across the ZigZag indicator they believe they have just found it, as it backtests very well. (@qldfrog - most times too well).

*Reality is a bit different*
The ZigZag indicator "repaints" with the arrival of additional data. In other words, the indicator changes the most recent “Top or Bottom” in order to reflect the new price data, the previous signals are now long gone as the market moves on. Backtesting works on static data!

*Is the ZigZag indicator worthless?*
No, the ZigZag indicator isn’t worthless, far from it. The ZigZag indicator can be used quite effectively for analysing past data & creating very good setups for many strategies - just not in the way most believe. There are many ways that this indicator can be used effectively.

*It's being traded successfully*
Well done @rnr a member who has a proven tradable version of the ZigZag indicator but for me & I've tried hundreds of ways trying to overcome repainting of signals with ZERO LUCK.

*I now have a 20% Flipper with NO Future Leak*
I have a 20% Flipper Strategy coded without using a ZigZag indicator, thus no future leak




Skate.


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## qldfrog (20 February 2020)

understood ,
but 
if you consider the let's say last n bars, you can find the zigzag point up to that point in time, easy
this gives you a list of candidates, you can select some 
then when the next bar comes next week, sure the zigzap might recompute and a previous low may not be a low anymore but this is where your exit criteria can play for you to eliminate candidates
The issue is:  it is hard/(impossible in AB?)  to backtest : you would need a kind of "progressive/incremental backtest engine", bar by bar
Between some hacks for the graphic part, help from @rnr and own tweaking, I think I might be on something;
I am paper trading it and weekly check that the previous weeks explore results are preserved.
so far so good
I will try to move the same code on a daily timeset to speed the future leak check
Anyway, looking for the philosopher's stone is what brought modern chemistry, we all need a holy grail
And as discussed I need a bit of paper trading before committing money there


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## Warr87 (20 February 2020)

My CAM system:

6 month down




6 month up




full year



*
My MAP system*

6 month down



6 month up



1 year




*My super trend strat (tested on weekly but paper trading monthly right now)*

6 month down



6 month up




1 year





An EMA system that I developed by haven't really played around with. Will fine tune later. No name for this system yet either, for the moment I will call it my EMA/ADX system

6 month down



6 month up




1 year


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## Warr87 (23 February 2020)

I ran my EMA ADX system against a few different time frames. It does have an average of 60-70% in a few time frames but seems to be dependent on the market trend. 

I also don't know how everyone was able to print screen all of the results for backtests. Shame there isn't an easy export option for the backtest reports.


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