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[ATTACH=full]107256[/ATTACH]

There is renewed interest in the "Weekend Trend Trader"
[USER=13908]@peter2[/USER] stated: "Like all trend following systems it needs bullish market conditions to show it's best results. It will struggle to produce profits when markets go sideways and will produce large drawdowns in bearish markets". sparked my curiosity. How would have the "WTT" strategy handled the COVID-19 flash crash?

The "WTT Strategy" Backtest results
Backtest period = 1st January 2020 to 30th June 2020
Portfolio size = $300k
Positions = 20
CBA Commission rate = $29.95

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Summary
The original WTT backtest results are not that bad considering. Peter nailed it with his summarization of a trend trading system highlighted above. The results are not as bad as [USER=45469]@CNHTractor[/USER] original backtest using a small portfolio size of $20k

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I'll make a few modifications to my original WTT strategy & I'll post the results in the next post.
[USER=45469]@CNHTractor[/USER] wanted to see if there were improvements that could be squeezed out of the WTT Strategy. With most strategies, there is always improvements to be squeezed out - even if they are not visible at the time of development.

Skate.

<blockquote data-quote="Skate" data-source="post: 1087574" data-attributes="member: 57364">[ATTACH=full]107256[/ATTACH]There is renewed interest in the &quot;Weekend Trend Trader&quot; [USER=13908]@peter2[/USER] stated: &quot;Like all trend following systems it needs bullish market conditions to show it&#039;s best results. It will struggle to produce profits when markets go sideways and will produce large drawdowns in bearish markets&quot;. sparked my curiosity. How would have the &quot;WTT&quot; strategy handled the COVID-19 flash crash?The &quot;WTT Strategy&quot; Backtest resultsBacktest period = 1st January 2020 to 30th June 2020Portfolio size = $300kPositions = 20CBA Commission rate = $29.95[ATTACH=full]107257[/ATTACH]SummaryThe original WTT backtest results are not that bad considering. Peter nailed it with his summarization of a trend trading system highlighted above. The results are not as bad as [USER=45469]@CNHTractor[/USER] original backtest using a small portfolio size of $20k[ATTACH=full]107258[/ATTACH]I&#039;ll make a few modifications to my original WTT strategy &amp; I&#039;ll post the results in the next post.[USER=45469]@CNHTractor[/USER] wanted to see if there were improvements that could be squeezed out of the WTT Strategy. With most strategies, there is always improvements to be squeezed out - even if they are not visible at the time of development.Skate.</blockquote>

[QUOTE="Skate, post: 1087574, member: 57364"] [ATTACH=full]107256[/ATTACH] [B]There is renewed interest in the "Weekend Trend Trader" [/B] [USER=13908]@peter2[/USER] stated: [I]"Like all trend following systems it needs bullish market conditions to show it's best results. It will struggle to produce profits when markets go sideways and will produce large drawdowns in bearish markets". [/I]sparked my curiosity. How would have the "WTT" strategy handled the COVID-19 flash crash? [B]The "WTT Strategy" Backtest results[/B] Backtest period = 1st January 2020 to 30th June 2020 Portfolio size = $300k Positions = 20 CBA Commission rate = $29.95 [ATTACH=full]107257[/ATTACH] [B]Summary[/B] The original WTT backtest results are not that bad considering. Peter nailed it with his summarization of a trend trading system highlighted above. The results are not as bad as [USER=45469]@CNHTractor[/USER] original backtest using a small portfolio size of $20k [ATTACH=full]107258[/ATTACH] [B] I'll make a few modifications to my original WTT strategy & I'll post the results in the next post.[/B] [USER=45469]@CNHTractor[/USER] wanted to see if there were improvements that could be squeezed out of the WTT Strategy. With most strategies, there is always improvements to be squeezed out - even if they are not visible at the time of development. Skate. [/QUOTE]

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