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Hi all,


Thanks everyone for your contributions to this thread, so much interesting information and discussion!


[USER=57364]@Skate[/USER], I hope this post fits within the dump it here ethos.


I've been back testing a version of a BBO from unholy grails (nothing new here haha) and have made some modifications to it to lower the draw downs I feel quite significantly. I was hoping to get some pointers and/or constructive criticism of the backrest report or things I should consider to determine if this strategy is robust? I appreciate there is a limit to information in the backrest report.


At a high level the system:

- buys a Bollinger bands break out

- exits when the lower band is broken or exits with a market filter

- uses a trailing stop that also changes tightens with a market filter


Back test details:

Start: 100k

Positions: 2% of equity, haven't limited max open positions

Commissions: 0.25% to allow for some slippage

Universe: norgate platinum ~1992 to present all ords including delisted


Current thoughts:

1. Trade volume is high, ~1 per day

2. Winners don't run, I think this is linked to the low DD characteristics but investigating it

3. It didn't open new trades Feb-Jul 2020 which I'll like to try improve.


I've gained so much from this forum over the years of lurking, hopefully this can be useful to others as well.


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