Expected returns from a TA system

[Synergy]

Just wondering what sort of returns i should be looking to achieve from a short term (say a 7 day hold avg) end of day based TA trading system.

What sort of returns are others getting? Is 50% PA a reasonable goal to set in current market conditions or should i be looking for higher?

I have a system that is starting to look promising, but I have nothing to compare to...

 

[wayneL]

Just wondering what sort of returns i should be looking to achieve from a short term (say a 7 day hold avg) end of day based TA trading system.

What sort of returns are others getting? Is 50% PA a reasonable goal to set in current market conditions or should i be looking for higher?

I have a system that is starting to look promising, but I have nothing to compare to...

Anywhere between -100% to +1000%

 

[legs]

Anywhere between -100% to +1000%

Gee thats a great response... accurate too.....

 

[Synergy]

fantastic! I'm within the expected range...

I know theres no answer but i'd like to get an idea of what other people are getting from their systems.

Cheers

 

[tech/a]

Waynes basically right.
But I'll see if I cant be a little more accurate.
So lets say we are not interested in those that make a loss.

Short term systems I have seen that produce profit,range from
20% to 80% P/A

Long term generally fall in the 20-35% but have seen 45%.P/A.

Combine these returns with COMPOUNDING OF PROFITS into Capital
PYRAMIDING into successful trades,and LEVERAGE and these figures relative to initial capital go through the roof.

With the system I have on the net Techtrader

http://www.thechartist.com.au/forum/ubbthreads.php?ubb=postlist&Board=53&page=1

Since inception 4.5 yrs ago the return on INITIAL Capital ($30,000) is around 1000%.

So medioucre methodologies can return fabulous profit.Most attempt to design and trade a 1000% return method---YOU DONT HAVE TOO.

When return over 4.5 yrs could be 26% or 1000% you should quickly see that the REAL profits arent in the System OR the Analysis/Methodology used.

So where do most spend their efforts---YOU GUESSED IT at the 26% end!!

 

[Nick Radge]

I posted a real time record for an EOD system that holds a day here:


https://www.aussiestockforums.com/forums/showthread.php?p=167822&posted=1#post167822

 

[Arturius]

You haven't told us anything about the kind of drawdowns you'll be prepared to take, nor the kind of risk per trade, or anything. This is absolutely critical when designed a system.

 

[tech/a]

Arturius

I guess this is directed at Nick.
I'm sure he has the figures.
As I mentioned my published method above as well all is disclosed on the site.

I certainly agree with you.

With mine from memory
Initial drawdown was around 12%
Maximum Peak To Valley drawdown over the test period 22% ish.
Over the 4.5 yrs of trading all has performed within these boundaries.
Montecarlo analysis will of course give you a broad spectrum of expected D/D over as many portfolios you wish to test.
I used 50,000 for my design parameter.

Risk is 1% of total capital.
Maximum string of losses can also have a bearing.
From memory again I think mine was 12---in realtime trading I think the max string has been 5 or 6

R/Ratrio is also important.
Being a longterm method (techtrader) I look for 25-35% success rate and the R/R is around 8-12:1 (from Montecarlo results).
Shorter term methods are generally more successful with win rate but less R/R.

 

[Arturius]

Actually directed at the OP, heh. Novices think in terms of % gain only. Experts think about the spectrum; timeframes, drawdowns, capital risk, market change risk, diversification strategy.

 

[Kauri]

Actually directed at the OP, heh. Novices think in terms of % gain only. Experts think about the spectrum; timeframes, drawdowns, capital risk, market change risk, diversification strategy.

:bonk: OOOPs...I don't think you could consider Nick a novice... don't judge a book by its cover... unless it's Adaptive Analysis of course...

 

[tech/a]

http://www.thechartist.com.au/forum/ubbthreads.php

So this is what a "novice" website looks like!

Blooper 101---Arturius
Blooper 102---Expert??

Perception is everything (Robbed from another member!).

 

[professor_frink]

tech, kauri,

I'm pretty sure OP refers to original poster(or something like that), meaning Synergy, not Nick.

 

[tech/a]

Ahh

apologies.

 

[nizar]

Being a longterm method (techtrader) I look for 25-35% success rate and the R/R is around 8-12:1 (from Montecarlo results).
Shorter term methods are generally more successful with win rate but less R/R.

R/R of 8-12:1 ??
Tech your a MACHINE.

Congrats on reaching this elite level.

Its unheard of for me. Iv seen nothing even close.

Your "the man"

 

[professor_frink]

R/R of 8-12:1 ??
Tech your a MACHINE.

Congrats on reaching this elite level.

Its unheard of for me. Iv seen nothing even close.

Your "the man"

Get off your knees Nizar, your embarrassing yourself.

 

[tech/a]

Agree Prof.

Nizar.
The point is that if this builder can do it---then anyone can do the same.
You dont have to be a Radge with 15 yrs industry experience.

Just the same passion you have.

 

[It's Snake Pliskin]

Get off your knees Nizar, your embarrassing yourself.

I agree. Some sausage sucking going on.

..and your is you're.

 

[It's Snake Pliskin]

Agree Prof.

Nizar.
The point is that if this builder can do it---then anyone can do the same.
You dont have to be a Radge with 15 yrs industry experience.

Just the same passion you have.

Acually I hold the belief that 1 year with the right attitude, direction, help and specific texts, one can be profitable and move on to the professional aspect of trading.

 

[nizar]

Prof, Snake.
I give credit where credit is due

And Snake -- as always, thanks for your constructive "wisdom"

 

[Synergy]

You haven't told us anything about the kind of drawdowns you'll be prepared to take, nor the kind of risk per trade, or anything. This is absolutely critical when designed a system.

Admittedly I'm a novice and I don't really have much much of an idea about TA. In short i've played around with some past data in excel and developped a system that looks ok. Havn't traded it yet, but I at least feel comfortable having a go with it.

As for risk, i'm planning on trading with 10% of total capital/trade and have an initial stop at a 10% loss. so 1%/trade.

The system picks enough trades to be trading with 100% of capital 100% of the time. win/loss is around 50/50. avg hold time is 7 days and avg gain looks to be around 3% per trade. But on a big down note, I only have around 2.5 years test data, so i'm worried about that.

Knowing not very much about this, i'm pretty happy with what i have on paper, but didn't have anything to compare to.

Any help most welcome