Only time will tell, it's how you react to your system when your MDD reaches your back tested results will determine how much you trust your system and continue to follow it. Something paper trading cannot help with, only experiencing it to find out.I had never really looked up what was an acceptable number. For me, I couldn't try and get 15% returns while risking 30% DD, hence why I set my requirements higher. This is also on the basis that my MDD from backtest will be higher than what I actually get. Time will tell if my expectations are too unrealistic.
Custom Back Test for AmiBroker, I am assuming that he employs expert programmers for the Low-level approach of back testing and customisation of ranking signals
Extracts from AmiBroker help file
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how did your mean reversion perform during the July/Dec period of last year compared to the Jan/June period?
I'd love to hear more about how you got a mean reversion system to work. Was it daily, weekly, or intra-day? I'm assuming the last 6months of last year were good for your system.
The bulk of my returns came in the second half of last year, it also helped that I upped my position size basically with perfect timing. I have been trading the same system since early 2016 basically and it has returned over 100% (actually I just checked that and I am in a roughly 5% draw down so just under that now).
That's good--most breakout style systems would have had a pretty ordinary performance in the back half.
The bulk of my returns came in the second half of last year, it also helped that I upped my position size basically with perfect timing. I have been trading the same system since early 2016 basically and it has returned over 100% (actually I just checked that and I am in a roughly 5% draw down so just under that now).
It is a daily system with a maximum hold time of seven days. It enters intraday on limit orders and exits market open. I don’t have any problems with slippage pricewise, it is only getting partial fills or missing a trade when the low of the day is equal to the limit order sometimes you can miss it.
I was one of the first ones to Nick’s mentor course and I started trading this system after I completed that. A few of the guys are trading a version of the WTT and are having great results. On both the US and ASX.
That's a pretty good return. I think everyone here would be happy with that. Was it based off Nick's systems, or something of your own creation? Adding a mean reversion system in the future is definitely something I want.
Also, if you are entering intra-day, are you using EOD data?
Adding a mean reversion system in the future is definitely something I want.
I went live with a short term swing system Aug/Sep last year--in my mind mean reversion is pretty much swing. I'm currently trading a longer term trend system and while in the main it has been good to me there are times it frustrates me. I really like the shorter term swing system as it complements the frustrating "flat" periods on my longer term trend system (think second half of last year). I think psychologically the short term swing system is better suited to my personality.
That sounds pretty good. That might be a good angle to come from. I have just started trading my trend system for real, so time will tell how that works out. I am always looking at something else to add in the future and the short system would help during flatter periods as you've pointed out.
@Warr87 I think I have a similar bias. What systems have you found best in this short term type. I'm in the research phase, not actively trading.I think psychologically the short term swing system is better suited to my personality.
@Warr87 I think I have a similar bias. What systems have you found best in this short term type. I'm in the research phase, not actively trading.
Thanks mate, I'm curious, I've read that this strategy is best for a trending market. Do you take this into account, if so, what indicator(s) do you use to identify the macro trend? As an extension to that, if you had active trades and that macro trend indicator showed that the environment wasn't suitable to trading, would you close those positions?I'm currently trading an EOD swing system. It is based on RSI and MA
Thanks mate, I'm curious, I've read that this strategy is best for a trending market. Do you take this into account, if so, what indicator(s) do you use to identify the macro trend? As an extension to that, if you had active trades and that macro trend indicator showed that the environment wasn't suitable to trading, would you close those positions?
I'm not using a broader market index filter in the sense that a traditional longer term trend trading system might typically use (e.g., XAO close being above the 50 day MA). So no I'm not using a general market trend indicator like that. At a high level so long as the RSI is below a threshold value and the close is above an MA then that will generate a buy setup. The close being above the MA could be considered a "micro trend" I guess. In my system, the close with respect to the MA (micro trend) doesn't close out any positions. Later today I'll post some Ami sim results for you to take a look atThanks mate, I'm curious, I've read that this strategy is best for a trending market. Do you take this into account, if so, what indicator(s) do you use to identify the macro trend? As an extension to that, if you had active trades and that macro trend indicator showed that the environment wasn't suitable to trading, would you close those positions?
I've just done a quick backtest in Ami to give you a general feel for the performance of my swing system
@MovingAverage I would be interested to see a backtest capture of your strategy with the "Portfolio Equity & Profit Table" during the recent COVID-19 period. The backtest period is from: "1st January 2020 to 30th June 2020" (All ordinaries Index) I've found this 6 month period to be a "stress test" of a trading system.
It would be even better if you would change your parameters to match the ones below
Backtest period = 1st January 2020 to 30th June 2020
Portfolio Size = $300K
Number of positions = 20
Next question (nick-radges-weekend-trend-trader thread)
Is this Radges WTT or something you have coded?
Open invitation
Also if anyone is trading "nick-radges-weekend-trend-trader" I would appreciate a backtest result being uploaded here or in the "Dump it here" thread using the above parameters.
Skate.
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