That's a good way to see the results of combining portfolios Can, looks good.
Yeah, it would be great to be able to throw in a couple of longer terms FX or Futures systems just to diversify a bit more. They could take up the slack when the two equity systems go into draw down and then hibernate.
Ahhh, the ever avoidance of drawn-downs! How much has that cost people in potential returns? Probably, more than the actual draw-downs.
Can, for fair comparison you should average the combined returns, so should be about 34.65%, 24.9%, 8.85%, 23.65% which averages out to 23%pa. Pretty good if the test was unleveraged.
Only downside is it relies pretty heavily on a bull market in equities.
Here is an example of how running two portfolios can smooth out the returns. I only went back three years in this example. Its best to only ever test a minimum of 2 years as i believe EOD systems need two years of results to be fair to the systems capability.
The first one is the Flipper, followed by the combined results and the last one is the MR system on its own.
This should be the correct combined returns , averaged and not added. To be absolutely correct i need to add up the individual P/L.
Yeah, it would be great to be able to throw in a couple of longer terms FX or Futures systems just to diversify a bit more. They could take up the slack when the two equity systems go into draw down and then hibernate.
The main thing here is to know that there will be draw-downs, likely right when you start too. If you prepare yourself for it, then it should be a little easier to stomach.
Has anyone even made a forex system that works (outside of day trading)? The problem with forex systems I have seen is that they fail to warn of over-exposure and risk because they don't tell you that two currency pairs correlate very strongly and you enter both and basically have just double the risk on the same outcome. They also don't factor in carrying costs and considering whether that's the best currency pair to gain the exposure you want. They also don't warn you if you're exposing yourself to the same structural risks e.g. if you long both the NOK and the CAD at the same time you're basically at that point just long on oil twice (which may not be a bad thing, if you are aware you're long on oil).
The Published equity curves ive seen on these systems never has adjustments EOFY for tax on closed positions , i seriously doubt the real returns on any of these systems . Tax has serious implications on the curve , most of these simulations have nothing to do with reality . Just putting it out there , flame proof suit at the ready ... go for gold
CNAR are the only figures that reflect reality
What are the tax implications for a SMSF or family trust fund?
Interesting Finn, how exactly does the WTT work? I have run tests on the 20% flipper as a weekly system and it gets a win rate of 60%. Pretty encouraging. I'm planning on running it as a weekly and the MR system which is a daily.
Why do I need a reg T?
Interesting thanks for posting!
What is your annual return in %? Would be good for comparison purposes (I'm also a systematic trend-follower).
The profit/loss per trade seems very small for the first couple months then suddenly changes. I don't want to pry into exact details, but did you modify your position size?
I've been increasing total system equity with deposits to try to reduce commission drag - started trading the system with 25k in April 14, and have added another 19k of which about 14k was in Feb/Mar of this year.
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