Trading Plan Template

[Milk Man]

Kesso,

12% annual return and 19% max drawdown isn't that good of a performance. Id keep going til I got better numbers. It took me a few months and a few hours a day to get to the point i'm at now so dont feel like im having a go at you or something. You can have mine for free anyways; medium to long term system development. Returns have been about 30-35% annual return and 10-20% max drawdown. If you give me a look at your formula and settings i'll have a go at improving it for you if you want.

Cheers.

:bier:

 

[kesso]

Hi Milk Man

That would be very much appreciated if you could have a look and maybe give me some pointers. Also would be very interested in looking at a better plan that gives returns you have said. Do you want the Amibroker afl file.

Thanks Chris

 

[tech/a]

Kesso.

Can you tell me your position sizing?
Also your Stops.--do you have one.

You need to work on your exits as the length of trade appears to be to short to allow enough accumulation when a trade wins.

I'd be interested in running a Montecarlo analysis on this method to see how it stands up to multiple portfolio testing.

As a hint try testing the method at 3 mth intervals in the initial year then 3 mth periods in the next year 8 tests,compare each test to see if there is a large deviation to the mean.
Just set the start date toat 1/1 then 1/4 then 1/7 etc this will give a fairly crude multiple test result.

Be sure than AMI includes OPEN trades in the final results table as if you only include closed trades there could be huge sums in trades still open in the method and not closed and not recorded in results.

What period is the test period 5 yrs-10 yrs? I use 8yrs survivorship becomes a factor.

Have you tried various Universes---selection of stocks your going to trade can have a massive bearing on final result--which stocks have you selected to trade?

I'm a bit different to Milk Man in that % return isnt the all encompassing aim.
Important but other factors are more important to me.I do agree with Milks observations and hopefully a few suggestions from us here may help.

 

[kesso]

Tech/a

Thanks for your comments.
The position size is $10,0000 based on a original capital of $100,000.
It has a 10% stop loss with a 60 day ma cross sell. The period is from the 1/1/98 to current and based on the ASX300.

I will try different dates, but I noticed that I do get different figures when I tried on my database at home compared to the one at work.
Thanks

 

[tech/a]

Just as a bit of a test try 7% stop and 180 day ema of the low (which is the exit for techtrader) and position size $12,500 or 8 trades.

Can you then post that result table.

 

[kesso]

This is a bit stupid on my part, my sell is not a 60 ema cross (I was thinking of another system sorry) but a cross of 2 ma's. I have changed to a 7% stop and $12500 position in both cases below. I have changed the first to a sell on a 180 ma, and the second kept my own original. Thanks for your help and suggestions.
Long trades Long trades
Initial capital 100000 100000
Ending capital 428113.04 288053.39
Net Profit 328113.04 188053.39
Net Profit % 328.11% 188.05%
Exposure % 61.38% 59.73%
Net Risk Adjusted Return % 534.52% 314.84%
Annual Return % 20.28% 14.38%
Risk Adjusted Return % 33.03% 24.07%


All trades 271 (100.00 %) 534 (100.00 %)
*Avg. Profit/Loss 1210.75 352.16
*Avg. Profit/Loss % 9.55% 2.79%
*Avg. Bars Held 60.35 29.08


Winners 105 (38.75 %) 235 (44.01 %)
*Total Profit 465451.1 410119.13
*Avg. Profit 4432.87 1745.19
*Avg. Profit % 35.51% 14.03%
*Avg. Bars Held 117.48 44.7
*Max. Consecutive 4 9
*Largest win 49187.53 15454.62
*# bars in largest win 485 70


Losers 166 (61.25 %) 299 (55.99 %)
*Total Loss -137338.05 -222065.74
*Avg. Loss -827.34 -742.69
*Avg. Loss % -6.88% -6.04%
*Avg. Bars Held 24.22 16.81
*Max. Consecutive 11 10
*Largest loss -3800.16 -3800.16
*# bars in largest loss 9 9


Max. trade drawdown -18363.94 -14538.75
Max. trade % drawdown -52.24% -52.25%
Max. system drawdown -52279.59 -38392.62
Max. system % drawdown -23.59% -21.75%
Recovery Factor 6.28 4.9
CAR/MaxDD 0.86 0.66
RAR/MaxDD 1.4 1.11
Profit Factor 3.39 1.85
Payoff Ratio 5.36 2.35
Standard Error 27093.26 10288.8
Risk-Reward Ratio 1.55 2.55
Ulcer Index 7.08 6.92
Ulcer Performance Index 2.1 1.3
Sharpe Ratio of trades 0.43 0.41
K-Ratio 0.08 0.13

 

[It's Snake Pliskin]

Thanks for the info on amibroker. I take it you download off the site and there is afree rial. How do you get live data? Is it downloaded of the same site and what is the charge for it? Sorry their site is a bit clustered, can't see it.

 

[kesso]

Snake

Yes you download it from the site. I use Just Data for end of day, sorry can not help with live data.

 

[kaveman]

Amibroker is a charting package not data supplier
If you go to the website all your questions will be answered re what to do, data supply etc
I use quotetracker for intraday data which is automatically imported into AB.

 

[happytrader]

Even if you bought all this beaut gear, are you going to do what it tells you?

Cheers
Happytrader

 

[Milk Man]

Initial capital 100000 100000
Ending capital 428113.04 288053.39
Net Profit 328113.04 188053.39
Net Profit % 328.11% 188.05%
Exposure % 61.38% 59.73%
Annual Return % 20.28% 14.38%

All trades 271 (100.00 %) 534 (100.00 %)
*Avg. Profit/Loss % 9.55% 2.79%
*Avg. Bars Held 60.35 29.08

Winners 105 (38.75 %) 235 (44.01 %)
*Avg. Profit % 35.51% 14.03%
*Avg. Bars Held 117.48 44.7
*Max. Consecutive 4 9

Losers 166 (61.25 %) 299 (55.99 %)
*Avg. Loss % -6.88% -6.04%
*Avg. Bars Held 24.22 16.81
*Max. Consecutive 11 10

Max. system % drawdown -23.59% -21.75%

Risk-Reward Ratio 1.55 2.55

These are the ones to watch IMO.

 

[It's Snake Pliskin]

Even if you bought all this beaut gear, are you going to do what it tells you?

Cheers
Happytrader

I assume this is directed at me so I'll answer by saying the software would be good for backtesting. For charting it must be good but I think any charting program be it broker based or free would be good.
Do I think you need all the wizbang tools to be successful? No.
Does it help? Yes.
Is it essential? No.

Snake