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Ara,
I have been using my swing system for about 3 months .
I have tested thousands of variations.
1. the latests backtest
has a RAR of 110% and CAR of 67% Avg Proit/loss of
12.4%, 61.5% winners Max Drawdown of 5.6% and expectancy of 40cents per 100$
invested per day (this is my own definition) and profit factor of
6.64
2. Real performance is also very good with figures
matching backtest in terms of win/loss ratio, as well as Avg Profit (Avg profit
for each trade). Max drawndown is usually worse at around 8%. I dont believe
5.6% is sustainable (you got to have a bad day sometime).
3. Position Sizing is volatility based with a maximum
cap of 5.7% of my initial capital. Volatility risk is at 0.6% of my
capital. Because I trade of a lot of smallcap stocks. I also pay great attention
to turnovers and capitalisations and have included them in my position
sizing. I dont compound my profit in my testing all positions are sized based on
initial capital. I have tested it with compounding for interest but I think it
is distorting to select systems based on those figures.
4. I find that pattern based systems usually gives me
better results than purely indicator based systems. In pattern based system I
mean systems that evaluates the relative position of price bars to form pattern.
I find that volume is very useful but it was initially difficult to incorporate
it into my system but once I have successfully incorporated it. I really turbo
charge my system. Generally I find swing systems are very good pattern
system. but if you use standard indicators to code your system. I find that it
will stop working all together at some point. This is when the market has
changed it rhythm and both tempo and the magnitude of the swing has changed.
Clyde Lee's ideas about swing is very good and its well worth a read on his
site. Unfortuntely he only uses tradestation.
I dont scale in or out, stop is at 16%. scaling in and
out might be the next thing to consider.
Paul
Would like to get a poll of sorts ... for expected
swing trading performance. Maybe there is some information that can help
everyone regardless of specific system used.
Primarily interested in the potential of a system,
any pitfalls / difficulties in implementing it after simulation studies were
completed...
What would make good statistical info:
1. Backtest performance
2. Real performance / Any special considerations in
implementing
3. Money management - scaling in/out, stops, risk
level...
4. Any issues and concerns
My intent / desire is NOT to delve into
anyone's specific system as such, so if you feel it is appropriate to
describe your system, please keep it at a high level.
I have toyed with several systems, including
Relative strength, combination of standard indicators (MACD, Stochastics and
CCI) with preliinary backtest results of 20% per year, +/- a little, but
have not really traded based on any system as such, certainly not with any
consistancy.... so no track record.
I have not succesfully integrated market
environment in backtests yet. My next step.
My hope is that I can make about 5% to 10% per
month using trades of 3 days to 2 weeks. I have been known to be too optimistic
... at times ...
Appreciate any feedback
Ara
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