----- Original Message -----
Sent: Tuesday, February 07, 2006 3:37
AM
Subject: RE: [amibroker] Swing Trading -
Strategy Performance
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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