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