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