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Here is the YTD performance of my production stock trading system.
The results are out of the Backtester for convenience. I don't do as
well because I take time off for vacations, surfing and laziness.
I've been trading this for 1.5+ years.
Generally it draws stocks from a carefully selected stock universe
based on fundamentals, then uses technical indicators to time entry
and exit points. The system uses daily data & long only.
Here are some selected results from from a YTD backtest:
CAR = +42.35%
RAR = +44.07%
Max trade DD = -26.0%
Max Sys DD = -3.6%
Profit Factor = 2.31
Winning Trades = 27
Losing Trades = 21
Avg Bars Held = 19
Just for comparison, SPY on 01/03/06 = 126.7 and SPY today = 128.18
for a 1.17% gain YTD.
Reef-Break
--- In amibroker@xxxxxxxxxxxxxxx, "intermilan04" <intermilan04@xxx> wrote:
>
> I know it depends on what you want personally for risk/reward, but I'm
> curious as to what other people's systems (developed in Amibroker) are
> performing like. You don't have to share your code or the idea behind
> your system (unless you want to), but I'm curious.
>
> Over the last 10 years, say, what is your annual profit %, max
> drawdown, % winning trades, etc.?
>
> I have a long system that has returned around 110% since 1996. Its
> winning % is 47%, and the system drawdown is 28%. It is a
> reversal-based, swing-daytrade system.
>
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