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Bonds have been in a secular bull market since the 1981-82 lows - so it's not
unreasonable that most systems you'll test will work better on the long side
than the down side. This is especially true if you're testing the systems on
tbond futures - since they don't go back beyond 1979 or so. If you want to go
back further in backtesting - you'll have to use something like the DJ20
(bonds).
If you're working in a secular bull market - the corrections tend to be fairly
short - and somewhat violent - and the system that catches the main trend -
i.e., the up move - probably won't be geared to catch the down moves. OTOH -
if you're working in a secular bear market - the advances tend to be fairly
short - and somewhat violent - and the system that catches the main trend -
i.e., the down move - probably won't be geared to catch the up move. In my
experience - just about the only time you'll find a system that works equally
well in both up and down markets is when you're dealing with a market that's
bouncing around in a sideways trading range (assuming the trading range is big
enough to trade). Robyn
Patrick Wahl wrote:
> I tested the following system, posted by The Code, on bonds from '88
> to '97. Original name was xe3 bonds. It did quite well on the Long
> side, not so well on the short side. This is pretty typical of
> everything I have tested on bonds - works ok long, barely profitable
> or lose money on the short side.
>
> Below is the system again, and the results from tradestation. I used
> default inputs, no stops. I cleaned up the code a bit -
>
> Input: FastMA(22);
> Input: SlowMA(6);
> Input: MacdMA(13);
> Input: LENGTH4 (23);
> Input: Input2 (46);
>
> IF ( CurrentBar > 1 and
> MACD (Close,FastMA,SlowMA) [1] >
> XAverage (MACD(Close,Fastma, SlowMA), MacdMA) [1] and
> MACD (Close,FastMA,SlowMA) >
> XAverage (MACD (Close,FastMA,SlowMA), MacdMA) and
> RateOfChange (Close,Length4) > 0 ) Then
> BUY NEXT BAR AT THE MARKET;
>
> IF ( CurrentBar > 1 and
> MACD(Close,FastMA,SlowMA) [1] <
> XAverage (MACD (Close,FastMA, SlowMA),
> MacdMA) [1] and MACD (Close,FastMA,SlowMA)
> < XAverage (MACD (Close,FastMA,SlowMA),
> MacdMA) and
> RateOfChange (Close, Length4) < 0 ) Then
> SELL NEXT BAR AT THE MARKET;
>
> ----------------------------------------------------------------
>
> a Temps Treasury Bonds 30 Yr - CBOT-Daily 09/26/88 - 02/07/97
>
> Performance Summary: All Trades
>
> Total net profit $ 37494.00 Open position P/L $ 1375.00
> Gross profit $ 81995.00 Gross loss $ -44501.00
>
> Total # of trades 49 Percent profitable 51%
> Number winning trades 25 Number losing trades 24
>
> Largest winning trade $ 11718.00 Largest losing trade $ -5937.00
> Average winning trade $ 3279.80 Average losing trade $ -1854.21
> Ratio avg win/avg loss 1.77 Avg trade(win & loss) $ 765.18
>
> Max consec. winners 5 Max consec. losers 5
> Avg # bars in winners 55 Avg # bars in losers 27
>
> Max intraday drawdown $ -14564.00
> Profit factor 1.84 Max # contracts held 1
> Account size required $ 14564.00 Return on account 257%
>
> Performance Summary: Long Trades
>
> Total net profit $ 41372.00 Open position P/L $ 0.00
> Gross profit $ 62685.00 Gross loss $ -21313.00
>
> Total # of trades 25 Percent profitable 60%
> Number winning trades 15 Number losing trades 10
>
> Largest winning trade $ 11718.00 Largest losing trade $ -5937.00
> Average winning trade $ 4179.00 Average losing trade $ -2131.30
> Ratio avg win/avg loss 1.96 Avg trade(win & loss) $ 1654.88
>
> Max consec. winners 5 Max consec. losers 3
> Avg # bars in winners 65 Avg # bars in losers 28
>
> Max intraday drawdown $ -10406.00
> Profit factor 2.94 Max # contracts held 1
> Account size required $ 10406.00 Return on account 398%
>
> Performance Summary: Short Trades
>
> Total net profit $ -3878.00 Open position P/L $ 1375.00
> Gross profit $ 19310.00 Gross loss $ -23188.00
>
> Total # of trades 24 Percent profitable 42%
> Number winning trades 10 Number losing trades 14
>
> Largest winning trade $ 5719.00 Largest losing trade $ -4875.00
> Average winning trade $ 1931.00 Average losing trade $ -1656.29
> Ratio avg win/avg loss 1.17 Avg trade(win & loss) $ -161.58
>
> Max consec. winners 2 Max consec. losers 3
> Avg # bars in winners 41 Avg # bars in losers 26
>
> Max intraday drawdown $ -13596.00
> Profit factor 0.83 Max # contracts held 1
> Account size required $ 13596.00 Return on account -29%
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