Combining Systems

I combined 2 systems together and simulated trading using the same position sizing and capital bases for both systems from 1999 to 2006.

The results are shown in the chart posted.

Performance for profit was improved when the systems were traded together, and drawdown was better than just trading the most profitable single system. More trading opportunities provided greater profits but did not increase drawdown in proportion to the profits.

System tests - Monte Carlo

What looks like two very different systems are actually the same system with different position sizing strategies. The 2000% plus profit for system 1 was achieved using 10% of equity as the postion size, whilst system 2 used $10000 per trade on $100,000. Everything else in the 2 tests was the same.

This is why it can be very difficult to compare systems.

The results are from a 100 simulation Monte Carlo, from Jan 1999 to present, on the ASX300. As with all my systems this one is weekly. Average trade length is over 1 year. I don't trade this system.

DOM again

The DOM trade below uses an ATR trailing exit. I have been working on a system with an MA exit, as well as an rarely triggered RSI overbought exit, and a 200% gain exit. It would have worked well on DOM, and who would complain about a 200% gain?

DOM trade

I exited DOM just before the close at $1.195. It was a pretty volatile trade in the last week, but it made just under 50% so I can't really complain.