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.
5 comments:
Interesting results.Are both systems similar, or do they have completly different entry/exit position sizing rules ?
There are some similarities in the 2 systems. Both are weekly systems for starters.
One system is designed for ASX100 stocks whilst the other is targeted for the All Ords index.
One has a trailing ATR exit, whilst the other has a fixed profit / loss targets set at entry as well as a relatively loose trailing exit.
One system can be exiting whilst the other is buying! Average trade lengths are also substantially different. Overall they have a totally different feel in actual trading.
But there is some correlation - they are both long and they both target stocks that are going up.
stevo
Stevo,
Thanks for the comments.I have never been able to build a system that works better with a profit target !, things seem to always be better just letting them run, so I am impressed that you have somehow managed to make targets usefull.
I am guessing that your fixed profit/loss targets are based on individual share charateristics such as ATR multiples for example.
Dave (Melbourne)
Dave
"I have never been able to build a system that works better with a profit target."
It depends on what you mean by better. I didn't find improved profits from profit targets. From memory the profit target system has lower drawdown, but not higher profits. I think the equity curve was a little smoother as well. Since I am trading it with other systems trades from other systems will go for some time - I currently have one that is nearing 2 years. I only trade larger caps with the targets.
I use ATR to fix the targets so you guessed right - nothing clever.
Stevo
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