When I was young I can remember sitting on the floor at a friend's house with album covers all over the floor.I don't feel that old and yet the world has changed. Moose is the open source front end I am currently running on my music server. Moose simulates my youth on my desktop as I slide the mouse over the different albums to select which one to play.
I urge all fellow traders to mellow out on some fine music as they contemplate the day.
stevo
5 comments:
Hey Stevo,
I found your blog after looking for more info on weekly trend following systems.
I have recently created a weekly trend following system i believe is fairly good.
Backtesting results are-
35%p.a. on average over 10 years.
7% max closed out D.D.
It is a fairly simple system. As I have been trading short-term mean reversion systems, I'm not 100% sure how good this is... considering the strong bull market. In your opinion, are these results good? What other things do you look for to tell whether the system is good, or has just performed well due to the strong market
Cheers.
BTW-
It has just over a 50% win rate. Which I thought is pretty decent for a LTTF system.
bo_d_
The test results are excellent.
Have a look at how it performs with different startup dates and over 2000 to 2002 period to see how it goes in a more bearish market.
What software are you using? Did you do any out of sample testing?
regards
stevo
Thanks for your reply.
It has been profitable every year bar this one.
No out of sample testing done. But I tested over ASX200, results good. Then over ASX500, results good. Last night I just tested over the entire market. Profit is roughly the same, win % the same. But drawdown increased (june 2008) because one small company got hammered. I optimized very little, I dont want to twig rules too much. But there may be some work i can do with volatility gates or possibly a market gate (though i dont really want a market gate).
I use wealth-lab.
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