Tuesday, October 13, 2009

System design & testing

This post refers to a monthly time-frame system I mentioned a couple of posts ago.

To design this system I used ASX data for around 500 stocks from January 1999 up to the end of 2004. The initial ideas were coded and then optimised. The buy signal is made up of 2 variables and the exit is a simple ATR trailing stop plus a simple, rarely triggered, profit exit.

I optimised the variables, fixed them and forward tested up to September 2009. The whole exercise was completed over a weekend. It's not a question of what time-frame to use, trading is about what works for the trader.

The security profit distribution shown below has the top 50 winning trades excluded to see if there are any big winners impacting on the results. I excluded the top 50 since there were over 1000 possible trades over the 10 year period.


Yearly profit is shown below ($500,000 capital kept constant) again with the top 50 trades excluded.


Yearly profit without trades excluded.


I am ranking the trades, not so much to improve the performance of the system, then to stop me wondering which stock to pick out of the handful presented.

I also did some runs where I started the system up at the beginning of every year from 2000 through to 2009. There are some difficult startups based on these runs, but nothing that a trader that understands the system could not ride out. I am not starting from scratch anyway since the portfolio is already close to fully in the market.

regards

stevo

Thursday, October 08, 2009

Couple of Trades



A couple of trades that I closed recently. Nothing spectacular, but profits are profits. This system is the one I have been trading in this portfolio since January this year. The first trade was CUS (Customers) way back in January and it's still running.

LYC above was looking pretty good, but then I believe that the Chinese couldn't buy into the company due to FIRB rules and the price took a bit of a tumble - although I won't complain about a 40% plus gain.

stevo

Wednesday, October 07, 2009

Possible New System

Click on the chart to get an animation!

I have been a little busy lately, but I have had time to work on a new system. The chart shows what the system's potential could be. One thing that many people would struggle with is that the system runs on a monthly time frame. It should do nicely for my super fund.

I'll post some more test info when I get a chance - got to go.

stevo