The last 6 months

Trade entry and exit are from the last set of orange arrows on each chart.

July 2011

Only one buy signal was triggered.

The nicest sell for the month is shown below. I bought LYC for at $0.83 and got out at $1.88, 127% gain over 11 months on a reasonable position size. Not in the MSB trade league that I had earlier this year, but not too bad.

I am still offloading some positions for the month.

MSB trade

MSB turned out to be a big winner. I had a profit exit in April 2011 and exited at an average price of $8.97. Purchase price average $1.41, giving a gain of 537% over 17 months. It was nice to sell into a rising price on MSB.

I also had a couple of small losers, CFE (-18%)  and RED (-25%) but fortunately the MSB gains made these losses insignificant.

I didn't get any buy signals at the end of April, only sells.

stevo

Some Small Gains

These are 2 relatively short trades for me, considering that this portfolio has a couple of "trades" that have been running for well over a year.

IGR trade 14.3% gain

AVO trade 8.3% gain

I have been targeting getting in and out of stocks on the open or the close. I find that I can put through good volumes in these periods, although I should do a bit more reading about the process that occurs at these critical market periods.



stevo

TradeSim Parametric Testing - good stuff!

I always thought it would be nice to optimise on position size criteria. It can be done in Amibroker, however TradeSim has really excelled with the recent upgrades to their software as shown by the following charts. It is clear that, with the system below, there is not a lot to be gained from increasing risk much beyond 1% in terms of net profit. Drawdown will increase, with some decent size outliers to spoil the party. I am sure I would manage to become an outlier (in the wrong direction) in actual trading!





These tests were run using TradeSim Enterprise Edition. I used Amibroker to generate the trades without having made any changes to the setup I had in AB for the previous version of TradeSim. The charts above do not do justice to the quality of the output - although the TradeSim site has better examples.

The charts above are from a monthly system I am using, as mentioned below.

regards

stevo

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

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