From the interpretation window in Amibroker.
STATE - Last 26 weeks
--------------------------------
SystemOff = 22 Weeks
SystemOn = 4 Weeks
So the system has only turned on 4 weeks in the last 26. The Small Ords is down 59% from it's peak.
I still haven't updated the blog in terms of system performance. With so little happening I haven't been in any rush - hey it's my blog and I'll blog if I want to. Maybe I will wait until January.
stevo
Showing posts with label system. Show all posts
Showing posts with label system. Show all posts
Tuesday, December 02, 2008
Saturday, May 05, 2007
System design, discretion and a load of fertiliser
When I designed one of the systems that I trade today back in 2002 / 2003 I used data from 1996 to 2002 when backtesting. One aspect of the system includes a profit exit - an exit that is triggers when the price moves up very fast. Incitec (IPL) did this not long after I bought it and the exit was triggered as shown by the $30.40 sell signal on the chart below.
When I developed the system I tested with and without the profit exit, and the equity curve was a little smoother with the exit than without, but there wasn't a lot in it.
The exit rarely triggers so I have been using some discretion. I didn't take the exit signal on IPL above. In this example it paid off. It is possible that this aspect of the system could be dropped altogether, but I will leave it in for the moment. A bull market is not the best time to take profits. The profit exit might be more useful in a less bullish envirnment - like 2000 through to 2002.
I bought into IPL at $26 (I must have been busy that week since it opened at $25.75) Now it is the biggest % and dollar winner in my Super fund portfolio - up 103%. The trailing exit is still valid. It does surprise me that a fertiliser company can perform so well! Who buys fertiliser in a drought? I guess I should stick to trading my systems and leave the fundamentals to those that understand them.
I have another profit exit signal for this weekend. I don't know how discretionary traders cope with all the decisions that would have to make.
Stevo
When I developed the system I tested with and without the profit exit, and the equity curve was a little smoother with the exit than without, but there wasn't a lot in it.
The exit rarely triggers so I have been using some discretion. I didn't take the exit signal on IPL above. In this example it paid off. It is possible that this aspect of the system could be dropped altogether, but I will leave it in for the moment. A bull market is not the best time to take profits. The profit exit might be more useful in a less bullish envirnment - like 2000 through to 2002.
I bought into IPL at $26 (I must have been busy that week since it opened at $25.75) Now it is the biggest % and dollar winner in my Super fund portfolio - up 103%. The trailing exit is still valid. It does surprise me that a fertiliser company can perform so well! Who buys fertiliser in a drought? I guess I should stick to trading my systems and leave the fundamentals to those that understand them.
I have another profit exit signal for this weekend. I don't know how discretionary traders cope with all the decisions that would have to make.
Stevo
Thursday, February 22, 2007
MBP trade - talk about "lucky"
I bought into MBP on a signal last November. Fortunately an exit was triggered and I got out a week ago with a small gain (4%) It plummetted over 70%! I am glad I follow those stops.
Stevo
Subscribe to:
Posts (Atom)