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Today, the largest drawdown in the entire new history of trend-following systems for a wide basket of American futures with 1979 of the year.
Subtotals: A busy year of some kind. Especially when the catastrophe in the form of the most rapid fall of markets in the history of con
Systems for US stocks since the beginning of the year. They are all short term — average time in position is about 1-5-10 days. well, In general, overwhelmingly, 3-4 day.:
Basically, if I didn’t play systematically, and intuitively, it would make sense to close all positions on all trend-following futures systems. The picture shows the overall resulting curve for the tests of the three systems for futures since the beginning of the year.. Oddly enough, it roughly coincides with the real curve. In theory, a correction should begin.
Gave up the short-term system, which brought a loss last year. Five systems will now play for futures. Here are their history tests for 10 of recent years. Tested on a single contract for diversified portfolios with commission / slippage 100 dollars per circle.
The first system is the shortest — on daily charts for a portfolio of 12 tools. Average time in position is approximately 10 days
The second system is already well tested for daily charts.. Portfolio of 35 tools. Average time in position 18 days
The third system has not yet been played in real life. For daily charts. Portfolio of 20 tools. Average position time 43 of the day
Fourth system on weekly charts. Portfolio of 20 tools. Average position time 70 days. Played for the first time.
The fifth system was bought recently. Relatively expensive. But I've been looking at her for a long time. Also on weekly timeframes. Time in position is approximately 40 days. For VLD has not yet recoded, therefore it will remain without test pictures :)
I am running in small sizes three experimental systems for American stocks. Intermediate results. Horizontal number of deals, vertical profit in dollars. One point — one deal.
1. Long only portfolio system, does not trade often, limit orders. Still alright, but we must wait for the bearish phase of the market for a complete check:
2. Hep system, intraday, since the position is closed on the opening day, but no intraday charts required. Also, so far infrequent trade. The number of trades increases with increased volatility. And long, and shorts.
3. Portfolio system. And long, and shorts. The reasons for the drawdown are clear, since the system needs alternating phases of fear and greed (growth-correction or vice versa). She merged on the site where there was growth without corrections. Think, this will not happen often in the future, so I hope that the system has prospects:
IMHO, really, robust trading systems cost no more than 200 Dollars. (6000 rubles)
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I'm not very friendly with TradeStation, I can say that I'm not even friends at all. But a lot of systems have been created for her., as it was once the standard for system traders. There are a lot of systems from the last century and even the one before last… If you go to the ebay.com auction, then the systems are sold there, mostly, for tradestation, for example, for WLD, at all, It was never. That's why, tradestation you need to know, at least in general terms. So here, I analyzed the old systems for tradestation for a couple of days and noticed that quite a lot of profitable ones come across (drove on futures, mainly on ES days and some others). And it was amazing, because, for example, if you run systems on WL, then there are simply no clearly profitable ones. Not that surprising, but also suspicious.
Recently, understood what's the matter — all miraculous profitable systems had a trailing stop, interest or dollar. And, small, less than average bar length. And less than a long bar three to five times. For example, dollar trailing stop 250-400 dollars for ES. And the position is always closed by this amount from the top of the bar. If the bar is long, it is clear that according to the trailing, the position in real life can be closed in the middle of the bar, but the program closes the position at the top. This is due to this and it turns out “profitable systems”. But only on paper…. Such systems should be tested on intraday data., but then the code should be completely different. And then, when they sell systems by 1000-5000 Dollars, as an advertisement, tests were carried out for them on the day and codes for the day. As an example, MiniMax2 system, which is sold at breakoutfutures.com.
Well in general, I tried and I create a miracle system. Took a random entry (not really, certainly, random — simply, by the first indicator that comes across) and exit at the dollar trailing stop 300 Dollars. Almost all futures days are profitable. Here is an example of a dollar index futures.
That is, the point is, that the trailing stop should not be less than the tested bar. If it is smaller, you need to switch to smaller timeframes.
If something is wrong I wrote, correct, since in Tradestation I am a complete amateur, as well as in everything else :)
