Saturday, 28 September 2013

Here are the results after 2 months;


The chart below is a 10 period moving average of the run of trades, so it's really a moving average showing how the strategy fluctuates between winning and losing phases.

On the lower chart you can see that by trade 40 the vertical scale reaches 0.1, this reflects that of the 11 trades prior to that point, 10 were losers.  Similarly by trade 80 the vertical scale is 0.8, reflecting that of the 10 trades prior to that point, 8 were winners, 2 were losers.  It's an interesting way to look at the strategy.

I suppose it could be used as some sort of filter but I think if you start trading the equity curve it would destroy or interfere with the efficiency of the system in a negative way.  It just adds another layer where potential error can occur.

I've often thought the that perfect strategy would be one where the performance moves like a sine wave; and of course a sine wave is easily traded.

I'm running this for another month so I am looking for a continuation of the positive upward trend.

Thursday, 19 September 2013

Looking a bit healthier now;


6 weeks of the test period to go.

Wednesday, 11 September 2013

I'm continuing from where I left off prior to my holiday with the live test of a trading strategy, the results so far;

It seems pretty mixed but I think it's probably wise not to judge it this early since these are only the results after around 45 days, and that would be the case whether or not the results were good or bad (although clearly if they were atrocious it wouldn't be encouraging).

I think after 3 months I will have a good idea about the strengths and weaknesses, so at the start of November I will be in a far stronger position.  I'm not too enamoured by the large drawdown seen but then of course the flipside of that is the last few days which has seen a run of many winning trades.  Objectivity is key to any analysis.

For anyone new to my blog, I have been trading futures for over 2.5 years on and off and have been consistently breakeven, I'm testing a new strategy using a SIM account to assess a new methodology, if I get sufficient confirmation validating it I will go live.  Really by 1st November I will have a clear view on whether it works or not, I am keen to trade it but common sense dictates positive results should proceed a commitment to capital in the market.
The anatomy of a turn;

Here we see Dow futures making a lower low whilst the Euro, Australian dollar and AUD/JPY make a lower high.  The first vertical dashed line on 28th August marks the day when the markets turned up in unison, the second on 3rd September with all the markets moving up to confirm the divergence.