Positional Trading System

[shijo]

I'm enclosing the backtested reports of a new positional trading system .which is useful in bear & bull phase but fails in consolidating phase. pls go through the reports and give me feed back.

 

[1sandeepgupta]

Profits in nifty seems to be ok but they are incredible in s&p and you forget to mention the time period of the data you back tested. Please provide the afl so others can also back test it.

 

[rkkarnani]

I'm enclosing the backtested reports of a new positional trading system .which is useful in bear & bull phase but fails in consolidating phase. pls go through the reports and give me feed back.

Kindly mention the Time Period for which the system was tested.

Seems really nice system. Congrats!! :clap:

 

[shijo]

Time frame used for nifty is from 2002-2010 and that for s&p is from 1950

 

[shijo]

I'm also adding bactested results of
sensex


Statistics
All tradesLong tradesShort trades
Initial capital40000.0040000.0040000.00
Ending capital564317.77434859.54169458.23
Net Profit524317.77394859.54129458.23
Net Profit %1310.79 %987.15 %323.65 %
Exposure %74.57 %51.88 %22.69 %
Net Risk Adjusted Return %1757.84 %1902.82 %1426.36 %
Annual Return %39.47 %34.97 %19.90 %
Risk Adjusted Return %52.93 %67.42 %87.69 %



All trades3729 (78.38 %)8 (21.62 %)
Avg. Profit/Loss14170.7513615.8516182.28
Avg. Profit/Loss %8.11 %8.33 %7.28 %
Avg. Bars Held40.7036.2456.88



Winners25 (67.57 %)21 (56.76 %)4 (10.81 %)
Total Profit582283.83439042.89143240.93
Avg. Profit23291.3520906.8035810.23
Avg. Profit %13.26 %12.58 %16.84 %
Avg. Bars Held53.6844.52101.75
Max. Consecutive772
Largest win208658.42208658.42107074.43
# bars in largest win6363201



Losers12 (32.43 %)8 (21.62 %)4 (10.81 %)
Total Loss-57966.05-44183.35-13782.70
Avg. Loss-4830.50-5522.92-3445.68
Avg. Loss %-2.63 %-2.80 %-2.28 %
Avg. Bars Held13.6714.5012.00
Max. Consecutive222
Largest loss-30369.87-30369.87-5923.94
# bars in largest loss111117



Max. trade drawdown-50469.96-45985.18-50469.96
Max. trade % drawdown-15.38 %-9.70 %-15.38 %
Max. system drawdown-60647.96-60647.96-50469.96
Max. system % drawdown-15.38 %-15.81 %-51.73 %
Recovery Factor8.656.512.57
CAR/MaxDD2.572.210.38
RAR/MaxDD3.444.261.70
Profit Factor10.059.9410.39
Payoff Ratio4.823.7910.39
Standard Error66678.2842422.5134705.69
Risk-Reward Ratio0.851.030.38
Ulcer Index4.574.6412.53
Ulcer Performance Index7.456.381.16
Sharpe Ratio of trades1.401.550.97
K-Ratio0.04420.05330.0197

 

[piash]

Please provide the afl

Please provide the afl so others can also back test it.

Brothers, would you upload the afl here? As I`m a novice one, need your support and love badly.

 

[minitrader]

Looking at the drawdown and the number of trades I would say it is WAY over optimized but it hard to tell without testing for myself.

 

[shijo]

the same parameters are used for S&P, DOW, NIFTY, SENSEX ,and even shanghai. and every thing yields good results in longer run.

 

[hola_bola]

hello sir,
Please do guide me some more on this

 

[umeshmandal]

Time frame used for nifty is from 2002-2010 and that for s&p is from 1950

Time frame I think would mean whether the system was used for Intraday or EOD levels , what you have mentioned is the Time Period.