Systematic Trading works

[lonstud]

This is actual performance, after deducting brokerage and taxes.

 

[DSM]

Lonstud,

That's great! Well done. :thumb::thumb::thumb: I had assumed, it was another study posted after 'tweaking parameters'

Just a question, Begining NAV 182K. End NAV 2,781K. Is that not 1,500% returns? But calculations you posted show 267% only?

This is actual performance, after deducting brokerage and taxes.

 

[lonstud]

There have been deposits and withdrawals in my account over the year. The returns are calculated using Time-weighted rate of return Methodology(TWR). You should see from the bar graph of NAV sudden jumps or drops in NAV. They correspond to deposits and withdrawal. Net withdrawal in my account for the year is 605000.

 

[Buzzstop]

You are doing great

 

[ndtrader]

It is a daytrading system. Mixture of trend following and reversal without a fixed timeframe depending on market conditions. Recalibrations are done every week. All positions need are squared off latest by 3:28. Trading in futures. Profit factor for the whole period is 2.72(considering EOD result for each trading day). I am yet to do an exhaustive analysis of winning trade to losing trade, but I expect the percent of winning trades in the region of 60.

Great performance !

Are you trading only in futures? And what broker, trading system, programming language and external libraries are you using if I may ask?

 

[lonstud]

I am trading in futures. Strategy has been developed by me and no external libraries are used. I use matlab for backtesting and simulation.

 

[CommoBro]

Thanks for sharing information. Which were the most traded scripts? Is it swing or scalping?

 

[lonstud]

I do not want to disclose the scripts. The system is not scalping. Combination of momentum and reversal, depending on the market conditions

 

[mutualguru]

Hello all,

I would like to share systematic performance of my model for the last financial year as a tribute to this forum its help. The objective is to reinforce the trading community's faith in the success of systematic trading.

I shall not be able to share details of the strategy for obvious reasons, but if any of you have any question relating to aspects of systematic trading in general, I'll be more than happy to share my thoughts.

Hey sorry for bothering you but I am running through your numbers your starting nav was about 182879 and your cumulative return is 267%. If my calculations are correct your ending nav should be 671165.93 and not 2781702. care to explain this?

You already mentioned in another post that you are using both long and shorting using your strategy. I have created and back tested lot of strategies myself. What I have found out that the strategies which work for long trades most probably will not work with short trades and even cause a sever loss. Do you have any such drawbacks?

 

[lonstud]

@mutualguru. Please see post#13 of this thread. I have already explained the returns calculation methodology.

The strategy works for both long and short. No such drawback with my system.