Last week I designed a short-only system to trade the ASX300 and it worked great when tested over 2008. But that's it. Didn't do well in the 2000-2002 bearmarket and even with a filter, I found it hard to isolate market conditions in which the system would thrive.
This is mostly due to the upward bullish bias in the stockmarket. So I'm not going any further with it. The system though i will keep, it may show promise in other markets that don't have a directional bias.
Impressive stats though.
Simulation Summary
Simulation Date: 5/19/2009
Simulation Time: 2:41:34 PM
Simulation Duration: 0.67 seconds
Trade Summary
Earliest Entry Date in the Trade Database: 1/2/2008
Latest Entry Date in the Trade Database: 12/17/2008
Earliest Exit Date in the Trade Database: 1/4/2008
Latest Exit Date in the Trade Database: 12/22/2008
Start Trade Entry Date: 1/2/2008
Stop Trade Entry Date: 12/17/2008
First Entry Date: 1/2/2008
Last Entry Date: 12/17/2008
First Exit Date: 1/7/2008
Last Exit Date: 12/19/2008
Total Trading duration: 352 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $100,000.00
Finishing Capital: $163,529.44
Maximum Equity/(Date-Time): $63,529.44 (12/19/2008)
Minimum Equity/(Date-Time): ($3,634.90) (1/25/2008)
Gross Trade Profit: $111,239.87 (111.24%)
Gross Trade Loss: ($47,710.42) (-47.71%)
Total Net Profit: $63,529.44 (63.53%)
Average Profit per Trade: $432.17
Profit Factor: 2.3316
Profit Index: 57.11%
Total Transaction Cost: $2,076.41
Total Slippage: $1,970.61
Total Trade Interest: $0.00
Daily Compound Interest Rate: 0.1398%
Annualized Compound Interest Rate: 66.5269%
Trade Statistics
Trades Processed: 2830
Trades Taken: 147
Partial Trades Taken: 147
Trades Rejected: 2683
Winning Trades: 66 (44.90%)
Losing Trades: 81 (55.10%)
Breakeven Trades: 0 (0.00%)
Largest Winning Trade/(Date-Time): $9,217.47 (12/19/2008)
Largest Losing Trade/(Date-Time): ($3,806.15) (5/15/2008)
Average Winning Trade: $1,685.45
Average Losing Trade: ($589.02)
Average Win/Average Loss: 2.8615
Trade Breakdown Long and Short Trades Long Trades Short Trades
Normal Exit: 147 (100.00%) 0 (0.00%) 147 (100.00%)
Total Trades: 147 (100.00%) 0 (0.00%) 147 (100.00%)
Trade Duration Statistics Winning and Losing Trades Winning Trades Losing Trades
Maximum Trade Duration: 191 (days) 191 (days) 55 (days)
Minimum Trade Duration: 1 (days) 1 (days) 1 (days)
Average Trade Duration: 30.46 (days) 48.77 (days) 15.53 (days)
Consecutive Trade Statistics
Maximum consecutive winning trades: 7
Maximum consecutive losing trades: 20
Average consecutive winning trades: 2.64
Average consecutive losing trades: 3.24
Relative Drawdown
Maximum Dollar Drawdown/(Date-Time): $13,942.15 (5/28/2008)
Maximum Percentage Drawdown/(Date-Time): 12.5000% (5/28/2008)
Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $16,623.15 (14.5900%)
Capital Peak/(Date-Time): $113,907.06 (4/7/2008)
Capital Valley/(Date-Time): $97,283.90 (6/2/2008)
Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 14.5900% ($16,623.15)
Capital Peak/(Date-Time): $113,907.06 (4/7/2008)
Simulation Date: 5/19/2009
Simulation Time: 2:41:34 PM
Simulation Duration: 0.67 seconds
Trade Summary
Earliest Entry Date in the Trade Database: 1/2/2008
Latest Entry Date in the Trade Database: 12/17/2008
Earliest Exit Date in the Trade Database: 1/4/2008
Latest Exit Date in the Trade Database: 12/22/2008
Start Trade Entry Date: 1/2/2008
Stop Trade Entry Date: 12/17/2008
First Entry Date: 1/2/2008
Last Entry Date: 12/17/2008
First Exit Date: 1/7/2008
Last Exit Date: 12/19/2008
Total Trading duration: 352 days
Profit Summary
Profit Status: PROFITABLE
Starting Capital: $100,000.00
Finishing Capital: $163,529.44
Maximum Equity/(Date-Time): $63,529.44 (12/19/2008)
Minimum Equity/(Date-Time): ($3,634.90) (1/25/2008)
Gross Trade Profit: $111,239.87 (111.24%)
Gross Trade Loss: ($47,710.42) (-47.71%)
Total Net Profit: $63,529.44 (63.53%)
Average Profit per Trade: $432.17
Profit Factor: 2.3316
Profit Index: 57.11%
Total Transaction Cost: $2,076.41
Total Slippage: $1,970.61
Total Trade Interest: $0.00
Daily Compound Interest Rate: 0.1398%
Annualized Compound Interest Rate: 66.5269%
Trade Statistics
Trades Processed: 2830
Trades Taken: 147
Partial Trades Taken: 147
Trades Rejected: 2683
Winning Trades: 66 (44.90%)
Losing Trades: 81 (55.10%)
Breakeven Trades: 0 (0.00%)
Largest Winning Trade/(Date-Time): $9,217.47 (12/19/2008)
Largest Losing Trade/(Date-Time): ($3,806.15) (5/15/2008)
Average Winning Trade: $1,685.45
Average Losing Trade: ($589.02)
Average Win/Average Loss: 2.8615
Trade Breakdown Long and Short Trades Long Trades Short Trades
Normal Exit: 147 (100.00%) 0 (0.00%) 147 (100.00%)
Total Trades: 147 (100.00%) 0 (0.00%) 147 (100.00%)
Trade Duration Statistics Winning and Losing Trades Winning Trades Losing Trades
Maximum Trade Duration: 191 (days) 191 (days) 55 (days)
Minimum Trade Duration: 1 (days) 1 (days) 1 (days)
Average Trade Duration: 30.46 (days) 48.77 (days) 15.53 (days)
Consecutive Trade Statistics
Maximum consecutive winning trades: 7
Maximum consecutive losing trades: 20
Average consecutive winning trades: 2.64
Average consecutive losing trades: 3.24
Relative Drawdown
Maximum Dollar Drawdown/(Date-Time): $13,942.15 (5/28/2008)
Maximum Percentage Drawdown/(Date-Time): 12.5000% (5/28/2008)
Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $16,623.15 (14.5900%)
Capital Peak/(Date-Time): $113,907.06 (4/7/2008)
Capital Valley/(Date-Time): $97,283.90 (6/2/2008)
Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 14.5900% ($16,623.15)
Capital Peak/(Date-Time): $113,907.06 (4/7/2008)
Capital Valley/(Date-Time): $97,283.90 (6/2/2008)
