You just can't beat that super smooth equity curve.
This system uses a different entry to the one in the system posted below (US stocks) but was tested over the same universe of stocks.
Seems to have more of an edge. High Pfactor, lower maxDD, higher win%, higher payoff, less trades. And did I mention the equity curve?
The performance report shows the system in its inherent form, to provide a fair comparison with the system below. The equity curve and monthly profit chart show the system traded on 30% margin, which is what it would be traded on, if it gets to that stage.
5 comments:
Hi Nizar,
Interesting stuff, but did you ever post how you have done this: what's the system (adjusted from something else?)
Thanks,
would love to try and backtest it on Euronext.
Gert
That is a great looking equity curve! Are you going to discuss your systems? I am reading Michael Covel's book right now and loving it.
Gert,
The system is discussed a little more in the previous post "US stocks".
Its quite simple really. It just looks for stocks that have gapped down and then buys them. Exit can be through profit target, trailing stop, time-based, its all upto you. They all seem to work as there is a clear edge in the entry. Just depends on what you want sort of performance you want.
As for the gap down, no matter how you quantify this and what magnitude you use, I've tried several and they all seem to work fine.
Can't see why it won't work on Euronext. If I had the data I would test it myself.
Forex_elite,
I have discussed various systems throughout this blog. In addition, there is also alot of general trading info especially in the first few months (oct-nov 2007). Feel free to have a read.
Michael Covel yes its a good read. His second book "The complete turtle trader" is also not bad but I prefer "Trend following" better. I think I have a soft spot for that book since its what inspired me to get involved in systems testing and design.
Thanks for dropping by guys.
Nizar.
Nizar,
I think the book is a little shallow. You may have found something of interest with the gaps but (a) its nothing new and (b) you live on the other side of the world to make it really happen. The other issue that has probably overlooked with that kind of strategy is that you will have extended periods of boredom punctuated by frenetic trading, of which sometimes you can't keep track of.
His Turtle stuff is simple wrong.
Nick Radge
Hi Nick,
Firstly, I do appreciate your comments.
I agree gap fading isn't new but neither is trend following.
I can't see how living on the other side of the world would be a concern. I just need to enter limit-on-open orders before the open, and then if I get filled I set the exits.
Its actually quite consistent with 30-100 trades per month.
Anyway I will try and simulate it for a bit and see how it goes and how "tradeable" it is before making a decision.
Not sure what you mean by your last comment??
Thanks for dropping by.
Nizar.
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