Backtested trading system

lemondew

Well-Known Member
#1
This thread is for any known mechanical system which is profitable or can remove all tax costs associated with trade consistently.

For intraday stocks the cost is approximately 0.06% of tradevalue per trade or 6% of trading value for every 100 trades.

When we define a system the following should be taken into account.

a. The time taken after which the system will become profitable or breakeven. eg 4 months, 6 months, 1 year. b. The system should have been proved to succeed atleast 4 /5 times or 8/10 times.
c. The number of trades taken into account for testing.
d. The number of symbols over which the system has been tested. Good if system is tested over a number of symbols and results calculated as average.
e. The maximum drawdown percentage.
f. The annual returns over the period.
g. Read somewhere its good to backtest 1500 prior trades. Every 1500 previous occurence should be taken as per rules
 
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lemondew

Well-Known Member
#2
Heres one

http://www.marketcalls.in/amibroker...-based-trading-system-amibroker-afl-code.html

Rajandran has given an excellent supertrend example. Thanks for his efforts. He starts with 1 million and ends up with 4.3 million. System gives negative returns in 2015. max system drawdown of around 30%. No stop loss. And 15% of of amount to be used for trading.I suppose he means for 1.5 lac assuming you can carry 2 bank nifty lots so starting with 2 lots I think. Returns of around 26 percent compounded in 5 years.
 
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Raj232

Well-Known Member
#4
Heres one

http://www.marketcalls.in/amibroker...-based-trading-system-amibroker-afl-code.html

Rajandran has given an excellent supertrend example. Thanks for his efforts. He starts with 1 million and ends up with 4.3 million. System gives negative returns in 2015. max system drawdown of around 30%. No stop loss. And 15% of of amount to be used for trading.I suppose he means for 1.5 lac assuming you can carry 2 bank nifty lots so starting with 2 lots I think. Returns of around 26 percent compounded in 5 years.
The issue is to capture each and every move of the software which is actually not possible by manual orders.
e.g. Market has opened 1% postive and by 9.30 am it gives up all gains and remains flat. Such moves are taken into consideration when calculating drawdown etc.

But you need an automated algo system to place the orders in the broker terminal as and when the moves take place. That is the basic requirement which many traders overlook.

The sudden moves at odd hours give the maximum gain, the other intraday moves are usually flat.
 

copypasteaee

Humbled by Markets
#5


 

copypasteaee

Humbled by Markets
#6
These are result of one of my system, variant of super trend, enhanced by some more conditions.
 

lemondew

Well-Known Member
#8
as per nos is max system drawdown is around 2 lacs. He starts with 5 lacs and ends with 17.5 lacs. At what point he looses 2 lac isnt sure. Not sure about trade drawdown of 90% value what it means.

Your stats show 90% Max trade draw down . . .

Now, who will survive that . . .

Happy :)
 

copypasteaee

Humbled by Markets
#10
Your stats show 90% Max trade draw down . . .

Now, who will survive that . . .

Happy :)
I dont know what it is, i have backtested many systems but it always comes this way. The Max system draw down is -5.71 percent (should be more than trade DD but its less). CAR/ Max Sys DD = 9.8. Ulcer index is 0.65 (square root of sum of DD/ Number of bars, lower is better; Risk reward ratio is 4.99)
 

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