Normal
Tjames.Thanks for the questions.(1) I have data back 8 yrs and yes this is a problem for those testing methods.Infact I never clean my data---havent done so for 3 yrs and as a result have stocks that are no longer in the data downloads as they are delisted.This gives some more accuracy to testing.But clean accurate data is a huge issue.Not so much for portfolio traders but definately for Futures or Forex traders using tick data format.So 8 yrs.(2) Its not just a matter of comparing equity graph's v the All Ords.For there are 21------closed trade equity this graph is less than impressive as it only records CLOSED trades.---When trading very longterm---years in T/T's case in some trades we can have a great deal of consecutive losses while a full 10 share portfolio is being purchased.So this graph looks terrible.---MEANWHILE2------Whats not being recorded on the graph is OPEN Equity---the on going unslod profit that remains in the method until its sold out or a trade triggers an exit.This graph is MUCH smoother.I havent run these over the last 8 yrs for ages but off the top of my head I think the biggest DRAWDOWN on CLOSED TRADES was around 20%---however open trades had the method in profit continually.---The initial Drawdown was around 12%---thats the figure needed according to testing to get the method up and running.Ill run it again and post both graphs--both closed and open equity,at latest Saturday.3----This is a common question asked---How does the method perform in less than ideal conditions.Firstly testing over short timeframes is pretty impossible as the AVERAGE trade time length for winning trades is just under a year (330 days) and losers is average around 40 days.---However we can test open equity as against closed trades so while no conclusive can give an idea.Secondly the method is a LONG---UPTRENDING trading method designed to catch and ride trends---its not designed to out perform markets in downturns.In downturns we do get drawdowns.However I have been working on reducing even these times of drawdown---more to the point reducing the drawdown.This can be done buy trading the equity curve or the index curve as a 'Portfolio" exit methodology.The Amibroker experts have been kind enough to lend a hand testing this idea (As Metastock/Tradesim combo cant do this). Their results so far in early days are that impressive I sold the total of my portfolio about 6 weeks ago when the index fell below the 180 day EMA.As doing this increased profit 3 fold---in tests.Ive just returned to the market with my long term portfolio---Time will tell if my personal result is as good as testing---I left my re entry later than the testing model---but Im up on holding the portfolio---except for bloody tax.!I can and will also run these periods in answer to your question for you,but place all results in context of the methods character.tech
Tjames.
Thanks for the questions.
(1) I have data back 8 yrs and yes this is a problem for those testing methods.
Infact I never clean my data---havent done so for 3 yrs and as a result have stocks that are no longer in the data downloads as they are delisted.This gives some more accuracy to testing.But clean accurate data is a huge issue.Not so much for portfolio traders but definately for Futures or Forex traders using tick data format.
So 8 yrs.
(2) Its not just a matter of comparing equity graph's v the All Ords.
For there are 2
1------closed trade equity this graph is less than impressive as it only records CLOSED trades.---When trading very longterm---years in T/T's case in some trades we can have a great deal of consecutive losses while a full 10 share portfolio is being purchased.So this graph looks terrible.---MEANWHILE
2------Whats not being recorded on the graph is OPEN Equity---the on going unslod profit that remains in the method until its sold out or a trade triggers an exit.This graph is MUCH smoother.I havent run these over the last 8 yrs for ages but off the top of my head I think the biggest DRAWDOWN on CLOSED TRADES was around 20%---however open trades had the method in profit continually.---The initial Drawdown was around 12%---thats the figure needed according to testing to get the method up and running.
Ill run it again and post both graphs--both closed and open equity,at latest Saturday.
3----This is a common question asked---How does the method perform in less than ideal conditions.
Firstly testing over short timeframes is pretty impossible as the AVERAGE trade time length for winning trades is just under a year (330 days) and losers is average around 40 days.---However we can test open equity as against closed trades so while no conclusive can give an idea.
Secondly the method is a LONG---UPTRENDING trading method designed to catch and ride trends---its not designed to out perform markets in downturns.
In downturns we do get drawdowns.However I have been working on reducing even these times of drawdown---more to the point reducing the drawdown.This can be done buy trading the equity curve or the index curve as a 'Portfolio" exit methodology.The Amibroker experts have been kind enough to lend a hand testing this idea (As Metastock/Tradesim combo cant do this). Their results so far in early days are that impressive I sold the total of my portfolio about 6 weeks ago when the index fell below the 180 day EMA.As doing this increased profit 3 fold---in tests.
Ive just returned to the market with my long term portfolio---Time will tell if my personal result is as good as testing---I left my re entry later than the testing model---but Im up on holding the portfolio---except for bloody tax.!
I can and will also run these periods in answer to your question for you,but place all results in context of the methods character.
tech
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