Playing around over the weekend I decided to code SimonB's system into Amibroker. The system is 100% mechanical, so anybody thats traded it with a bit of discretion will obviously get different results.
The basis of the system is (if this is incorrect please let me know so I can correct it) TimeFrame: 15min 7 EMA > 21 SMA and this high > previous bar high then go long at the open of the next candle. vica versa for short Trailing Stop Loss of 150pts Close EOD or through trailing stop loss or if short signal triggers.
Hopefully this is close enough to the system, as I think its an interesting exercise for anybody who wants to learn anyway.
The review: The average points per annum (this is in perfect conditions so costs and slippage is not taken into account) Avg points per annum: 3,200pt is fair, however the results are skewed as (2008 and 2012 are significantly higher), whereas your real avg is around 2,300points which is bare minimum. Suggested points are minimum consistently 3000pts.
Avg per Trade is 9, considering slippage on ALSI is 10points, this is below par.
Win %: 40% which is what I expect of a trend following system, so no complaints.
Annual results: System has been a consistent performer even though the total net profit isnt particularly high. So from consistency its good
Biggest issue I have with the system is that the Maximum Drawdown is 4,700 points....this may never be more than your half of your avg yearly gain (so if avg gain is 30% then max drawdown cannot exceed 15%)
Profit Factor: 1.2 Above 1 is ok (means its profitable) - 1.5 should be the minimum, above 2 should be the goal.
Conclusion: The system is profitable and one can extract around 10% - 20% gains on your account consistently over the year, however due to the max DD, slippage and costs I would suggest continue looking for an improved system.
Hope this seems like a fair review, and helps maybe helps those interested in systems trading.
coolio, years since I traded this, but some memories..
I used SMA for both, no EMA (likely tiny difference) I didn't exit EOD, if trade was still live I held over night charted Top40, traded ALSI, less volatile to chart Top40 stop, can't remember. Certainly if got apposing signal, but also seem to think I used the 21 SMA as stop. 150 seems wildly wide ?
thanks for the feedback. Think I am wrong on the stop loss (150pts), might have only been 50pts. Interesting that you also note that you held overnight, I see the results improved quite a bit when you did hold overnight and closed at the open the next day (or trailed it further).
Results may vary quite significantly then as well with charting the cash and applying it to Top40.
Unfortunately I cant then do the code for your system then, but I think its still an interesting exercise if there was anybody interested in really getting into mechanical trading, and wanted to ask questions.
Was just hoping a topic like this actually adds to the forum, rather than the usual p$$ng competition about calls.
I love Amibroker, its cheap and very useful. Its much cheaper than metastocks and much more useful than anything else out there thats free. Think I only paid a once off of R 2,500. I see now its $280.
For discretionary traders its useful to look at charts, sectors and relative strength, and for mechanical traders its quite decent on backtesting. I find most other software to be more cumbersome for backtesting.
For mechanical testing some programming background is necessary, Metatrader 5 might eliminate this, but MT5 doesnt apply to SA equities and indexes.