Tuesday, June 02, 2009

Detrend Revisited

This is an update of my March posting on the Qs Detrend system.
In the wake of the recent market meltup I'm reviewing components of the Qs Dirty Dozen systems to see how the bullish bias of the past 3 months has effected the equity curve and optimized settings of the various systems.
As per my usual methodology I'm using a floating 16 month study period which results in a new set of optimized settings (2, .75, -1.25, 14, 14), reflecting a narrower detrend range and a longer target holding period than the original post.
This study is run without pyramiding turned on. With pyramiding, the system equity curve is boosted by another $1000 with little impact of net drawdown, but requiring an ultimate position size of 300 shares in lieu of 100 to achieve net results.
In the process of running this update I've noticed some parameters of the system that may bear further refinement and I'll (hopefully) explore those in more detail by the end of the week.
The Detrend system continues to churn out a decent return IMHO while maintaining a low max consecutive loser # for both the longs and shorts. The equal balance between the frequency of long and short trades is also an appealing feature.

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