Friday, August 28, 2009

Happy Trails Lite (IWM)

Here's a version of the Happy Trails system applied to IWM for the original backtest period of 5-1-03 to 9-12-08. I call this the "Lite" version as I've removed the stop loss and breakeven stop floor conditions that created so many false starts . . . but which also created an exceptionally low intraday drawdown risk. The only change I've made to the coding is to add alternate exit "OR" conditions consisting of fixed bars. These conditions actually fire in a consistent pattern and help smooth out the equity curve.
The performance report is shown below..................
And below are the same settings applied to the current date or about 11 months more.

The system yields a consistent equity curve with only two pullbacks over the 5 year period.
Below is the distribution graph of trades showing the scarcity of losing (and winning) outliers which suggests to me that the system manages to contain a relatively high probability trading range.
As usual this is a work in progress and many other variations of this simple theme come to mind for system refinement and improvement. Feel free to share your investigations.

2 comments:

Toptick said...

IT might just be my personal esthetics, but this approach seems more 'natural' than the stops.

Thanks!

Tom said...

Retested for 4 years and got optimized values of 4, 60, 5 and 6 for your variables 1-4, with a 7% stop and 6% target it produced 35% annual gains (using the same $ amount per trade) with 12% max drawdown for closed positions. http://screencast.com/t/xptea0iz9 That was fun!