During the last weeks I have tried to improve the system by fine tuning different parameters I use. One example is to modify the value of the total volume traded in the last 20 days. Previously I have watched stocks that traded with a volume above 1,000,000. I have tried to reduce the number and found that 300,000 resulted in higher profit. The reason I used 1,000,000 in the first place was to make sure the stock is liquid enough. I believe that a stock trading with 300,000 shares in 20 days is still considered liquid.
In the process of tweaking my system, I was able to improve the average profit for 5 years by more than 100 percent. From 345% to 463%.
Here are some statistics regarding the improved system:
Simulation test period: November 9, 2002 - November 11, 2007
Maximum Risk Percent per trade: 1%
One way slippage: 0.2% of the price
I run the simulation on the complete Nasdaq Composite stock list
After running the simulation I moved the raw trades(559) to the Monte Carlo application and used 2000 runs which produced the results below.
Total trades: 559
Average profit: 463.58%
APR: 39.54%
Probability for win 300% profit in 5 years: 72.8%
Probability for win APR of 30%: 55.12%
Here are few screenshots from the Monte Carlo application:
Profit
Drawdown
Probability
APR Probability
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