After reading the research mentioned in my previous entry, I thought I might be able to improve the system by checking the the Nasdaq Composite Index (^IXIC) performance as another measure before getting into a position. So now system checks whether the Nasdaq is positioned above its moving average. This tells me that we're in a bullish trend which is the only market the system trade.
Simulation results revealed big improvements. I thought I might check and see if I can improve the results even more, so I checked the same concept but rather than using the Nasdaq Composite Index to use the QQQQ. The Results were even better and here are a few screenshots from the Monte Carlo simulation.
Simulation period: November 11, 2002 - November 12, 2007
Starting capital: 100,000
Maximum risk percent: 1%
Commission: 0.01$ per share
Slippage: 2% of the base price
Number of raw trades: 547
Number of simulation: 2000
| Average profit: 623% | |
| Average yearly profit:48% | |
| Average Drawdown: -12.5% | |
| Average yearly drawdown: -7.61% | |
| Chance of achieving Profit Level | |
| Chance of achieving Profit Level - Yearly |
No comments:
Post a Comment