Tuesday, December 4, 2007

Test results for the system

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

TotalProfit Average profit: 623%
YearlyProfit Average yearly profit:48%
TotalDrawdown Average Drawdown:
YearlyDrawdown Average yearly drawdown:
TotalProbability Chance of achieving Profit Level
YearlyProbability Chance of achieving Profit Level - Yearly

No comments: