Saturday, November 03, 2012

Real time performance log tracker

I have now added a sidebar to the blog summarising the performance of the trades I have called in 'real-time' via the protected Twitter feed. This will be updated regularly.

The results achieved are very consistent across these two periods. The expectancy per trade (+0.53R) is the same, and the win percentage is almost identical (49% in the 2010-11 period, 50% in July 2012 onwards). The only difference, which accounts for the increase in the projected annualised performance, is that the average holding length of each trade has shortened from 5 weeks to 4 weeks.  This may change going forward, and will automatically affect the calculation of the projected annualised returns as a result. The other parameters affecting the risk per trade and position limits in both periods are the same

There will no doubt be periods of poor performance and drawdowns, but that goes with the territory of utilising a trend following system. If you want to believe you can you can achieve a smooth equity curve with a positive return each month, you won't find that here. The timing of when you start using such a system can also skew the performance in the short term.  But the results show that, even with a 50% success rate on your trades, you can achieve great returns, by controlling your losses and letting your profits run. Remember, one big trend can cover a lot of small losses and leave sufficient left over to generate the overall profit in the system.

No comments:

Post a Comment