Awaken from Hibernation

Didn't update the blog for quite some time. Have been taking my own sweet time to improve on my backtesting system on MS Excel. It has been quite a challenge trying to design and implement a backtesting system that I can at least show it to people who knows their stuff.

Some major things that finally my backtesting system can do:

1) Separate Long trades and Short Trades (earlier system was a SAR-Stop-and-Reverse only system) and get their trade statistics for e.g. % of winning long trades v.s % of winning short trades, average winning long trades v.s average winning short trades etc

2) Each direction of trade e.g Long trades can have different parameters for stop-loss and profit-exit. Example: I can have a Donchian style 20 period breakout above for going Long with 2ATR(Average True Range) for stop-loss and 18 period exit and 22 period for going Short with 1.5ATR for stop-loss and 18 period exit. I know a bit overkill at times and must be careful to avoid situations where parameters for going Short is earlier than Long exit, no meaning if you are trading a single account. How do you turn Short while holding Long ?

3) Probability that your maximum intraday unrealised loss would not reach a certain amount. Example I can now know that 99% of the time my open positions should not have reach 60 pts for FKLI if I am trading a trend following system based on SMA 10/50(daily) crossover system.

4) Probability that my maximum intraday unrealised profit should reach. For example using system above, I can tell that 50% of the time I can expect maximum intraday profit of 69 pts.

5) Fixed Fractional Money Management or Fixed Ratio Money Management

And many other little tweaks and improvements.

Enough talk for now. I will leave you all with a sample trading system (above) and its performance summary backtested over 13 years using Bursa Malaysia's FKLI spot-month continuous contract. Please remember: Always verify the performance summary on your own.

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Disclaimer: Taken from CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER OR OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.

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WHATEVER YOU READ HERE SHOULD BE USED AS LEARNING AIDS ONLY AND SHOULD NOT BE CONSTRUED AS INVESTMENT ADVICE. IF YOU DECIDE TO INVEST REAL MONEY, ALL TRADING DECISIONS ARE YOUR OWN RESPONSIBILITY.